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Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
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Estimation of affine term structure models with spanned or unspanned stochastic volatility
Creal, Drew; Wu, Jing Cynthia - In: Journal of econometrics 185 (2015) 1, pp. 60-81
Persistent link: https://www.econbiz.de/10011339903
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Introduction to m-m processes
Granger, C. W. J.; Hyung, Namwon - In: Journal of econometrics 130 (2006) 1, pp. 143-164
Persistent link: https://www.econbiz.de/10003228633
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Estimation of a nonparametric model for bond prices from cross-section and time series information
Koo, Bonsoo; La Vecchia, Davide; Linton, Oliver - In: Journal of econometrics 220 (2021) 2, pp. 562-588
Persistent link: https://www.econbiz.de/10012618568
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Estimating continuous-time stochastic volatility models of the short-term interest rate
Andersen, Torben - In: Journal of econometrics 77 (1997) 2, pp. 343-377
Persistent link: https://www.econbiz.de/10001212838
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Threshold estimation of Markov models with jumps and interest rate modeling
Mancini, Cecilia; Renò, Roberto - In: Journal of econometrics 160 (2011) 1, pp. 77-92
Persistent link: https://www.econbiz.de/10009242541
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Quasi-likelihood estimation of a threshold diffusion process
Su, Fei; Chan, Kung-sik - In: Journal of econometrics 189 (2015) 2, pp. 473-484
Persistent link: https://www.econbiz.de/10011504631
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The SR approach : a new estimation procedure for non-linear and non-Gaussian dynamic term structure models
Andreasen, Martin Møller; Christensen, Bent Jesper - In: Journal of econometrics 184 (2015) 2, pp. 420-451
Persistent link: https://www.econbiz.de/10011339282
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Direct estimation of the risk neutral factor dynamcis of Gaussian term structure models
Bams, Dennis; Schotman, Peter C. - In: Journal of econometrics 117 (2003) 1, pp. 179-206
Persistent link: https://www.econbiz.de/10001787610
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Purebred or hybrid? : reproducing the volatility in term structure dynamics
Ahn, Dong-Hyun; Dittmar, Robert F.; Gallant, A. Ronald; … - In: Journal of econometrics 116 (2003) 1/2, pp. 147-180
Persistent link: https://www.econbiz.de/10001772146