Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5069271 | Finance Research Letters | 2017 | 7 Pages |
Abstract
In empirical finance, interest rate models have been widely used for modeling short-term interest rate. Under the framework of the hypothesis testing, this paper provides a Bayesian approach for comparing a range of alternative models. These compared models are nested in a general single-factor diffusion process for the short-term interest rate, with each alternative model indexed by the level effect parameter for the volatility. The performance of the developed procedure is illustrated by an empirical example of Eurodollar deposit rates.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Yonghui Zhang, Zhongtian Chen, Yong Li,