A study of the finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model
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Cited by:
- Bollerslev, Tim & Zhou, Hao, 2002.
"Estimating stochastic volatility diffusion using conditional moments of integrated volatility,"
Journal of Econometrics, Elsevier, vol. 109(1), pages 33-65, July.
- Tim Bollerslev & Hao Zhou, 2001. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Finance and Economics Discussion Series 2001-49, Board of Governors of the Federal Reserve System (U.S.).
- Hao Zhou, 2003.
"Itô Conditional Moment Generator and the Estimation of Short-Rate Processes,"
Journal of Financial Econometrics, Oxford University Press, vol. 1(2), pages 250-271.
- Hao Zhou, 2003. "Itô conditional moment generator and the estimation of short rate processes," Finance and Economics Discussion Series 2003-32, Board of Governors of the Federal Reserve System (U.S.).
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Keywords
Interest rates; Econometrics;NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2000-12-19 (Econometrics)
- NEP-ETS-2001-02-21 (Econometric Time Series)
- NEP-FMK-2001-01-21 (Financial Markets)
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