Stephen Gray
Fuqua School of Business, Duke University, Durham, NC 27708
Abstract
The short-term interest rate is one of the most important variables in financial economics. Indeed, there are perhaps more models of the stochastic process of interest rates than of any other financial variable. This is because a reliable model of interest rates is an essential input of valuing almost all securities. Until recently, however, relatively little was known about the empirical performance of various competing models.