期刊名称：COWLES Foundation Discussion Paper / Cowles Foundation for Research in Economics
出版年度：2001
卷号：2001
期号：1
出版社：Yale University
摘要：This paper proposes a Gaussian estimator for nonlinear continuous time models of the short term interest rate. 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.
