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Testing for threshold diffusion
Su, Fei; Chan, Kung-sik - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 218-227
Persistent link: https://www.econbiz.de/10011704178
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Reducible diffusions with time-varying transformations with application to short-term interest rates
Bu, Ruijun; Cheng, Jie; Hadri, Kaddour - In: Economic modelling 52 (2016), pp. 266-277
Persistent link: https://www.econbiz.de/10011645653
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Conditional Gauss-Hermite filtering with application to volatility estimation
Singer, Hermann - 2008
Persistent link: https://www.econbiz.de/10003795449
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Expected a posteriori estimation in financial applications
Mazzoni, Thomas - 2008
Persistent link: https://www.econbiz.de/10003699961
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Functionals associated with gradient stochastic flows and nonlinear SPDEs
Iftimie, Bogdan; Mazurencu Marinescu, Miruna; Vârsan, … - In: Advanced mathematical methods for finance, (pp. 397-415). 2011
Persistent link: https://www.econbiz.de/10008991280
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Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
Zhang, Yumo - In: Annals of finance 18 (2022) 4, pp. 511-544
Persistent link: https://www.econbiz.de/10013489465
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Continuous time modelling based on an exact discrete time representation
Chambers, Marcus J.; MacCrorie, J. Roderick; Thornton, … - University of Essex / Department of Economics - 2017
Persistent link: https://www.econbiz.de/10013162724
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Forecasting dirty tanker freight rate index by using stochastic differential equations
Jafari, Hossein; Rahimi, Ghazaleh - In: International journal of financial engineering 5 (2018) 4, pp. 1-15
Persistent link: https://www.econbiz.de/10012028815
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A bootstrap test for the comparison of nonlinear time series : with application to interest rate modelling
Dette, Holger (contributor); Weißbach, Rafael (contributor) - 2006
We study the drift of stationary diffusion processes in a time series analysis of the autoregression function. A marked …
Persistent link: https://www.econbiz.de/10003355165
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Nonlinear Short-Term Interest Rate Dynamics
Kyrtsou, Catherine; Vorlow, Costas E. - 2007
Recent empirical researches have examined the relationship between US short-term interest rates using linear as well nonlinear econometric tools. The main objective of this paper is to employ a new dynamic model that combines the bivariate noisy Mackey-Glass and the BEKK GARCH processes...
Persistent link: https://www.econbiz.de/10014049418