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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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Comparing term structure estimation techniques : an exercise with Brazilian data
Stivali, Matheus; Fiorucci, José Augusto; Matsushita, … - 2024
context of yield curve estimation are novel contributions. …
Persistent link: https://www.econbiz.de/10015076001
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New methods for estimating nonlinear continuous time interest rate processes
Mella-Barral, Pierre; Perraudin, William R. M. - 1994
Persistent link: https://www.econbiz.de/10000147754
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Feasible estimation of the long term interest rate dynamics by nonlinear techniques
Fink, S.; Walde, J. - In: Computational finance and its applications III : …, (pp. 43-50). 2008
Persistent link: https://www.econbiz.de/10003713251
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Volatility estimates of the short term interest rate with an application to German data
Dankenbring, Henning - 1998
This paper proposes a procedure for testing alternative specifications of the short term interest rate's dynamics which takes into account that according to some restrictions the interest rate is nonstationary, i.e. the traditional test statistic has a non-standard distribution. Moreover, we do...
Persistent link: https://www.econbiz.de/10009578570
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Application of maximum likelihood estimation to stochastic short rate models
Fergusson, Kevin; Platen, Eckhard - 2015
Persistent link: https://www.econbiz.de/10011344233
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Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
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A new linear estimator for Gaussian dynamic term structure models
Díez de los Ríos, Antonio - 2013
This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that … asymptotically equivalent to maximum likelihood estimation. Further, we note that our estimator remains easy-to-compute and …
Persistent link: https://www.econbiz.de/10009734347
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Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels
Gospodinov, Nikolaj; Hirukawa, Masayuki - In: Journal of empirical finance 19 (2012) 4, pp. 595-609
Persistent link: https://www.econbiz.de/10009615659
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Application of maximum likelihood estimation to stochastic short rate models
Fergusson, Kevin; Platen, Eckhard - In: Annals of financial economics 10 (2015) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10011408524