This paper proposes a semiparametric time-dependent jump diffusion model in an effort to capture the dynamic behavior of short-term interest rates. The newly proposed model includes a wide variety of well-known interest rate models, incorporating the time-varying instantaneous return, volatility as well as jump component. The local likelihood density estimation technique together with pseudo likelihood estimation method is employed to estimate the parameters of the model. Some simulations are conducted to examine the statistical performance of our estimators. The proposed procedure is then applied to analyze daily federal funds rate.

中文翻译：

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基于似然度的短期利率半参数跳跃扩散模型的估计

本文提出了一个半参数时间相关的跳跃扩散模型，以期捕捉短期利率的动态行为。新提出的模型包括各种众所周知的利率模型，其中包括时变的瞬时收益，波动率和跳跃成分。局部似然密度估计技术与伪似然估计方法一起用于估计模型的参数。进行了一些模拟以检查我们的估计量的统计性能。然后将拟议的程序应用于分析每日联邦资金利率。