Comparison of Alternative Models of the Short-term Interest Rate
Download or Read eBook Comparison of Alternative Models of the Short-term Interest Rate PDF written by Xin Bo and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle.
Author | : Xin Bo |
Publisher | : |
Total Pages | : 0 |
Release | : 2006 |
ISBN-10 | : OCLC:1127721852 |
ISBN-13 | : |
Rating | : 4/5 (52 Downloads) |
Book Synopsis Comparison of Alternative Models of the Short-term Interest Rate by : Xin Bo
Book excerpt: The paper proposes a procedure for testing the alternative continuous time models of short term riskless interest rates. Parameters estimation and models comparison are presented using the Generalized Method of Moments. An empirical research to LIBOR in US dollar is given and found that the volatility of interest rate changes is to be less sensitive to the interest rate levels in contrast to previous findings. In addition the Brennan-Schwartz model is suggested to be superior to the others in term of data fit under daily observations, and CIR SR model cannot be rejected.