Mathematical Problems in Engineering / 2014 / Article / Tab 3

Research Article

Modeling the Dynamics of Shanghai Interbank Offered Rate Based on Single-Factor Short Rate Processes

Table 3

Results of the Vuong test.

Merton GBM Vasicek CIR MRJD

Merton 4.180489 2.241832 4.799925 4.317839
GBM 3.370632 3.110825 3.799735
Vasicek 2.012456 2.482186
CIR 3.302152

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