Document Type
Article
Publication Date
2009
Abstract
We propose a simple, flexible approach to nonparametric estimation and specification testing for a two-factor interest rate model. These methods are illustrated with a Monte Carlo experiment and an empirical example.
Recommended Citation
Thompson, Brennan S., "Nonparametric estimation and specification testing of a two-factor interest rate model" (2009). Economics Publications and Research. Paper 8.
http://digitalcommons.ryerson.ca/economics/8
Comments
Also available for download from: http://ideas.repec.org/a/ebl/ecbull/eb-09-00130.html