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A frequency decomposition of approximation errors in stochastic discount factor models
Cogley, Timothy - 1997
Persistent link: https://www.econbiz.de/10001362976
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Linear estimation and stochastic control
Davis, Mark H. A. - 1977 - 1. publ.
Persistent link: https://www.econbiz.de/10000089406
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Nonparametric statistical inference for stochastic optimal control problems and its applications for financial investment
Yang, Liu; Liang, Yanzi; Lan, Xinchen; Lu, Zheng - In: Finance research letters 64 (2024), pp. 1-12
Persistent link: https://www.econbiz.de/10014531668
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Bond rating changes and beta risk : an analysis of the relationship through the use of influence statistics
Clark, Corolyn E. - In: The journal of business and economic studies 2 (1993) 1, pp. 23-46
Persistent link: https://www.econbiz.de/10001217889
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Joint cross-section time-series maximum likelihood estimation for the parameters of the Cox-Ingersoll-Ross bond pricing model
Daves, Phillip R. - In: The financial review : the official publication of the … 28 (1993) 2, pp. 203-237
Persistent link: https://www.econbiz.de/10001146307
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Specifying a consistent joint maximum-likelihood (JMLE) approach to testing bond models
Ramamurtie, Buddhavarapu Sailesh; Ulman, Scott - 1996
Persistent link: https://www.econbiz.de/10000983752
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Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
Bishwal, Jaya Prakasah Narayan - In: Algorithmic finance 10 (2023) 1/2, pp. 53-66
Persistent link: https://www.econbiz.de/10014474576
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Costs of equity capital and model mispricing
Pástor, Ľuboš; Stambaugh, Robert F. - 1998
Persistent link: https://www.econbiz.de/10000659972
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Bayesian analysis of stochastic volatility models with levy jumps : application to risk analysis
Szerszen, Pawel J. - 2009
Persistent link: https://www.econbiz.de/10003932677