Estimating the Domestic Short Rate in a Convergence Model of Interest Rates

DOI10.2478/TMMP-2020-0003zbMath1475.91370OpenAlexW3032040218MaRDI QIDQ5142423

Zuzana Bučková, Beata Stehlíková, Zuzana Girová

Publication date: 30 December 2020

Published in: Tatra Mountains Mathematical Publications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2478/tmmp-2020-0003

zbMATH Keywords

interest ratescalibrationshort rateconvergence model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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