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，估计了短期利率的单因子连续时间模型，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。
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.