Journal article

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
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…
  • English
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