A statistical comparison of the short-term interest rate models for Japan, U.S., and Germany

Asia-Pacific Financial Markets

Volumn 3, Issue 3, 1996, Pages 263-275

  Shoji, Isao ^a   Ozaki, Tohru ^b  

^a UNIVERSITY OF TSUKUBA   (Japan)

^b INSTITUTE OF STATISTICAL MATHEMATICS   (Japan)

Author keywords

AIC; Interest rate; Local linearization; Model selection; Stochastic differential equation

Indexed keywords

EID: 0000802597     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: 10.1007/bf02425805     Document Type: Article

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