Stochastic volatility, Short interest rate, Generalized method of moments, GMM, Kalman filter, Quasi-maximum likelihood, G12, C51,
Publicado además en: Recent developments in Time Series, 2003, vol. 2, ISBN13: 9781840649512, pp....
A continuous time interest rate model is estimated using Gaussian estimation methods of Nowman ( Jou...
International audienceWe propose Indirect Robust Generalized Method of Moments (IRGMM), a simulation...
In this thesis we will look at some different continuous models for predicting the short term intere...
The authors estimate and compare a variety of continuous-time models of the short-term riskless rate...
The paper proposes a procedure for testing the alternative continuous time models of short term risk...
A number of continuous time models of the short-term interest rate are estimated using recently deve...
Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1...
The recent financial literature has been much concerned with the short-term interest rate. Several m...
We consider the problem of estimation of term structure of interest rates. Filtering theory approach...
M.Com. (Financial Economics)Recently, there has been a growth in the bond market. This growth has br...
An extensive collection of continuous-time models of the short-term interest rate is evaluated over ...
This paper proposes a Gaussian estimator for nonlinear continuous time models of the short term inte...
The core of this work is to introduce the probabilistic techniques used in widely applied financial ...
We introduce Indirect Robust Generalized Method of Moments (IRGMM), a new simulation-based estimatio...
Publicado además en: Recent developments in Time Series, 2003, vol. 2, ISBN13: 9781840649512, pp....
A continuous time interest rate model is estimated using Gaussian estimation methods of Nowman ( Jou...
International audienceWe propose Indirect Robust Generalized Method of Moments (IRGMM), a simulation...
In this thesis we will look at some different continuous models for predicting the short term intere...
The authors estimate and compare a variety of continuous-time models of the short-term riskless rate...
The paper proposes a procedure for testing the alternative continuous time models of short term risk...
A number of continuous time models of the short-term interest rate are estimated using recently deve...
Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1...
The recent financial literature has been much concerned with the short-term interest rate. Several m...
We consider the problem of estimation of term structure of interest rates. Filtering theory approach...
M.Com. (Financial Economics)Recently, there has been a growth in the bond market. This growth has br...
An extensive collection of continuous-time models of the short-term interest rate is evaluated over ...
This paper proposes a Gaussian estimator for nonlinear continuous time models of the short term inte...
The core of this work is to introduce the probabilistic techniques used in widely applied financial ...
We introduce Indirect Robust Generalized Method of Moments (IRGMM), a new simulation-based estimatio...
Publicado además en: Recent developments in Time Series, 2003, vol. 2, ISBN13: 9781840649512, pp....
A continuous time interest rate model is estimated using Gaussian estimation methods of Nowman ( Jou...
International audienceWe propose Indirect Robust Generalized Method of Moments (IRGMM), a simulation...
DOI
Add to ORKG