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Jackknifing bond option prices
Phillips, Peter C. B.; Yu, Jun - 2002
Persistent link: https://www.econbiz.de/10001727120
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Markov-switching and stochastic volatility diffusion models of short-term interest rates
Smith, Daniel R. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 2, pp. 183-197
Persistent link: https://www.econbiz.de/10001660372
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Estimating quadratic term structure models by non-linear filtering
Taulbjerg, Jes (contributor) - 2002 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709219
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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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Unstable multiple cointegration relations in the term structure of interest rates
Kang, Heejoon - In: Seoul journal of economics 15 (2002) 1, pp. 31-54
Persistent link: https://www.econbiz.de/10001745130
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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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Kalman-Filter basierte ML-Schätzung affiner, zeithomogener Faktormodelle der Zinsstruktur am bundesdeutschen Rentenmarkt
Schwaar, Christian - 1999
Persistent link: https://www.econbiz.de/10001353301
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Estimating quadratic term structure models by non-linear filtering
Taulbjerg, Jes - 2002
Persistent link: https://www.econbiz.de/10001683219
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Jackknifing bond option prices
Phillips, Peter C. B.; Yu, Jun - 2003
Persistent link: https://www.econbiz.de/10001735077
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Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions
Ait-Sahalia, Yacine - 2010
We develop and implement a technique for closed-form maximum likelihood estimation (MLE) of multifactor affine yield models. We derive closed-form approximations to likelihoods for nine Dai and Singleton (2000) affine models. Simulations show our technique very accurately approximates true (but...
Persistent link: https://www.econbiz.de/10012762894