Citation:
Anatolyev, Stanislav and Sergey Korepanov (2003) "The term structure of Russian interest rates", Applied Economics Letters, vol. 10, no. 13, pp. 867-870
Abstract:
Using the series of Moscow Interbank Offer Rates, this paper estimates a flexible parametrization of the diffusion process following the approach of Ait-Sahalia (1996) of matching parametric and nonparametric estimates of the marginal density. On the basis of the estimated model, the implied term structure using simulations is computed.
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