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• W1984492020 abstract "The recent financial literature has been much concerned with the short-term interest rate. Several models have been proposed and studied quite extensively. Despite the number of models, relatively little is known about their empirical comparison. A first approach of this problem is proposed in Chan et al. (1992) using a Generalized Method of Moments. In this paper, we give a general form encompassing the most usual models and derive a well specified discrete time version. Then we study the ergodic properties in order to build a consistent econometric procedure based on a maximum likelihood approach. An empirical comparison is performed using U.S. Treasury Bill data. Finally we examine an estimation strategy, based on a two-step indirect simulated method, to account for the discretization bias." @default.
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• W1984492020 date "1995-09-01" @default.
• W1984492020 modified "2023-10-16" @default.
• W1984492020 title "Testing for continuous-time models of the short-term interest rate" @default.
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• W1984492020 doi "https://doi.org/10.1016/0927-5398(95)00003-d" @default.
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