Browsing Strathmore Institute of Mathematical Sciences (SIMs) by Subject "Generalized Method of Moments (GMM)"
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A Comparative study on mathematical models for interest rate dynamics: a Kenyan case study
(Strathmore University, 2021)This dissertation calibrates equilibrium one-factor short-term interest rate models to the evolution of interest rate dynamics in Kenya. The aim of the study is to find out which one-factor short-rate model best captures ...