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An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
Jagannathan, Ravi; Kaplin, Andrew; Sun, Steve - In: Journal of econometrics 116 (2003) 1/2, pp. 113-146
Persistent link: https://www.econbiz.de/10001772145
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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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Pricing with finite dimensional dependence
Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 187 (2015) 2, pp. 408-417
Persistent link: https://www.econbiz.de/10011499694
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Forecasts of US short-term interest rates : a flexible forecast combination approach
Guidolin, Massimo; Timmermann, Allan - In: Journal of econometrics 150 (2009) 2, pp. 297-311
Persistent link: https://www.econbiz.de/10003858910
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Do interest rate options contain information about excess returns?
Almeida, Caio; Graveline, Jeremy J.; Joslin, Scott - In: Journal of econometrics 164 (2011) 1, pp. 35-44
Persistent link: https://www.econbiz.de/10009270414
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The surprise element: jumps in interest rates
Das, Sanjiv R. - In: Journal of econometrics 106 (2002) 1, pp. 27-65
Persistent link: https://www.econbiz.de/10001633688
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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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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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On the power of tests for superexogeneity and structural invariance
Psaradakis, Zacharias G. - In: Journal of econometrics 72 (1996) 1, pp. 151-175
Persistent link: https://www.econbiz.de/10001198020
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Staying at zero with affine processes : an application to term structure modelling
Monfort, Alain; Pegoraro, Fulvio; Renne, Jean-Paul; … - In: Journal of econometrics 201 (2017) 2, pp. 348-366
Persistent link: https://www.econbiz.de/10011920515