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The statistical and economic role of jumps in continuous-time interest rate models

This paper analyzes the role of jumps in continuous-time short rate models. I first develop a test to detect jump-induced misspecification and, using treasury bill rates, find evidence for the presence of jumps. Second, I specify and estimate a nonparametric jump-diffusion model. Results indicate that jumps play an important statistical role. Estimates of jump times and sizes indicate that unexpected news about the macroeconomy generates the jumps. .Printed Journal

Ketersediaan

Call NumberLocationAvailable
PSB lt.dasar - Pascasarjana1
Penerbit The American Finance Association.,
Edisi -
Subjek -
ISBN/ISSN 00221082
Klasifikasi -
Deskripsi Fisik -
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