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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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The impact of inflation rate announcements on interest rate volatility : Australian evidence
Silvapulle, Paramsothy; Pereira, Robert; Lee, John H. H. - 1993
Persistent link: https://www.econbiz.de/10000878845
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The impact of inflation rate announcements on interest rate volatility : Australian evidence
Silvapulle, Paramsothy; Pereira, Robert; Lee, John H. - 1993
Persistent link: https://www.econbiz.de/10000142832
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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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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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Recursive estimation for continuous time stochastic volatility models using the Milstein approximation
Koulis, Theodoro; Paseka, Alexander; Thavaneswaran, … - In: Journal of mathematical finance 3 (2013) 3, pp. 357-365
Persistent link: https://www.econbiz.de/10010239543
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An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
Choi, Hwan-sik; Jeong, Minsoo; Park, Joon Y. - In: Journal of econometrics 178 (2014) 1, pp. 539-557
Persistent link: https://www.econbiz.de/10010256867
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Estimating single factor jump diffusion interest rate models
Sorwar, Ghulam - In: Applied financial economics 21 (2011) 22/24, pp. 1679-1689
Persistent link: https://www.econbiz.de/10009385057
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Regime shifts in interest rate volatility
Sun, Licheng - In: Journal of empirical finance 12 (2005) 3, pp. 418-434
Persistent link: https://www.econbiz.de/10002900508
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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