On the Specification of the Drift and Diffusion Functions for Continuous‐time Models of the Spot Interest Rate*
探讨了连续时间短期利率模型中漂移和扩散函数的设定，用离散极大似然法估计7天欧洲美元利率的各种形式，发现非参数设定能有效解决参数识别问题，并支持漂移非线性的证据。
This paper explores the specification of drift and diffusion functions for continuous-time short-term interest rate models. Various forms for the drift and diffusion of 7-day Eurodollar rates are proposed and then estimated by discrete maximum-likelihood. The results suggest that a nonparametric specification of drift and volatility in terms of orthogonal polynomial expansions is effective in eliminating problems of parameter identification encountered previously. Some evidence is found to support the claim that the drift of the short term interest rate is nonlinear.