An Empirical Comparison of Alternative Models of the Short‐Term Interest Rate
用广义矩方法估计并比较多种短期利率连续时间模型，发现允许利率波动率对利率水平高度敏感的模型表现最佳，而一些知名模型因隐含的期限结构波动率限制表现不佳。
ABSTRACT We estimate and compare a variety of continuous‐time models of the short‐term riskless rate using the Generalized Method of Moments. We find that the most successful models in capturing the dynamics of the short‐term interest rate are those that allow the volatility of interest rate changes to be highly sensitive to the level of the riskless rate. A number of well‐known models perform poorly in the comparisons because of their implicit restrictions on term structure volatility. We show that these results have important implications for the use of different term structure models in valuing interest rate contingent claims and in hedging interest rate risk.