Estimating continuous-time stochastic volatility models of the short-term interest rate

Journal of Econometrics

Volumn 77, Issue 2, 1997, Pages 343-377

  Andersen, Torben G ^a   Lund, Jesper ^b  

^a NORTHWESTERN UNIVERSITY   (United States)

^b AARHUS SCHOOL OF BUSINESS   (Denmark)

Author keywords

ARCH; Continuous time estimation; Efficient method of moments; Short term interest rate; Stochastic volatility

Indexed keywords

EID: 0000309098     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(96)01819-2     Document Type: Article

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