dc.contributor.author |
Phillips, Peter |
en |
dc.contributor.author |
Yu, Jun |
en |
dc.date.accessioned |
2006-11-30T20:53:27Z |
en |
dc.date.available |
2006-11-30T20:53:27Z |
en |
dc.date.issued |
2000 |
en |
dc.identifier.citation |
Department of Economics Working Paper Series 215 |
en |
dc.identifier.uri |
http://hdl.handle.net/2292/161 |
en |
dc.description.abstract |
This paper proposes an exact Gaussian estimator for nonlinear continuous time models of the term structure of interest rates. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the finite sample performance of the proposed procedure offers an improvement over the discrete approximation method proposed by Nowman (1997). An empirical application to U.S. and British interest rates is given. |
en |
dc.format.extent |
application/pdf |
en |
dc.format.mimetype |
text |
en |
dc.language.iso |
en |
en |
dc.publisher |
ResearchSpace@Auckland |
en |
dc.relation.ispartofseries |
Department of Economics Working Paper Series (1997-2006) |
en |
dc.rights |
Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. |
en |
dc.rights.uri |
https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm |
en |
dc.subject.other |
Economics |
en |
dc.title |
Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings
of Economics Departments in New Zealand |
en |
dc.type |
Working Paper |
en |
dc.rights.holder |
Copyright: the author |
en |
dc.rights.accessrights |
http://purl.org/eprint/accessRights/OpenAccess |
en |
pubs.org-id |
Economics |
en |