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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
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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
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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
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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
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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
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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
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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
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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
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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
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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