Markov-switching and stochastic volatility diffusion models of short-term interest rates

Journal of Business and Economic Statistics

Volumn 20, Issue 2, 2002, Pages 183-197

  Smith, Daniel R ^a  

^a UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

Quasi maximum likelihood estimation; Short rate; Term structure

Indexed keywords

EID: 0036005166     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500102317351949     Document Type: Article

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