On the robustness of short-term interest rate models

Accounting and Finance

Volumn 43, Issue 1, 2003, Pages 87-121

  Treepongkaruna, Sirimon ^a   Gray, Stephen ^b,c  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^b UNIVERSITY OF QUEENSLAND   (Australia)

^c DUKE UNIVERSITY   (United States)

Author keywords

Conditional volatility; Mean reversion; Short term interest rates

Indexed keywords

EID: 69249092876     PISSN: 08105391     EISSN: 1467629X     Source Type: Journal    
DOI: 10.1111/1467-629X.00084     Document Type: Article

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