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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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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
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Equilibrium interest rate models for the Indian Government security market
Chaudhuri, Sunrita; Pandey, Alok - In: International Journal of Financial Markets and … 10 (2024) 1, pp. 70-86
Persistent link: https://www.econbiz.de/10015064463
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A note on maximum likelihood estimation of the rational expectations model of the term structure
Sargent, Thomas J. - 1978
Persistent link: https://www.econbiz.de/10000703080
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Estimating affine multifactor term structure models using closed-form likelihood expansions
Aït-Sahalia, Yacine (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003783429
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Improved estimation strategy in multi-factor Vasicek model
Ahmed, S. Ejaz; Nkurunziza, Sévérien; Liu, Shuangzhe - In: Statistical inference, econometric analysis and matrix …, (pp. 255-270). 2009
Persistent link: https://www.econbiz.de/10003781036
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Bayesian versus maximum likelihood estimation of term structure models driven by latent diffusions
Frühwirth, Manfred; Schneider, Paul; Sögner, Leopold - In: Operations research proceedings 2005 : selected papers …, (pp. 507-512). 2006
Persistent link: https://www.econbiz.de/10003347723
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Arbitrary initial term structure within the CIR model : a perturbative solution
Mari, Carlo; Renò, Roberto - In: Applied mathematical finance 13 (2006) 2, pp. 143-153
Persistent link: https://www.econbiz.de/10003331421
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Default and recoverty implicit in the term structure of sovereign CDS spreads
Pan, Jun; Singleton, Kenneth J. - In: The journal of finance : the journal of the American … 63 (2008) 5, pp. 2345-2384
Persistent link: https://www.econbiz.de/10003822487
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Dynamic factor models with smooth loadings for analyzing the term structure of interest rates
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009
Persistent link: https://www.econbiz.de/10003851230