Estimation of continuous-time models for stock returns and interest rates

Macroeconomic Dynamics

Volumn 1, Issue 1, 1997, Pages 135-168

  Gallant, A Ronald ^a,c   Tauchen, George ^b  

^a UNIVERSITY OF NORTH CAROLINA   (United States)

^b DUKE UNIVERSITY   (United States)

^c UNIVERSITY OF NORTH CAROLINA   (United States)

Author keywords

Continuous Time Models; Diffusion Models; Efficient Method of Moments; Interest Rates; Stochastic Differential Equations; Stock Returns; Yield Factor Model

Indexed keywords

EID: 0031331096     PISSN: 13651005     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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