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~person:"To, Thuy Duong"
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Heath-Jarrow-Morton
2
term structure
2
FIML
1
Filtering
1
Jump-diffusion
1
Local Linearization
1
Term structure
1
full information maximum likelihood
1
heath-jarrow-morton
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humped forward volatility model
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interest rate futures
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likelihood transformation
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time-deterministic forward volatility
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To, Thuy Duong
Chiarella, Carl
18
Benth, Fred Espen
7
Krippner, Leo
6
Chen, Jun-Home
5
Lian, Yu-Min
5
Musti, Silvana
4
Bhar, Ram
3
Carmona, René
3
Fanelli, Viviana
3
Nadtochiy, Sergey
3
Sondermann, D.
3
To, Thuy-Duong
3
Alm, Jonas
2
Böckerman, Petri
2
Chandra, Amitabh
2
Chege Maina, Samuel
2
Detering, Nils
2
Fiedler, Beth Ann
2
Gaganis, Chrysovalantis
2
Goto, Rei
2
Gruber, Jonathan
2
Haapanen, Mika
2
Henrard, Marc
2
Johansson, Edvard
2
Kato, Hirotaka
2
Krühner, Paul
2
Lindskog, Filip
2
Maina, Samuel Chege
2
Mari, Carlo
2
McKnight, Robin
2
Miltersen, K.
2
Nikitopoulos, Christina Sklibosios
2
Nikitopoulos-Sklibosios, Christina
2
Pasiouras, Fotios
2
Piccirilli, Marco
2
Renò, Roberto
2
Tappe, Stefan
2
Vargiolu, Tiziano
2
Weber, Stefan
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Econometric Society
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Finance Discipline Group, Business School
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Royal Economic Society - RES
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Econometric Society 2004 Australasian Meetings
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Research Paper Series / Finance Discipline Group, Business School
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Royal Economic Society Annual Conference 2003
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RePEc
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1
The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison
To, Thuy Duong
;
Chiarella, Carl
-
Royal Economic Society - RES
-
2003
model is formulated under the
Heath
, Jarrow and Morton (1992) framework, and allows the presence of a Wiener noise and a …
Persistent link: https://www.econbiz.de/10005232489
Saved in:
2
A Maximum Likelihood Approach to Estimation of
Heath
-Jarrow-Morton Models
Bhar, Ram
;
Chiarella, Carl
;
To, Thuy Duong
-
Finance Discipline Group, Business School
-
2002
Research on the
Heath
-Jarrow-Morton (1992) term structure models so far has focused on the class having time …
Persistent link: https://www.econbiz.de/10004984491
Saved in:
3
Estimation of the Volatility Structure of the Fixed Income Market
To, Thuy Duong
;
Chiarella, Carl
-
Econometric Society
-
2004
This paper considers the dynamics for interest rate processes within the
Heath
, Jarrow and Morton (1992) specification …
Persistent link: https://www.econbiz.de/10005130170
Saved in:
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