Gaussian estimation of single-factor continuous time models of the term structure of interest rates

• 成果类型: Article
• 署名作者: Nowman, KB
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1997.tb01127.x
• 发表日期: 1997
• 页码: 1695-1706
• 关键词: ROSS MODEL; INGERSOLL; COX; ORDER

摘要

This article presents the first application in finance of recently developed methods for the Gaussian estimation of continuous time dynamic models. A range of one factor continuous time models of the short-term interest rate are estimated using a discrete time model and compared to a recent discrete approximation used by Chan, Karolyi, Longstaff, and Sanders (1992a, hereafter CKLS). Whereas the volatility of short-term rates is highly sensitive to the level of rates in the United States, it is not in the United Kingdom.