A simple approach to the estimation of continuous time CEV stochastic volatility models of the short-term rate
By: Fabio Fornari and Antonio Mele.
Contributors: Mele, Antonio.; Banca d'Italia. Servizio studi
Series: Temi di discussione -- 395
Publisher: Banca d'Italia
Published: 2001
Place of publication: [Roma]
Language: eng
Number of pages: 68
Subjects: Interest rates -- Forecasting.; Stochastic approximation.
Notes: "February 2001."

Includes bibliographical references (p. [63]-68).