Evidence on simulation inference for near unit-root processes with implications for term structure estimation
GR Duffee, RH Stanton - Journal of Financial Econometrics, 2008 - academic.oup.com
The high persistence of interest rates has important implications for the preferred method used to estimate term structure models. We study the finite-sample properties of two standard …
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The high persistence of interest rates has important implications for the preferred method used to estimate term structure models. We study the finite-sample properties of two standard …