Gaussian Estimation of Single‐Factor Continuous Time Models of The Term Structure of Interest Rates
首次将连续时间动态模型的高斯估计方法应用于金融领域，估计了多种单因子短期利率模型，并与CKLS的离散近似方法比较，发现美国短期利率波动对利率水平高度敏感，而英国则不然。
ABSTRACT This article presents the first application in finance of recently developed methods for the Gaussian estimation of continuous time dynamic models. A range of one factor continuous time models of the short‐term interest rate are estimated using a discrete time model and compared to a recent discrete approximation used by Chan, Karolyi, Longstaff, and Sanders (1992a, hereafter CKLS). Whereas the volatility of short‐term rates is highly sensitive to the level of rates in the United States, it is not in the United Kingdom.