Matches in SemOpenAlex for { <https://semopenalex.org/work/W1553447615> ?p ?o ?g. }
Showing items 1 to 92 of
92
with 100 items per page.
- W1553447615 abstract "Abstract The pricing of many short-dated and long-dated derivatives depends directly on the stochastic process specified for particular interest rates. In this paper the authors investigate the properties of several stochastic processes fitted to the time series of 3-month and 6-month London Interbank Offer Rates. The sample periods for the 3-month and 6-month series are January 1984 through June 1995 and June 1988 through February 1996, respectively. The authors use the Euler–Maruyama discrete-time approximation to estimate and test parameter restrictions for the candidate stochastic processes. They find that neither the 3-month nor 6-month London Interbank Offer Rates is mean reverting. In addition, they conclude that the volatility of either rate is proportional to the level of the respective rate with the factor of proportionality less than one. A direct test of the square root process is rejected for the 3-month London Interbank Offer Rates series and can not be rejected for the 6-month London Interbank Offer Rates series." @default.
- W1553447615 created "2016-06-24" @default.
- W1553447615 creator A5000207282 @default.
- W1553447615 creator A5042329264 @default.
- W1553447615 date "1999-01-01" @default.
- W1553447615 modified "2023-09-27" @default.
- W1553447615 title "Mean reversion and volatility of short-term London Interbank Offer Rates" @default.
- W1553447615 cites W1503295912 @default.
- W1553447615 cites W1832168765 @default.
- W1553447615 cites W1906327481 @default.
- W1553447615 cites W1958196783 @default.
- W1553447615 cites W1975082339 @default.
- W1553447615 cites W1988697445 @default.
- W1553447615 cites W2011610617 @default.
- W1553447615 cites W2024296014 @default.
- W1553447615 cites W2028995298 @default.
- W1553447615 cites W2072982728 @default.
- W1553447615 cites W2076057077 @default.
- W1553447615 cites W2138197227 @default.
- W1553447615 cites W2170537604 @default.
- W1553447615 cites W3021444882 @default.
- W1553447615 cites W3023906401 @default.
- W1553447615 doi "https://doi.org/10.1016/s1059-0560(99)00004-0" @default.
- W1553447615 hasPublicationYear "1999" @default.
- W1553447615 type Work @default.
- W1553447615 sameAs 1553447615 @default.
- W1553447615 citedByCount "11" @default.
- W1553447615 countsByYear W15534476152012 @default.
- W1553447615 crossrefType "journal-article" @default.
- W1553447615 hasAuthorship W1553447615A5000207282 @default.
- W1553447615 hasAuthorship W1553447615A5042329264 @default.
- W1553447615 hasConcept C121332964 @default.
- W1553447615 hasConcept C135205223 @default.
- W1553447615 hasConcept C143724316 @default.
- W1553447615 hasConcept C149782125 @default.
- W1553447615 hasConcept C151730666 @default.
- W1553447615 hasConcept C162324750 @default.
- W1553447615 hasConcept C174106034 @default.
- W1553447615 hasConcept C175025494 @default.
- W1553447615 hasConcept C176230804 @default.
- W1553447615 hasConcept C33923547 @default.
- W1553447615 hasConcept C54775282 @default.
- W1553447615 hasConcept C556758197 @default.
- W1553447615 hasConcept C61797465 @default.
- W1553447615 hasConcept C62520636 @default.
- W1553447615 hasConcept C85393063 @default.
- W1553447615 hasConcept C86803240 @default.
- W1553447615 hasConcept C91602232 @default.
- W1553447615 hasConceptScore W1553447615C121332964 @default.
- W1553447615 hasConceptScore W1553447615C135205223 @default.
- W1553447615 hasConceptScore W1553447615C143724316 @default.
- W1553447615 hasConceptScore W1553447615C149782125 @default.
- W1553447615 hasConceptScore W1553447615C151730666 @default.
- W1553447615 hasConceptScore W1553447615C162324750 @default.
- W1553447615 hasConceptScore W1553447615C174106034 @default.
- W1553447615 hasConceptScore W1553447615C175025494 @default.
- W1553447615 hasConceptScore W1553447615C176230804 @default.
- W1553447615 hasConceptScore W1553447615C33923547 @default.
- W1553447615 hasConceptScore W1553447615C54775282 @default.
- W1553447615 hasConceptScore W1553447615C556758197 @default.
- W1553447615 hasConceptScore W1553447615C61797465 @default.
- W1553447615 hasConceptScore W1553447615C62520636 @default.
- W1553447615 hasConceptScore W1553447615C85393063 @default.
- W1553447615 hasConceptScore W1553447615C86803240 @default.
- W1553447615 hasConceptScore W1553447615C91602232 @default.
- W1553447615 hasLocation W15534476151 @default.
- W1553447615 hasOpenAccess W1553447615 @default.
- W1553447615 hasPrimaryLocation W15534476151 @default.
- W1553447615 hasRelatedWork W1590646785 @default.
- W1553447615 hasRelatedWork W181402031 @default.
- W1553447615 hasRelatedWork W1974102710 @default.
- W1553447615 hasRelatedWork W1976771857 @default.
- W1553447615 hasRelatedWork W2012419532 @default.
- W1553447615 hasRelatedWork W2036013228 @default.
- W1553447615 hasRelatedWork W2045299318 @default.
- W1553447615 hasRelatedWork W2076057077 @default.
- W1553447615 hasRelatedWork W2100252122 @default.
- W1553447615 hasRelatedWork W2131305140 @default.
- W1553447615 hasRelatedWork W2138197227 @default.
- W1553447615 hasRelatedWork W2164126239 @default.
- W1553447615 hasRelatedWork W2169635790 @default.
- W1553447615 hasRelatedWork W2176054402 @default.
- W1553447615 hasRelatedWork W2185589112 @default.
- W1553447615 hasRelatedWork W2210374233 @default.
- W1553447615 hasRelatedWork W2346624561 @default.
- W1553447615 hasRelatedWork W2514430699 @default.
- W1553447615 hasRelatedWork W2606650242 @default.
- W1553447615 hasRelatedWork W3021444882 @default.
- W1553447615 isParatext "false" @default.
- W1553447615 isRetracted "false" @default.
- W1553447615 magId "1553447615" @default.
- W1553447615 workType "article" @default.