Testing Continuous-Time Models of the Spot Interest Rate
Testing Continuous-Time Models of the Spot Interest Rate
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DOI：
10.3386/w5346
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发表时间：
1995-11
期刊：
影响因子：
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通讯作者：
Yacine Ait-Sahalia
中科院分区：
文献类型：
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作者：
Yacine Ait-Sahalia
文献中同时存在不同的连续时间利率模型。我们通过将隐含的参数密度与非参数估计的相同密度进行比较来测试参数模型。我们不会用离散近似代替连续时间模型，即使数据是以离散间隔记录的。现有模型被拒绝的主要原因是漂移的强非线性。在其均值附近，漂移基本上为零，即期汇率的行为类似于随机游走。当远离平均值时，漂移会强烈回归平均值。远离均值时波动性较高。
Different continuous-time models for interest rates coexist in the literature. We test parametric models by comparing their implied parametric density to the same density estimated nonparametrically. We do not replace the continuous-time model by discrete approximations, even though the data are recorded at discrete intervals. The principal source of rejection of existing models is the strong nonlinearity of the drift. Around its mean, where the drift is essentially zero, the spot rate behaves like a random walk. The drift then mean-reverts strongly when far away from the mean. The volatility is higher when away from the mean.