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Article Dans Une Revue Journal of Empirical Finance Année : 2007

Indirect robust estimation of the short-term interest rate process

G. Andrew Karolyi
  • Fonction : Auteur
Elvezio Ronchetti
  • Fonction : Auteur

Résumé

We propose Indirect Robust Generalized Method of Moments (IRGMM), a simulation-based estimation methodology, to model short-term interest rate processes. The primary advantage of IRGMM relative to classical estimators of the continuous-time short-rate diffusion processes is that it corrects both the errors due to discretization and the errors due to model misspecification. We apply this approach to monthly US risk free rates and to various monthly Eurocurrency rates and provide extensive evidence of its predictive performances in a variety of settings.

Dates et versions

hal-00463251 , version 1 (11-03-2010)

Identifiants

Citer

Veronika Czellar, G. Andrew Karolyi, Elvezio Ronchetti. Indirect robust estimation of the short-term interest rate process. Journal of Empirical Finance, 2007, Vol.14, n°4, pp.546-563. ⟨10.1016/j.jempfin.2006.09.004⟩. ⟨hal-00463251⟩

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