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Bollerslev, Tim
5
Christoffersen, Peter F.
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Longstaff, Francis A.
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Aït-Sahalia, Yacine
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Le, Anh
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Journal of financial economics
Journal of econometrics
1,934
Economics letters
1,295
Energy economics
1,060
NBER working paper series
1,058
NBER Working Paper
966
Working paper / National Bureau of Economic Research, Inc.
936
Econometric theory
755
Finance research letters
744
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
743
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649
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637
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540
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International review of financial analysis
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468
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The journal of futures markets
437
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Journal of empirical finance
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CEMMAP working papers / Centre for Microdata Methods and Practice
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
353
CESifo working papers
351
Applied financial economics
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Journal of the American Statistical Association : JASA
332
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
328
European journal of operational research : EJOR
328
Journal of applied econometrics
323
International journal of forecasting
318
Journal of international financial markets, institutions & money
305
The econometrics journal
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Journal of economic dynamics & control
302
Discussion paper
293
Research in international business and finance
288
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ECONIS (ZBW)
309
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1
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309
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1
Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
Brandt, Michael W.
;
Santa-Clara, Pedro
- In:
Journal of financial economics
63
(
2002
)
2
,
pp. 161-210
Persistent link: https://www.econbiz.de/10001636757
Saved in:
2
Treasury yield implied
volatility
and real activity
Cremers, Martijn
;
Fleckenstein, Matthias
;
Gandhi, Priyank
- In:
Journal of financial economics
140
(
2021
)
2
,
pp. 412-435
Persistent link: https://www.econbiz.de/10012650450
Saved in:
3
Estimating affine multifactor term structure models using closed-form likelihood expansions
Aït-Sahalia, Yacine
;
Kimmel, Robert
- In:
Journal of financial economics
98
(
2010
)
1
,
pp. 113-144
Persistent link: https://www.econbiz.de/10008702741
Saved in:
4
Maximum likelihood estimation of stochastic
volatility
models
Aït-Sahalia, Yacine
;
Kimmel, Robert
- In:
Journal of financial economics
83
(
2007
)
2
,
pp. 413-452
Persistent link: https://www.econbiz.de/10003425468
Saved in:
5
Likelihood-based specification analysis of continuous-time models of the short-term interest rate
Durham, Garland B.
- In:
Journal of financial economics
70
(
2003
)
3
,
pp. 463-487
Persistent link: https://www.econbiz.de/10001837787
Saved in:
6
Term structure estimation without using latent factors
Duffee, Greg
- In:
Journal of financial economics
79
(
2006
)
3
,
pp. 507-536
Persistent link: https://www.econbiz.de/10003289292
Saved in:
7
On biases in tests of the expectations hypothesis of the term structure of interest rates
Bekaert, Geert
- In:
Journal of financial economics
44
(
1997
)
3
,
pp. 309-348
Persistent link: https://www.econbiz.de/10001224560
Saved in:
8
Implied
volatility
functions in arbitrage-free term structure models
Amin, Kaushik I.
- In:
Journal of financial economics
35
(
1994
)
2
,
pp. 141-180
Persistent link: https://www.econbiz.de/10001159961
Saved in:
9
Pricing the term structure with linear regressions
Adrian, Tobias
;
Crump, Richard K.
;
Mönch, Emanuel
- In:
Journal of financial economics
110
(
2013
)
1
,
pp. 110-138
Persistent link: https://www.econbiz.de/10010207769
Saved in:
10
Option valuation with long-run and short-run
volatility
components
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
- In:
Journal of financial economics
90
(
2008
)
3
,
pp. 272-297
Persistent link: https://www.econbiz.de/10003833351
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