Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/127279
Authors: 
Cserna, Balázs
Year of Publication: 
2008
Series/Report no.: 
Discussion Paper Series, University of Heidelberg, Department of Economics 462
Abstract: 
We show by Monte Carlo simulations that the jackknife estimation of QUENOUILLE (1956) provides substantial bias reduction for the estimation of short-term interest rate models applied in CHAN ET AL. (1992) - hereafter CKLS (1992). We find that an alternative estimation based on NOWMAN (1997) does not sufficiently solve the problem of time aggregation. We provide empirical distributions for parameter tests depending on the elasticity of conditional variance. Using three-month U.S. Treasury bill yields and the Federal fund rates, we demonstrate that the estimation results can depend on both the sampling frequency and the proxy that is used for interest rates.
Subjects: 
Elasticity of conditional variance
generalized method of moments
jackknife estimation
stochastic differential equations
short-term interest rate
JEL: 
C16
C52
Document Type: 
Working Paper

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