Estimating continuous-time stochastic volatility models of the short-term interest rate

DOI10.1016/S0304-4076(96)01819-2zbMath0925.62529OpenAlexW2038509694MaRDI QIDQ1362071

Torben G. Andersen, Jesper Lund

Publication date: 12 August 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(96)01819-2

zbMATH Keywords

stochastic volatilitycontinuous-time estimationshort-term interest rate

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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