Abstract
This paper estimates and compares a variety of continuous-time models of the short-term riskless rate using the Generalized Method of Moments. The paper finds that the most successful models in capturing the dynamics of the short-term interest rate are those that allow the volatility of the interest rate changes to be highly sensitive to the level of the riskless rate.
Volume
47
Page
1209-1227
Year
1992
Categories
Actuarial Applications and Methodologies
Ratemaking
Trend and Loss Development
Investment Income
Actuarial Applications and Methodologies
Ratemaking
Trend and Loss Development
Required Profit
Financial and Statistical Methods
Asset and Econometric Modeling
Yield Curves
Publications
Journal of Finance