Empirical comparisons in short-term interest rate models using nonparametric methods

Journal of Financial Econometrics

Volumn 4, Issue 2, 2006, Pages 310-345

  Arapis, Manuel ^a   Gao, Jiti ^a  

^a UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

Diffusion process; Drift function; Kernel density estimation; Stochastic volatility

Indexed keywords

EID: 33646182728     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbj007     Document Type: Article

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