Chapman, D. A., and N. D. Pearson, 1998, "Is the Short Rate Drift Actually Nonlinear?" working paper. Home/Search Document Details and Download
Summary Related Articles Check |
This paper is cited in the following contexts:
Estimating Continuous-time Stochastic Volatility.. - Madsen, Nielsen.. (Correct)
....1996) has proposed a method, where the Kolmogorov forward equation is used to extract a semi nonparametric estimator of the diffusion function when the drift function is given. The small sample properties of this method has been studied in (Pritsker, 1998) see also (Jiang and Knight, 1999; Chapman and Pearson, 1999). Unfortunately, it is difficult to extend these methods to cope with multivariate diffusion processes, in particular processes with unobserved states. 1 Corresponding author: Tlf 4525 3408, fax 4588 1397, Email hm imm.dtu.dk. 1 Another branch of the literature has extended the (Pedersen, ....
Chapman, D. A. and Pearson, N. D. (1999), `Is the short rate drift actually nonlinear ?', Journal of Finance . Forthcoming.
Nonlinear Mean Reversion in the Short-Term Interest Rate - Jones (1998) (25 citations) (Correct)
No context found.
Chapman, D. A., and N. D. Pearson, 1998, "Is the Short Rate Drift Actually Nonlinear?" working paper.
Online articles have much greater impact More about CiteSeer.IST Add search form to your site Submit documents Feedback
CiteSeer.IST - Copyright Penn State and NEC