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Autor:innen: 
Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
Discussion Paper Series No. 462
Verlag: 
University of Heidelberg, Department of Economics, Heidelberg
Zusammenfassung: 
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.
Schlagwörter: 
Elasticity of conditional variance
generalized method of moments
jackknife estimation
stochastic differential equations
short-term interest rate
JEL: 
C16
C52
Dokumentart: 
Working Paper

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