Poisson-Guassian Processes and the Bond Markets
收藏NBER1998-07-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w6631
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资源简介：
That interest rates move in a discontinuous manner is no surprise to participants in the bond markets. This paper proposes and estimates a class of Poisson-Gaussian processes that allow for jumps in interest rates. Estimation is undertaken using exact continuous-time and discrete-time estimators.
提供机构：
美国国家经济研究局
创建时间：
1998-07-01
