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Economics Letters
Volumn 86, Issue 3, 2005, Pages 339-346
Drift and diffusion function specification for short-term interest rates
Author keywords

Diffusion; Short rate; Spatial correlation
Indexed keywords

EID: 14544295734     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2004.09.002     Document Type: Article
Times cited : (6)
References (9)
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  • 2
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    • K.C. Chan G.A. Karolyi F.A. Longstaff A.B. Sanders An empirical comparison of alternative models of the short-term interest rate Journal of Finance 47 1992 1209-1228
    • (1992) Journal of Finance , vol.47 , pp. 1209-1228
    • Chan, K.C.1    Karolyi, G.A.2    Longstaff, F.A.3    Sanders, A.B.4
  • 5
    • 0039372662 scopus 로고    scopus 로고
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    • D.A. Chapman N.D. Pearson Is the short rate drift actually nonlinear? Journal of Finance 55 2000 355-388
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    • A nonparametric model of the term structure dynamics and the market price of interest rate risk
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