Indirect robust estimation of the short-term interest rate process
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Czellara, Veronika
Dept. of Econometrics, University of Geneva, Switzerland
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Karolyib, G. Andrew
Fisher College of Business, Ohio State University
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Ronchetti, Elvezio
Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
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…
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Economics
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License undefined
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Persistent URL
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https://susi.usi.ch/usi/documents/317886