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Estimation of affine term structure models with spanned or unspanned stochastic volatility
Creal, Drew; Wu, Jing Cynthia - 2014
Persistent link: https://www.econbiz.de/10010360896
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Arbitrary initial term structure within the CIR model : a perturbative solution
Mari, Carlo; Renò, Roberto - 2003
Persistent link: https://www.econbiz.de/10001763605
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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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Dynamic factor models with smooth loadings for analyzing the term structure of interest rates
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2010
We propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic factor model and show how to impose smoothness restrictions on the factor loadings. We further present a statistical procedure based on Wald tests that can be used to find a...
Persistent link: https://www.econbiz.de/10011378359
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Likelihood inference in non-linear term structure models : the importance of the lower bound
Andreasen, Martin; Meldrum, Andrew - 2013
Persistent link: https://www.econbiz.de/10010357117
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Markov-switching and stochastic volatility diffusion models of short-term interest rates
Smith, Daniel R. - 2000
Persistent link: https://www.econbiz.de/10001487318
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A two-factor model of the German term structure of interest rates
Cassola, Nuno - 2001
Persistent link: https://www.econbiz.de/10013434337
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How frequently does the stock price jump? : An analysis of high-frequency data with microstructure noises
Duan, Jin-Chuan (contributor); Fulop, Andras (contributor) - 2007
Persistent link: https://www.econbiz.de/10003494018
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A note on "continuous invertibility and stable QML estimation of the EGARCH(1,1) model"
Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; … - 2015
We revisit Wintenberger (2013) on the continuous invertibility of the EGARCH(1,1) model. We note that the definition of continuous invertibility adopted in Wintenberger (2013) may not always be sufficient to deliver strong consistency of the QMLE. We also take the opportunity to provide other...
Persistent link: https://www.econbiz.de/10011401308
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Model-based measurement of actual volatility in high-frequency data
Jungbacker, Borus; Koopman, Siem Jan - 2004
In this paper we aim to measure actual volatility within a model-based framework using high-frequency data. In the … at smaller and smaller time intervals. High-frequency returns are used for the computation of realised volatility. Recent … theoretical results have shown that realised volatility is a consistent estimator of actual volatility but when it is subject to …
Persistent link: https://www.econbiz.de/10011342558