Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels
Year of publication: |
2012
|
---|---|
Authors: | Gospodinov, Nikolay ; Hirukawa, Masayuki |
Published in: |
Journal of Empirical Finance. - Elsevier, ISSN 0927-5398. - Vol. 19.2012, 4, p. 595-609
|
Publisher: |
Elsevier |
Subject: | Nonparametric regression | Gamma kernel | Diffusion estimation | Spot interest rate | Derivative pricing |
Type of publication: | Article |
---|---|
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G13 - Contingent Pricing; Futures Pricing |
Source: |
-
Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels
Gospodinov, Nikolay, (2008)
-
Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels
Gospodinov, Nikolaj, (2012)
-
Nonparametric regression estimation for multivariate null recurrent processes
Cai, Biqing, (2015)
- More ...
-
Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels
Gospodinov, Nikolay, (2008)
-
Gospodinov, Nikolay, (2008)
-
Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels
Gospodinov, Nikolay, (2012)
- More ...