Ahn, Dong-Hyun; Gao, Bin - In: Review of Financial Studies 12 (1999) 4, pp. 721-62
Recent nonparametric estimation studies pioneered by Ait-Sahalia document that the diffusion of the short rate is similar to the parametric function, r[superscript 1.5], estimated by Chan et al., whereas the drift is substantially nonlinear in the short rate. These empirical properties call into...