Gaussian approach for continuous time models of the short-term interest rate
Peter, Jun Yu and Phillips, Peter C.B
Gaussian approach for continuous time models of the short-term interest rate J5708 2001 - 2001 - 210-224 V. 04 Issue. 2
Econometrics
Gaussian estimation;Continuous time models;Stochastic differential equation;Nonlinear diffusion;Short term interest rate;Normalizing transformation;Maximum likelihood;Level effect;
Gaussian approach for continuous time models of the short-term interest rate J5708 2001 - 2001 - 210-224 V. 04 Issue. 2
Econometrics
Gaussian estimation;Continuous time models;Stochastic differential equation;Nonlinear diffusion;Short term interest rate;Normalizing transformation;Maximum likelihood;Level effect;