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 approach to monthly US risk free rates and to various monthly Eurocurrency rates and provide extensive evidence of its predictive performances in a variety of settings.
- 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
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