CKLS

AcronymDefinition
CKLSCentral Kansas Library System
CKLSChan, Karolyi, Longstaff, and Sanders (finance)
CKLSCentral Kentucky Legal Services, Inc. (Lexington, KY)
References in periodicals archive ?
Although (P(t), [[eta].sub.1](t)), and (Q(t), [[eta].sub.2](t)) are obtained in closed-form solutions under the CKLS setting, for longevity bond valuation we must resort to numerical computation.
Model [alpha] [mu] [sigma] [gamma] Vasicek 0 Brennan-Schwartz 1 CIR SR 1/2 CIR VR 0 3/2 CKLS [0, 3/2] Table 2: Monte Carlo study parameters.
As in CKLS (1992), we find that the conditional variance of changes in the three-month U.S.
CKLS (1992) assume that the short-term interest rate follows a continuous-time stochastic process {[R.sub.t] | t[greater than or equal to] 0} which solves a time-homogenous, one-factor, diffusion-type SDE, of the form
We have illustrated that the GMM estimation applied in CKLS (1992) for estimating continuous-time models of the short-term interest rate suffers from significant estimation bias, which could be reduced by means of the jackknife estimation under the assumption that the short-term interest rate can be approximated by a discrete-time process.
However, when [Gamma] is unrestricted in the models of Cox-Ross CEV and unrestricted CKLS, the coefficient estimate on [[Delta].sup.2] is insignificant.
For a visual comparison of the models, figure 2 plots the absolute interest rate change against the conditional standard deviation estimates obtained from three models--the unrestricted CKLS discretised diffusion model as in equation 2, the GARCH model as in equation 3 and the KNSW model as in equation 4.(19)
The CKLS estimates closely follow the pattern of interest rate levels and tend to be too smooth.
Across all metrics, the worst performing model is the generalised CKLS while GARCH is marginally preferred over the KNSW predictions.
Interest rate volatility predictions are implied from parameter estimates obtained for the unrestricted CKLS discretised diffusion model as in equation 2, the GARCH model as in equation 3 and the KNSW model as in equation 4.