Testing continuous time models of the spot interest rate:
Different continuous-time models for interest rates coexist in the literature. We test parametric models by comparing their implied parametric density to the same density estimated nonparametrically. We do not replace the continuous-time model by discrete approximations, even though the data are rec...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
1995
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| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
5346 |
| Schlagworte: | |
| Zusammenfassung: | Different continuous-time models for interest rates coexist in the literature. We test parametric models by comparing their implied parametric density to the same density estimated nonparametrically. We do not replace the continuous-time model by discrete approximations, even though the data are recorded at discrete intervals. The principal source of rejection of existing models is the strong nonlinearity of the drift. Around its mean, where the drift is essentially zero, the spot rate behaves like a random walk. The drift then mean-reverts strongly when far away from the mean. The volatility is higher when away from the mean. |
| Beschreibung: | 33 S. graph. Darst. |
Internformat
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| 490 | 1 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 5346 | |
| 520 | |a Different continuous-time models for interest rates coexist in the literature. We test parametric models by comparing their implied parametric density to the same density estimated nonparametrically. We do not replace the continuous-time model by discrete approximations, even though the data are recorded at discrete intervals. The principal source of rejection of existing models is the strong nonlinearity of the drift. Around its mean, where the drift is essentially zero, the spot rate behaves like a random walk. The drift then mean-reverts strongly when far away from the mean. The volatility is higher when away from the mean. | ||
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Interest rates |x Econometric models | |
| 830 | 0 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 5346 |w (DE-604)BV002801238 |9 5346 | |
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| id | DE-604.BV010646937 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T17:56:33Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007104756 |
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| physical | 33 S. graph. Darst. |
| publishDate | 1995 |
| publishDateSearch | 1995 |
| publishDateSort | 1995 |
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| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Aït-Sahalia, Yacine Verfasser aut Testing continuous time models of the spot interest rate Yacine Aït-Sahalia Cambridge, Mass. 1995 33 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 5346 Different continuous-time models for interest rates coexist in the literature. We test parametric models by comparing their implied parametric density to the same density estimated nonparametrically. We do not replace the continuous-time model by discrete approximations, even though the data are recorded at discrete intervals. The principal source of rejection of existing models is the strong nonlinearity of the drift. Around its mean, where the drift is essentially zero, the spot rate behaves like a random walk. The drift then mean-reverts strongly when far away from the mean. The volatility is higher when away from the mean. Ökonometrisches Modell Interest rates Econometric models National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 5346 (DE-604)BV002801238 5346 |
| spellingShingle | Aït-Sahalia, Yacine Testing continuous time models of the spot interest rate National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Interest rates Econometric models |
| title | Testing continuous time models of the spot interest rate |
| title_auth | Testing continuous time models of the spot interest rate |
| title_exact_search | Testing continuous time models of the spot interest rate |
| title_full | Testing continuous time models of the spot interest rate Yacine Aït-Sahalia |
| title_fullStr | Testing continuous time models of the spot interest rate Yacine Aït-Sahalia |
| title_full_unstemmed | Testing continuous time models of the spot interest rate Yacine Aït-Sahalia |
| title_short | Testing continuous time models of the spot interest rate |
| title_sort | testing continuous time models of the spot interest rate |
| topic | Ökonometrisches Modell Interest rates Econometric models |
| topic_facet | Ökonometrisches Modell Interest rates Econometric models |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT aitsahaliayacine testingcontinuoustimemodelsofthespotinterestrate |