Estimating Continuous-Time Stochastic Volatility Models of the Short-Term Interest Rate : A Comparison of the Generalized Method of Moments and the Kalman Filter
Year of publication: |
2009
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Authors: | Sapp, Travis |
Publisher: |
[2009]: [S.l.] : SSRN |
Subject: | Momentenmethode | Method of moments | Volatilität | Volatility | Zins | Interest rate | Zustandsraummodell | State space model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
Extent: | 1 Online-Ressource (43 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Review of Quantitative Finance and Accounting, Vol. 33, No. 4, 2009 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 2, 2009 erstellt |
Classification: | G12 - Asset Pricing ; C51 - Model Construction and Estimation |
Source: | ECONIS - Online Catalogue of the ZBW |
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