In this paper we discuss the estimation of the diffusion coefficient in one-factor models for the short rate via non-parametric methods. We test the estimators proposed by Ait-Sahalia (1996), Stanton (1997) and Bandi and Phillips (2003) on Monte Carlo simulations of the Vasicek and CIR model. We...

The spreading of the Covid-19 virus causes a reduction in economic activity worldwide and may lead to new risks to financial stability. The authors draw attention to the urgency of the targeted mitigation strategies on the European level and suggest taking coordinated action on the fiscal side...

In this paper we discuss the estimation of the diffusion coefficient of one-factor models for the short rate via non-parametric methods. We test the estimators proposed by Ait Sahalia (1996a), Stanton (1997) and Bandi and Phillips (2003) on Monte Carlo simulation of the Vasicek and CIR model and...