Browse OFOR Working Paper Series by Subject "proxy problem"

  • Chapman, David A.; Long, John B., Jr.; Pearson, Neil D. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1998-09-23)
    The dynamics of the unobservable “short” or “instantaneous” rate of interest are frequently estimated using a proxy variable. We show the biases resulting from this practice (the “proxy” problem) are related to the derivatives ...

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