UNIGE document Scientific Article
previous document  unige:22951  next document
add to browser collection
Title

Indirect robust estimation of the short-term interest rate process

Authors
Karolyi, G. Andrew
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 estimatorsIndirect inference
Identifiers
Full text
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. https://archive-ouverte.unige.ch/unige:22951

286 hits

0 download

Update

Deposited on : 2012-09-18

Export document
Format :
Citation style :