Estimating continuous-time stochastic volatility models of the short-term interest rate: a comparison of the generalized method of moments and the Kalman filter-Reference-Cited by-同舟云学术

Estimating continuous-time stochastic volatility models of the short-term interest rate: a comparison of the generalized method of moments and the Kalman filter

Published:2009-04-18 Issue:4 Volume:33 Page:303-326
ISSN:0924-865X
Container-title:Review of Quantitative Finance and Accounting
language:en
Short-container-title:Rev Quant Finan Acc

Author:

Sapp Travis R. A.

Publisher

Springer Science and Business Media LLC

Subject

Finance,General Business, Management and Accounting,Accounting

Link

http://link.springer.com/content/pdf/10.1007/s11156-009-0122-2.pdf

Reference25 articles.

1. Aït-Sahalia Y (1996) Testing continuous-time models of the spot interest rate. Rev Financ Stud 9:385–426

2. Andersen T, Lund J (1997) Estimating continuous-time stochastic volatility models of the short-term interest rate. J Econom 77:343–377

3. Andersen T, Sorensen B (1996) GMM estimation of a stochastic volatility model: a Monte Carlo study. J Bus Econ Stat 14:328–352

4. Ball C, Torous W (1999) The stochastic volatility of short-term interest rates: some international evidence. J Financ 54:2339–2359

5. Bliss R, Smith D (1998) The elasticity of interest rate volatility: Chan, Karolyi, Longstaff, and Sanders Revisited, Federal Reserve Bank of Atlanta working paper

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