Drift and diffusion function specification for short-term interest rates

DOI10.1016/J.ECONLET.2004.09.002zbMath1254.91733OpenAlexW2052006482MaRDI QIDQ1927755

Wen-Juan Li, Myoung-jae Lee

Publication date: 2 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/177

zbMATH Keywords

diffusionshort ratespatial correlation

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Theoretical comparisons of block bootstrap methods
• The jackknife and the bootstrap for general stationary observations
• Nonparametric Pricing of Interest Rate Derivative Securities

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