Czellar, Veronika; Karolyi, G. Andrew; Ronchetti, Elvezio - Institut d'Economie et Econométrie, Université de Genève - 2005
We introduce Indirect Robust Generalized Method of Moments (IRGMM), a new 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...