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- W2103755957 abstract "This paper investigates the robustness of a range of short-term interest rate models. We examine the robustness of these models over different data sets, time periods, sampling frequencies, and estimation techniques. We examine a range of popular one-factor models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate. We find that parameter estimates are highly sensitive to all of these factors in the eight countries that we examine. Since parameter estimates are not robust, these models should be used with caution in practice." @default.
- W2103755957 created "2016-06-24" @default.
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- W2103755957 date "2003-03-19" @default.
- W2103755957 modified "2023-09-23" @default.
- W2103755957 title "On the Robustness of Short-Term Interest Rate Models" @default.
- W2103755957 hasPublicationYear "2003" @default.
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