CHANKAROLYI—GMM Estimation of Interest Rate Models

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

CHANKAROLYI—GMM Estimation of Interest Rate Models

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CHANKAROLYI.RPF is based upon the model for interest rates from Chan, Karolyi, Longstaff and Sanders(1992). The model generates a conditional mean and a conditional variance and estimates the underlying parameters with NLSYSTEM.

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