Is Nonlinear Drift Implied by the Short-End of the Term Structure?

Hideyuki Takamizawa and 秀幸 高見澤

No 2006-08, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: Short-Rate; Nonlinear Drift; Term Structure; Linear Approximation (search for similar items in EconPapers)
Pages: 42 pages
Date: 2006-11
Note: November 22, 2006
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https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/16926/070econDP06-08.pdf

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Journal Article: Is Nonlinear Drift Implied by the Short End of the Term Structure? (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:hit:econdp:2006-08

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