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        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models
        Estimating Parameters of Short-Term Real Interest Rate Models

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        Estimating Parameters of Short-Term Real Interest Rate Models

        ABSTRACT

        This paper sheds light on a narrow but crucial question in finance: What should be the parameters of a model of the short-term real interest rate? Although models for the nominal interest rate are well studied and estimated, dynamics of the real interest rate are rarely explored. Simple ad hoc processes for the short-term real interest rate are usually assumed as building blocks for more sophisticated models. In this paper, parameters of the real interest rate model are estimated in the broad class of single-factor interest rate diffusion processes on U.S.

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        • TypeReport
        • PriceFree
        • FormatPDF
        • Size635 KB
        • LanguageEnglish
        • Stacks0
        • Postedalmost 4 years ago
        • Authored-
        • Added byHashdoc Content Review
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