The surprise element: Jumps in interest rates

Journal of Econometrics

Volumn 106, Issue 1, 2002, Pages 27-65

  Das, Sanjiv R ^a  

^a SANTA CLARA UNIVERSITY   (United States)

Author keywords

Characteristic functions; Diffusions; Jumps

Indexed keywords

COMPUTATIONAL METHODS; FUNCTIONS; MARKOV PROCESSES; MATHEMATICAL MODELS; METHOD OF MOMENTS; POISSON DISTRIBUTION; STATISTICAL METHODS;

BONDS; CHARACTERISTIC FUNCTIONS;

ECONOMICS;

EID: 0041804599     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00085-9     Document Type: Article

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