Is The Short Rate Drif Actually Nonlinear ?  

Oleh:

Pearson, Neil D. ; Chapman, David A.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 1 (2000), page 355-388.
Topik: non linear; interest rates; short term; trends; studies; mathematical modls
Fulltext: p 355.pdf (699.98KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Ait - shalia (1996) and stanton (1997) use non parametric estimators applied to short - term interest rate data to conclude that the drift function contains important non linearities. We study the finite - sample properties of their estimators by applying them to simulated sample paths of a square - root diffusion. Although the drift function is linear, both estimators suggestnon linearities of the type and magnitude reproted in ait - sahalia (1996) and stanton (1997). Combined with the ressults of a weighted least squares estimator, this evidence implies that non linearity of the short rate drift is not a robust stylized fact.

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