Computation and Estimation of Shadow Interest Rate Models


Second order cumulant approximation method proposed by Priebsch (2013) is widely used in shadow rate term structure models. We provide an error analysis for this method, demonstrate large potential errors with realistic... [ view full abstract ]


  1. Muchen Zhao (Northwestern University)
  2. Vadim Linetsky (Northwestern University)

Topic Areas

Interest Rates , Term-Structure Models


TU-P-EM » Interest Rate, Yield Curves, and Derivatives (14:30 - Tuesday, 17th July, Emmet)

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