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Nonparametric estimation of state-price densities implicit in interest rate cap prices
Li, Haitao; Zhao, Feng - In: The review of financial studies 22 (2009) 11, pp. 4335-4376
Persistent link: https://www.econbiz.de/10003896303
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Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices
Li, Haitao - 2010
the slope and volatility of LIBOR rates, and mortgage markets activities have strong impacts on the shape of the forward …, respectively. Our results provide nonparametric evidence of unspanned stochastic volatility and suggest that the unspanned factors …
Persistent link: https://www.econbiz.de/10013149933
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Specification analysis of affine term structure models
Dai, Qiang; Singleton, Kenneth J. - 1997
Persistent link: https://www.econbiz.de/10000637523
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Volatility estimates of the short term interest rate with an application to German data
Dankenbring, Henning - 1998
Persistent link: https://www.econbiz.de/10000997987
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Transformation of Heath-Jarrow-Morton models to Markovian systems
Bhar, Ramaprasad; Chiarella, Carl - 1995
Persistent link: https://www.econbiz.de/10000951349
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Volatility, estimates of the short-term interest rate with an application to German data
Dankenbring, Henning - In: Kredit und Kapital 33 (2000) 4, pp. 548-570
Persistent link: https://www.econbiz.de/10001554586
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A simple approach to the estimation of continuous time CEV stochastic volatility models of the short-term rate
Fornari, Fabio; Mele, Antonio - 2001
Persistent link: https://www.econbiz.de/10001581711
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A multifactor, nonlinear, continuous-time model of interest rate volatility
Boudoukh, Jacob; Richardson, Matthew; Stanton, Richard; … - 1999
Persistent link: https://www.econbiz.de/10001394312
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Continuous time conditionally heteroskedastic models : theory with applications to the term structure of interest rates
Fornari, Fabio - In: Economic notes : economic review of Banca Monte dei … 24 (1995) 2, pp. 327-352
Persistent link: https://www.econbiz.de/10001196572
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Transformation of Heath-Jarrow-Morton models to Markovian systems
Bhar, Ramaprasad - In: The European journal of finance 3 (1997) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10001219148