Robust GMM analysis of models for the short rate process

Journal of Empirical Finance

Volumn 10, Issue 3, 2003, Pages 373-397

  Dell'Aquila, Rosario ^a,b   Ronchetti, Elvezio ^b,c   Trojani, Fabio ^b  

^a Cantonal Bank of Zurich   (Switzerland)

^b Neurocentre of Southern Switzerland   (Switzerland)

^c UNIVERSITY OF GENEVA   (Switzerland)

Author keywords

GMM estimators and tests; One factor models of interest rates; Robust estimation; Robust model selection; Robust testing

Indexed keywords

EID: 0037404874     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(02)00050-6     Document Type: Article

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