A Gaussian approach for continuous time models of the short-term interest rate
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Publication:4549735
DOI10.1111/1368-423X.00063zbMath1051.91516OpenAlexW1980574498MaRDI QIDQ4549735
Publication date: 2001
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1368-423x.00063
stochastic differential equationmaximum likelihoodcontinuous time modelsnonlinear diffusionGaussian estimationlevel effectnormalizing transformationshort-term interest rate
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Economic growth models (91B62) Statistical methods; economic indices and measures (91B82)
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