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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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Expected a posteriori estimation in financial applications
Mazzoni, Thomas - 2008
Persistent link: https://www.econbiz.de/10003699961
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Modeling multivariate interest rates using time-varying copulas and reducible nonlinear stochastic differential equations
Bu, Ruijun; Giet, Ludovic; Hadri, Kaddour; Lubrano, Michel - In: Journal of financial econometrics : official journal of … 9 (2011) 1, pp. 198-236
Persistent link: https://www.econbiz.de/10009125140
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Estimation of continuous-time models for stock returns and interest rates
Gallant, A. Ronald - In: Macroeconomic dynamics 1 (1997) 1, pp. 135-168
Persistent link: https://www.econbiz.de/10001337436
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Volatility analysis with realized GARCH-Itô models
Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
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Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu; Wang, Yazhen - In: Journal of econometrics 194 (2016) 2, pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
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Application of the generalized method of moments for estimating continuous-time models of U.S. short-term interest rates
Cserna, Balázs - 2008
We show by Monte Carlo simulations that the jackknife estimation of QUENOUILLE (1956) provides substantial bias reduction for the estimation of short-term interest rate models applied in CHAN ET AL. (1992) - hereafter CKLS (1992). We find that an alternative estimation based on NOWMAN (1997)...
Persistent link: https://www.econbiz.de/10003747325
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Bayesian estimation of volatility with moment-based nonlinear stochastic filters
Grothe, Oliver - 2006
Persistent link: https://www.econbiz.de/10013409325
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Volatility, estimates of the short-term interest rate with an application to German data
Dankenbring, Henning - In: Kredit und Kapital 33 (2000) 4, pp. 548-570
Persistent link: https://www.econbiz.de/10001554586
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Volatility estimates of the short term interest rate with an application to German data
Dankenbring, Henning - 1998
Persistent link: https://www.econbiz.de/10000997987