Nonparametric Estimation of Multifactor Continuous Time Interest Rate ModelsDivisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 1999 - Interest rates - 51 pages |
Common terms and phrases
Ait-Sahalia algorithm Andersen and Lund bandwidth bias bootstrapped Boudoukh BRSW estimator compute conditioning variables continuous-time converge data generating process diffusion functions distribution drift and diffusion Economics Discussion Series equations error measures estimated surfaces Euler Euler method fi,j Finance and Economics finite sample properties hypothesis tests implied volatilities inefficiency measure interest rate diffusion interest rate drift interest rate process irrelevant conditioning information k-sample kernel estimator kernel regression Kolmogorov-Smirnov test lower mean upper mean upper 0.09 method Monte Carlo simulations nonlinearities Nonparametric Estimation null hypothesis optimal bandwidths p-Value panel of figure parameter values parametric estimator parametric model previous section quantiles rate drift function scaling factors September 1999 short rate sigma solution grid squared errors standard deviations stationary density stochastic volatility table reports term structure test statistics transition densities appear transition densities defined Treasury data true lower mean Volatility Diffusion Wiener processes ασ ατ Φτ