On the estimation and comparison of short-rate models using the generalised method of moments

Journal of Banking and Finance

Volumn 30, Issue 11, 2006, Pages 3131-3146

  Faff, Robert ^a   Gray, Philip ^b  

^a MONASH UNIVERSITY   (Australia)

^b UNIVERSITY OF QUEENSLAND   (Australia)

Author keywords

GMM; Mean reversion; Parameter estimation; Short rate model

Indexed keywords

EID: 33749627388     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.09.016     Document Type: Article

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