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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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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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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
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Non-linear interest rate dynamics and forecasting : evidence for US and Australian interest rates
McMillan, David G. - In: International journal of finance & economics : IJFE 14 (2009) 2, pp. 139-155
Persistent link: https://www.econbiz.de/10003824095
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Optimal rates from eigenvalues
Carr, Peter; Worah, Pratik - In: Finance research letters 16 (2016), pp. 230-238
Persistent link: https://www.econbiz.de/10011656191
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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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Interest rate convergence in the EMS prior to European Monetary Union
Frömmel, Michael; Kruse, Robinson - In: Journal of policy modeling : JPMOD ; a social science … 37 (2015) 6, pp. 990-1004
Persistent link: https://www.econbiz.de/10011478733
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Utility maximization in a stochastic affine interest rate and CIR risk premium framework : a BSDE approach
Zhang, Yumo - In: Decisions in economics and finance : a journal of … 46 (2023) 1, pp. 97-128
Persistent link: https://www.econbiz.de/10014321379