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Identifying Term Structure Volatility from the LIBOR-Swap Curve. (2008). Thompson, Samuel.
In: Review of Financial Studies.
RePEc:oup:rfinst:v:21:y:2008:i:2:p:819-854.

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  1. Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility. (2024). Zhang, Fengtong.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:27:y:2024:i:1:d:10.1007_s11147-023-09198-2.

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  2. Treasury option returns and models with unspanned risks. (2023). Gao, Xiaohui ; Crosby, John ; Bakshi, Gurdip ; Hansen, Jorge W.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001769.

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  3. Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement. (2018). Lopez, Jose ; Christensen, Jens ; Mussche, Paul .
    In: Working Paper Series.
    RePEc:fip:fedfwp:2018-09.

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  4. A Term Structure Model of Interest Rates with Quadratic Volatility. (2017). Takamizawa, Hideyuki.
    In: Working Paper Series.
    RePEc:hit:hcfrwp:g-1-18.

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  5. Predicting Interest Rate Volatility: Using Information on the Yield Curve. (2015). Takamizawa, Hideyuki.
    In: Working Paper Series.
    RePEc:hit:hcfrwp:g-1-9.

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  6. Impact of No-arbitrage on Interest Rate Dynamics. (2015). Takamizawa, Hideyuki.
    In: Working Paper Series.
    RePEc:hit:hcfrwp:g-1-5.

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  7. A probability-based stress test of Federal Reserve assets and income. (2015). Rudebusch, Glenn ; Lopez, Jose.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:73:y:2015:i:c:p:26-43.

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  8. Predicting Interest Rate Volatility Using Information on the Yield Curve. (2015). Takamizawa, Hideyuki.
    In: International Review of Finance.
    RePEc:bla:irvfin:v:15:y:2015:i:3:p:347-386.

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  9. Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates. (2015). Li, Fu Chun.
    In: Staff Working Papers.
    RePEc:bca:bocawp:15-17.

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  10. Nonlinear Kalman Filtering in Affine Term Structure Models. (2014). Christoffersen, Peter ; Dorion, Christian ; Karoui, Lotfi ; Jacobs, Kris.
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:1404.

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  11. Nonlinear Kalman Filtering in Affine Term Structure Models. (2014). Christoffersen, Peter ; Karoui, Lotfi ; Jacobs, Kris ; Dorion, Christian.
    In: Management Science.
    RePEc:inm:ormnsc:v:60:y:2014:i:9:p:2248-2268.

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  12. Density and Conditional Distribution Based Specification Analysis. (2013). Swanson, Norman ; Duong, Diep .
    In: Departmental Working Papers.
    RePEc:rut:rutres:201312.

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  13. Predicting Interest Rate Volatility: Using Information on the Yield Curve. (2012). Takamizawa, Hideyuki.
    In: Working Paper Series.
    RePEc:hit:hcfrwp:g-1-3.

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  14. Nonlinear Kalman Filtering in Affine Term Structure Models. (2012). Christoffersen, Peter ; Karoui, Lotfi ; Jacobs, Kris ; Dorion, Christian.
    In: CREATES Research Papers.
    RePEc:aah:create:2012-49.

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  15. Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models. (2011). Swanson, Norman ; Corradi, Valentina.
    In: Departmental Working Papers.
    RePEc:rut:rutres:201112.

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  16. In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008. (2011). Swanson, Norman ; Cai, Lili .
    In: Departmental Working Papers.
    RePEc:rut:rutres:201102.

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  17. Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models. (2011). Corradi, Valentina.
    In: Post-Print.
    RePEc:hal:journl:peer-00796745.

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  18. Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models. (2011). Swanson, Norman ; Corradi, Valentina.
    In: Post-Print.
    RePEc:hal:journl:hal-00796745.

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  19. In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008. (2011). Swanson, Norman ; Cai, Lili .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:4:p:743-764.

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  20. Do interest rate options contain information about excess returns?. (2011). Almeida, Caio ; Joslin, Scott ; Graveline, Jeremy J..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:164:y:2011:i:1:p:35-44.

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  21. Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models. (2011). Swanson, Norman ; Corradi, Valentina.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:161:y:2011:i:2:p:304-324.

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  22. Estimating affine multifactor term structure models using closed-form likelihood expansions. (2010). Ait-Sahalia, Yacine ; Kimmel, Robert L..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:98:y:2010:i:1:p:113-144.

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  23. Nonparametric Transition-Based Tests for Jump Diffusions. (2009). Fan, Jianqing ; Peng, Heng ; At-Sahalia, Yacine .
    In: Journal of the American Statistical Association.
    RePEc:bes:jnlasa:v:104:i:487:y:2009:p:1102-1116.

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  24. Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions. (2008). Ait-Sahalia, Yacine ; Kimmel, Robert L..
    In: Working Paper Series.
    RePEc:ecl:ohidic:2008-19.

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  25. Affine Term Structure Models. (2006). Filipovic, Damir ; Kimmel, Robert L. ; Cheridito, Patrick.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2007-2.

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