Add to ORKGThis paper analyses the performance of the Yu and Phillips (2001) estimation method for the case of the Japanese economy. This new parametric technique is based on the Dambis, Durbin-Schwarz theorem to extract an exact Gaussian discrete model of a continuous-time diffusion process for the interest rate. We use the new approach together with Nowman's (1997) method to estimate different specifications for a varied data set, including interbank and T-bill rates with different maturities and frequencies. Our results show that the Yu-Phillips procedure provides estimates in line with their Monte Carlo results in most of the cases
In this paper we examine the postwar Japanese GDP volatility by alternative detrending methods. We a...
This study applies the nonparametric estimation procedure to the diffusion process modeling the dyna...
A continuous time interest rate model is estimated using Gaussian estimation methods of Nowman ( Jou...
The determination of the dynamics of the short-term interest rate is of importance for the pricing o...
In this paper, we apply the recently introduced Gaussian estimation methodology in the estimation of...
This paper estimates stochastic differential equation models for the interest rate dynamics of the U...
This thesis is concerned with the nonparametric estimation of continuous-time stochastic processes a...
In this paper, we propose a nonparametric identification and estimation procedure for an Ito diffusi...
This paper develops a new econometric method to estimate continuous time processes from discretely s...
In this paper, we propose a nonparametric identification and estimation procedure for an Ito diffusi...
In this paper the short- and long-run movements of the Japanese yen-US dollar exchange rate are mode...
In this paper the short- and long-run movements of the Japanese yen–U.S. dollar exchange rate are mo...
This paper sought to address the question as to whether the exchange rate can be forecasted more acc...
A number of continuous time models of the short-term interest rate are estimated using recently deve...
Abstract: This paper models the real interest rate connection between Korea and Japan as a non-linea...
In this paper we examine the postwar Japanese GDP volatility by alternative detrending methods. We a...
This study applies the nonparametric estimation procedure to the diffusion process modeling the dyna...
A continuous time interest rate model is estimated using Gaussian estimation methods of Nowman ( Jou...
The determination of the dynamics of the short-term interest rate is of importance for the pricing o...
In this paper, we apply the recently introduced Gaussian estimation methodology in the estimation of...
This paper estimates stochastic differential equation models for the interest rate dynamics of the U...
This thesis is concerned with the nonparametric estimation of continuous-time stochastic processes a...
In this paper, we propose a nonparametric identification and estimation procedure for an Ito diffusi...
This paper develops a new econometric method to estimate continuous time processes from discretely s...
In this paper, we propose a nonparametric identification and estimation procedure for an Ito diffusi...
In this paper the short- and long-run movements of the Japanese yen-US dollar exchange rate are mode...
In this paper the short- and long-run movements of the Japanese yen–U.S. dollar exchange rate are mo...
This paper sought to address the question as to whether the exchange rate can be forecasted more acc...
A number of continuous time models of the short-term interest rate are estimated using recently deve...
Abstract: This paper models the real interest rate connection between Korea and Japan as a non-linea...
In this paper we examine the postwar Japanese GDP volatility by alternative detrending methods. We a...
This study applies the nonparametric estimation procedure to the diffusion process modeling the dyna...
A continuous time interest rate model is estimated using Gaussian estimation methods of Nowman ( Jou...