Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’

DOI10.1111/J.1368-423X.2010.00326.XzbMath1217.91192OpenAlexW2129004506MaRDI QIDQ5965851

Peter C. B. Phillips, Jun Yu

Publication date: 27 July 2011

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2010.00326.x

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

Parameter estimation in mean reversion processes with deterministic long-term trend ⋮ Gaussian estimation of one-factor mean reversion processes ⋮ ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS

Cites Work

• A Gaussian approach for continuous time models of the short-term interest rate

This page was built for publication: Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’