Estimating continuous-time stochastic volatility models of the short-term interest rate: a comparison of the generalized method of moments and the Kalman filter
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DOI: 10.1007/s11156-009-0122-2
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Cited by:
- Januj Juneja, 2018. "Empirical performance of Gaussian affine dynamic term structure models in the presence of autocorrelation misspecification bias," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 695-715, April.
- Yufeng Han, 2011. "On the relation between the market risk premium and market volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 21(22), pages 1711-1723.
- Sharif Mozumder & Ghulam Sorwar & Kevin Dowd, 2013. "Option pricing under non-normality: a comparative analysis," Review of Quantitative Finance and Accounting, Springer, vol. 40(2), pages 273-292, February.
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More about this item
Keywords
Stochastic volatility; Short interest rate; Generalized method of moments; GMM; Kalman filter; Quasi-maximum likelihood; G12; C51;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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