Estimation of continuous-time models for stock returns and interest rates
dc.contributor.author | Gallant, AR | |
dc.contributor.author | Tauchen, G | |
dc.date.accessioned | 2010-06-28T18:59:01Z | |
dc.date.issued | 1997-12-01 | |
dc.description.abstract | Efficient Method of Moments is used to estimate and test continuous-time diffusion models for stock returns and interest rates. For stock returns, a four-state, two-factor diffusion with one state observed can account for the dynamics of the daily return on the S&P Composite Index, 1927-1987. This contrasts with results indicating that discrete-time, stochastic volatility models cannot explain these dynamics. For interest rates, a trivariate Yield-Factor Model is estimated from weekly, 1962-1995, Treasury rates. The Yield-Factor Model is sharply rejected, although extensions permitting convexities in the local variance come closer to fitting the data. | |
dc.format.mimetype | application/pdf | |
dc.identifier.issn | 1365-1005 | |
dc.identifier.uri | ||
dc.language.iso | en_US | |
dc.relation.ispartof | Macroeconomic Dynamics | |
dc.title | Estimation of continuous-time models for stock returns and interest rates | |
dc.type | Journal article | |
pubs.begin-page | 135 | |
pubs.end-page | 168 | |
pubs.issue | 1 | |
pubs.organisational-group | Duke | |
pubs.organisational-group | Economics | |
pubs.organisational-group | Faculty | |
pubs.organisational-group | Trinity College of Arts & Sciences | |
pubs.publication-status | Published | |
pubs.volume | 1 |
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