Is the Short Rate Drift Actually Nonlinear?
Aït-Sahalia (1996) and Stanton (1997) use nonparametric estimators applied to short-term interest rate data to conclude that the drift function contains important nonlinearities. We study the finite-sample properties of their estimators by applying them to simulated sample paths of a square-root dif...
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| Veröffentlicht in: | The Journal of finance (New York) 2000-02, Vol.55 (1), p.355-388 |
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| container_title | The Journal of finance (New York) |
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| creator | Chapman, David A. Pearson, Neil D. |
| description | Aït-Sahalia (1996) and Stanton (1997) use nonparametric estimators applied to short-term interest rate data to conclude that the drift function contains important nonlinearities. We study the finite-sample properties of their estimators by applying them to simulated sample paths of a square-root diffusion. Although the drift function is linear, both estimators suggest nonlinearities of the type and magnitude reported in Aït-Sahalia (1996) and Stanton (1997). Combined with the results of a weighted least squares estimator, this evidence implies that nonlinearity of the short rate drift is not a robust stylized fact. |
| doi_str_mv | 10.1111/0022-1082.00208 |
| format | Article |
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Combined with the results of a weighted least squares estimator, this evidence implies that nonlinearity of the short rate drift is not a robust stylized fact.</description><subject>Consistent estimators</subject><subject>Density estimation</subject><subject>Estimate reliability</subject><subject>Estimation bias</subject><subject>Estimators</subject><subject>Interest rates</subject><subject>Least squares</subject><subject>Mathematical independent variables</subject><subject>Mathematical models</subject><subject>Nonlinearity</subject><subject>Sample size</subject><subject>Short term</subject><subject>Studies</subject><subject>Trends</subject><issn>0022-1082</issn><issn>1540-6261</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2000</creationdate><recordtype>article</recordtype><recordid>eNqFkMFPwjAUxhujiYiePXhZvJpB-7qu3ckQFMQQSASVW1PWLgwng7ZE-e_dnOHqu7yXfN_vvXwPoWuCO6SqLsYAIcECOtWExQlqERbhMIaYnKLWUT1HF86tcV2MtdDdyAV-ZYLZqrQ-eFHeBA82z3zQS_1eFcUhmJSbIt8YZe8v0VmmCmeu_nobvQ4e5_2ncDwdjvq9cZgyKkSYGEEjzAROAXPNBGSY6kSBBg6wVEpparBZxswYDQprEyUspZRxopOMC6BtdNvs3dpytzfOy3W5t5vqpCRJxEkcAa1M3caU2tI5azK5tfmnsgdJsKwfIuvIso4sfx9SEVFDfOWFOfxnl8_TwajBbhps7XxpjxgAMFarYaPmzpvvo6rsh4w55Uy-T4ZyNnubk0WykDH9AUGld14</recordid><startdate>200002</startdate><enddate>200002</enddate><creator>Chapman, David A.</creator><creator>Pearson, Neil D.</creator><general>Blackwell Publishers, Inc</general><general>Blackwell Publishers</general><general>Blackwell Publishers Inc</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>200002</creationdate><title>Is the Short Rate Drift Actually Nonlinear?</title><author>Chapman, David A. ; Pearson, Neil D.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c5388-9e8340580c207d582f03d9a2d2722baaad3e0eb65eed2a0de495c33571d9f7823</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2000</creationdate><topic>Consistent estimators</topic><topic>Density estimation</topic><topic>Estimate reliability</topic><topic>Estimation bias</topic><topic>Estimators</topic><topic>Interest rates</topic><topic>Least squares</topic><topic>Mathematical independent variables</topic><topic>Mathematical models</topic><topic>Nonlinearity</topic><topic>Sample size</topic><topic>Short term</topic><topic>Studies</topic><topic>Trends</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Chapman, David A.</creatorcontrib><creatorcontrib>Pearson, Neil D.</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>The Journal of finance (New York)</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Chapman, David A.</au><au>Pearson, Neil D.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Is the Short Rate Drift Actually Nonlinear?</atitle><jtitle>The Journal of finance (New York)</jtitle><date>2000-02</date><risdate>2000</risdate><volume>55</volume><issue>1</issue><spage>355</spage><epage>388</epage><pages>355-388</pages><issn>0022-1082</issn><eissn>1540-6261</eissn><coden>JLFIAN</coden><abstract>Aït-Sahalia (1996) and Stanton (1997) use nonparametric estimators applied to short-term interest rate data to conclude that the drift function contains important nonlinearities. 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| language | eng |
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| source | Jstor Complete Legacy; Wiley Online Library Journals Frontfile Complete |
| subjects | Consistent estimators Density estimation Estimate reliability Estimation bias Estimators Interest rates Least squares Mathematical independent variables Mathematical models Nonlinearity Sample size Short term Studies Trends |
| title | Is the Short Rate Drift Actually Nonlinear? |
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