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Testing Continuous-Time Models of the Spot Interest Rate. (1995). Ait-Sahalia, Yacine.
In: NBER Working Papers.
RePEc:nbr:nberwo:5346.

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Cited: 24

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  1. Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation. (2007). Hurn, Stan ; Jeisman, J. ; Lindsay, K..
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2007-3.

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  2. The Fractional OU Process: Term Structure Theory and Application. (2006). Hoeg, Esben.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:194.

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  3. Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation. (2006). Hurn, Stan.
    In: Stan Hurn Discussion Papers.
    RePEc:qut:sthurn:2006-01.

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  4. Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations. (2006). Hurn, Stan.
    In: Stan Hurn Discussion Papers.
    RePEc:qut:sthurn:2006.

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  5. Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2. (2006). Hurn, Stan ; Jeisman, J. ; Lindsay, K. A..
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2006-2.

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  6. The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application. (2006). Hog, Espen P. ; Frederiksen, Per H..
    In: Finance Research Group Working Papers.
    RePEc:hhb:aarbfi:2006-01.

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  7. Non-stationary hours in a DSGE model. (2006). Schorfheide, Frank ; Doh, Taeyoung ; Chang, Yongsung.
    In: Working Papers.
    RePEc:fip:fedpwp:06-3.

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  8. Is There a Unit Root in East-Asian Short-Term Interest Rates?. (2005). Chua, Chew ; Suardi, Sandy.
    In: Melbourne Institute Working Paper Series.
    RePEc:iae:iaewps:wp2005n14.

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  9. Non-stationary Hours in a DSGE Model. (2005). Schorfheide, Frank ; Doh, Taeyoung ; Chang, Yongsung.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5232.

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  10. Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility. (2003). Scaillet, Olivier.
    In: THEMA Working Papers.
    RePEc:ema:worpap:2003-29.

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  11. Learning About Models and Their Fit to Data. (2002). pagan, adrian.
    In: International Economic Journal.
    RePEc:taf:intecj:v:16:y:2002:i:2:p:1-18.

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  12. Testing Normality : A GMM Approach. (2002). Meddahi, Nour ; Bontemps, Christian.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-14.

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  13. Testing Normality: A GMM Approach. (2002). Meddahi, Nour ; Bontemps, Christian.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-63.

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  14. Jump-diffusion term structure and Ito conditional moment generator. (2001). Zhou, Hao.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2001-28.

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  15. A study of the finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model. (2000). Zhou, Hao.
    In: Finance and Economics Discussion Series.
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  16. An Empirical Estimation in Credit Spread Indices. (2000). Scaillet, Olivier ; Prigent, Jean-Luc ; Renault, O..
    In: THEMA Working Papers.
    RePEc:ema:worpap:2000-51.

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  17. Fundamental Properties of Bond Prices in Models of the Short-Term Rate. (2000). Mele, Antonio.
    In: THEMA Working Papers.
    RePEc:ema:worpap:2000-39.

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  18. Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis. (1999). Mele, Antonio ; Fornari, Fabio.
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:912.

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  19. Peso Problem Explanations for Term Structure Anomalies. (1997). Marshall, David ; Hodrick, Robert ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6147.

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  20. Specification Analysis of Affine Term Structure Models. (1997). Singleton, Kenneth ; Dai, Qiang.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6128.

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  21. The stability of interest rate processes. (1997). Smith, David C. ; Bliss, Robert R..
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:97-13.

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  22. Two factors along the yield curve. (1996). Remolona, Eli ; Gong, Frank F..
    In: Research Paper.
    RePEc:fip:fednrp:9613.

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  23. Estimating the term structure of volatility and fixed income derivative pricing. (1995). Issler, João.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:272.

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  24. Coupon Bond Valuation with a Non-Affine Discount Yield Model. (). Spencer, Peter.
    In: Discussion Papers.
    RePEc:yor:yorken:03/16.

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    RePEc:taf:eurjfi:v:2:y:1996:i:1:p:103-123.

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  46. Control variates for variance reduction in indirect inference: interest rate models in continuous time. (1996). Fiorentini, Gabriele ; Di Iorio, Francesca ; Calzolari, Giorgio.
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  47. Empirical tests of two state-variable HJM models. (1995). Ritchken, Peter ; Bliss, Robert R..
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  48. Estimating the Cox, ingersoll and Ross model of the term structure: a multivariate approach. (1995). Berardi, Andrea.
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  49. Testing for continuous-time models of the short-term interest rate. (1995). Zakoian, Jean-Michel ; Scaillet, Olivier ; Broze, Laurence.
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  50. Reverse Engineering the Yield Curve. (1994). Zin, Stanley ; Backus, David.
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