A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk
提出一种非参数方法估计离散观测的连续时间扩散过程，利用1965年1月至1995年7月的美国三个月和六个月国库券日数据，估计短期利率的漂移和扩散以及利率风险的市场价格，发现漂移存在显著非线性，在低中利率时接近零，高利率时均值回归急剧增强。
ABSTRACT This article presents a technique for nonparametrically estimating continuous‐time diffusion processes that are observed at discrete intervals. We illustrate the methodology by using daily three and six month Treasury Bill data, from January 1965 to July 1995, to estimate the drift and diffusion of the short rate, and the market price of interest rate risk. While the estimated diffusion is similar to that estimated by Chan, Karolyi, Longstaff, and Sanders (1992) , there is evidence of substantial nonlinearity in the drift. This is close to zero for low and medium interest rates, but mean reversion increases sharply at higher interest rates.