ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES

DOI10.1017/S1365100597002058zbMath0915.90056OpenAlexW3121508355MaRDI QIDQ4233510

George Tauchen, A. Ronald Gallant

Publication date: 5 July 1999

Published in: Macroeconomic Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1365100597002058

zbMATH Keywords

interest ratesstock returnsefficient method of momentscontinuous-time diffusion modelsyield-factor model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic growth models (91B62) Statistical methods; economic indices and measures (91B82)

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