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An Empirical Comparison of Alternative Models of the Short‐Term Interest Rate
Abstract
We estimate and compare a variety of continuous‐time models of the short‐term riskless rate using the Generalized Method of Moments. We find that the most successful models in capturing the dynamics of the short‐term interest rate are those that allow the volatility of interest rate changes to be highly sensitive to the level of the riskless rate. A number of well‐known models perform poorly in the comparisons because of their implicit restrictions on term structure volatility. We show that these results have important implications for the use of different term structure models in valuing interest rate contingent claims and in hedging interest rate risk.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Cited by
Empirical Performance of Alternative Option Pricing Models
Bakshi, G., Cao, C., & Chen, Z. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb02749.x · Cited by 2,707
A Simple Approach to Valuing Risky Fixed and Floating Rate Debt
LONGSTAFF, F. A., & SCHWARTZ, E. S. (1995) · The Journal of Finance · doi:10.1111/j.1540-6261.1995.tb04037.x · Cited by 2,089
Self-citationProspect Theory and Asset Prices
Barberis, N., Huang, M., & Santos, T. (2001) · The Quarterly Journal of Economics · doi:10.1162/003355301556310 · Cited by 1,895
The econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
What good is a volatility model?
Engle, R. F., & Patton, A. J. (2001) · Quantitative Finance · doi:10.1088/1469-7688/1/2/305 · Cited by 688
Metadata
- Authors
- CHAN, K. C., KAROLYI, G. A., LONGSTAFF, F. A., & SANDERS, A. B.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1992-07
- Volume
- 47
- Issue
- 3
- Pages
- 1209-1227
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2138197227
- Cited by
- 1,679
- References
- 1
- FWCI
- 39.69
- Type
- journal article
- Language
- en
- Open access
- closed
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- CHAN, K. C., KAROLYI, G. A., LONGSTAFF, F. A., & SANDERS, A. B. (1992). An Empirical Comparison of Alternative Models of the Short‐Term Interest Rate. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1992.tb04011.x
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
