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On the robustness of short-term interest rate models

Treepongkaruna, Sirimon; Gray, Stephen

Description

This paper investigates the robustness of a range of short-term interest rate models. We examine the robustness of these models over different data sets, time periods, sampling frequencies, and estimation techniques. We examine a range of popular one-factor models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate. We find that parameter estimates are highly sensitive to all of these factors in the eight countries that we...[Show more]

CollectionsANU Research Publications
Date published: 2003
Type: Journal article
URI: http://hdl.handle.net/1885/88002
Source: Accounting and Finance
DOI: 10.1111/1467-629X.00084

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