Likelihood-based specification analysis of continuous-time models of the short-term interest rate

Journal of Financial Economics

Volumn 70, Issue 3, 2003, Pages 463-487

  Durham, Garland B ^a  

^a UNIVERSITY OF IOWA   (United States)

Author keywords

Continuous time estimation; Short term interest rate; Simulated maximum likelihood; Stochastic volatility; Term structure

Indexed keywords

EID: 0242551104     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(03)00207-1     Document Type: Article

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