Indirect robust estimation of the short-term interest rate process
- Czellara, Veronika Dept. of Econometrics, University of Geneva, Switzerland
- Karolyib, G. Andrew Fisher College of Business, Ohio State University
- Ronchetti, Elvezio Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
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2006
Published in:
- Journal of Empirical Finance. - 2007, vol. 14, no. 4, p. 546-563
English
We propose Indirect Robust Generalized Method of Moments (IRGMM), a simulationbased estimation methodology, to model short-term interest rate processes. The primary advantage of IRGMM relative to classical estimators of the continuous-time short-rate diffusion processes is that it corrects both the errors due to discretization and the errors due to model misspecification. We apply this... Show more…
- Language
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- English
- Classification
- Economics
- License
- License undefined
- Identifiers
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- RERO DOC 9052
- DOI 10.1016/j.jempfin.2006.09.004
- Persistent URL
- https://susi.usi.ch/usi/documents/317886