Anatolyev, Stanislav; Korepanov, Sergey - In: Applied Economics Letters 10 (2003) 13, pp. 867-870
Using the series of Moscow Interbank Offer Rates, this paper estimates a flexible parametrization of the diffusion process following the approach of Ait-Sahalia (1996) of matching parametric and nonparametric estimates of the marginal density. On the basis of the estimated model, the implied...