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Scientific Article
unige:22951 
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Indirect robust estimation of the short-term interest rate process |
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| Authors | ||
| Published in | Journal of Empirical Finance. 2007, vol. 14, no. 4, p. 546-563 | |
| Abstract | We propose Indirect Robust Generalized Method of Moments (IRGMM), a simulation-based estimation methodology, to model short-term interest rate processes. The primary advantage of IRGMM relative to classical estimators of the continuous-time short-rate diffusion processes is that it corrects both the errors due to discretization and the errors due to model misspecification. We apply this approach to monthly US risk free rates and to various monthly Eurocurrency rates and provide extensive evidence of its predictive performances in a variety of settings. | |
| Keywords | GMM and RGMM estimators — Indirect inference | |
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Article (Published version) (686 Kb) - Private access Other version: http://linkinghub.elsevier.com/retrieve/pii/S092753980700028X |
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| Structures | ||
| Citation (ISO format) | CZELLAR, Veronika, KAROLYI, G. Andrew, RONCHETTI, Elvezio. Indirect robust estimation of the short-term interest rate process. In: Journal of Empirical Finance , 2007, vol. 14, n° 4, p. 546-563. doi: 10.1016/j.jempfin.2006.09.004 https://archive-ouverte.unige.ch/unige:22951 |
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