Statistical testing and estimation in continuous time interest rate models
The shape of drift function in continuous time interest rate models has been investigated by many authors during the past decade. The main concerns have been whether the drift function is linear or nonlinear, but no convincing conclusions have been seen. In this dissertation, we investigate the reas...
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| Format: | Others |
| Language: | en_US |
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Texas A&M University
2006
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| Online Access: | http://hdl.handle.net/1969.1/4189 |