[Estimation of models of the term structure of interest rates]
(1996) XLIVe Annual Congress of the Association-Francaise-de-Science-Economique — Location: PARIS(France) (21.September.1995)
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- Abstract
- We examine several estimation methods of one of the most useful instruments in interest rate risk management: the term structure of interest rates. We present mainly simulation-based methods al!owing for parametric estimation of continuous time models.
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Broze, L., Scaillet, O., & Zakoian, J. (1996). [Estimation of models of the term structure of interest rates]. Revue économique / Ecole des hautes études en sciences sociales, 47(3), 511-519. https://hdl.handle.net/2078.5/44462 (Original work published 1996)