Article1996

Another Look at Models of the Short-Term Interest Rate

Robin J. Brenner · Richard H. Harjes · Kenneth F. Kroner

306 citations0/0 files storedJournal of Financial and Quantitative Analysis

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Stochastic processes and financial applications Monetary Policy and Economic Impact Financial Markets and Investment Strategies

Abstract

Robin J. Brenner, Richard H. Harjes, Kenneth F. Kroner, Another Look at Models of the Short-Term Interest Rate, The Journal of Financial and Quantitative Analysis, Vol. 31, No. 1 (Mar., 1996), pp. 85-107

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1985A Theory of the Term Structure of Interest Rates 2005Theory of rational option pricing 1977An equilibrium characterization of the term structure 2016Numerical solution of stochastic differential equations 1992ARCH modeling in finance 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

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