# Short-rate model

## Papers overview

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2015

2015

- 2015

The application of maximum likelihood estimation is not well studied for stochastic short rate models because of the cumbersomeâ€¦Â (More)

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2014

2014

- 2014

We consider a short rate model, driven by a stochastic process on the cone of positive semidefinite matrices. We deriveâ€¦Â (More)

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Review

2010

Review

2010

- 2010

These notes provide an overview of singleand multi-factor models of the short rate. We will begin with a generic single-factorâ€¦Â (More)

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2009

2009

- 2009

We consider a problem of an optimal consumption strategy on the infinite time horizon when the short-rate is a diffusion processâ€¦Â (More)

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2003

2003

- 2003

We re-examine the empirical evidence concerning a well-known class of one-factor models for the short rate process (cf. Chan etâ€¦Â (More)

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Highly Cited

2002

Highly Cited

2002

- 2002

Using non-parametric estimation methods, various authors have shown distinct non-linearities in the drift and volatility functionâ€¦Â (More)

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2001

2001

- 2001

In the present paper we show how to extend any timeâ€“homogeneous shortâ€“rate model to a model which can reproduce any observedâ€¦Â (More)

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Highly Cited

2001

Highly Cited

2001

- 2001

This paper links the term structure to perceptions of moneta ry policy. Long-horizon forecasts of short rates required by noâ€¦Â (More)

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Highly Cited

1997

Highly Cited

1997

- 1997

A class of term structure models with volatility of lognormal type is analyzed in the general HJM framework. The correspondingâ€¦Â (More)

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Highly Cited

1995

Highly Cited

1995

- 1995

This paper develops a generalized regime-switching (GRS) model of the short-term interest rate. The model allows the short rateâ€¦Â (More)

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