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There are 2870 results for: content related to: Is the Short Rate Drift Actually Nonlinear?

  1. The Effects of Random and Discrete Sampling when Estimating Continuous–Time Diffusions

    Econometrica

    Volume 71, Issue 2, March 2003, Pages: 483–549, Yacine Aït–Sahalia and Per A. Mykland

    Article first published online : 24 OCT 2003, DOI: 10.1111/1468-0262.t01-1-00416

  2. Short Rate Dynamics and Regime Shifts

    International Review of Finance

    Volume 9, Issue 3, September 2009, Pages: 211–241, HAITAO LI and YUEWU XU

    Article first published online : 25 AUG 2009, DOI: 10.1111/j.1468-2443.2009.01094.x

  3. Transition Densities for Interest Rate and Other Nonlinear Diffusions

    The Journal of Finance

    Volume 54, Issue 4, August 1999, Pages: 1361–1395, Yacine Aït-Sahalia

    Article first published online : 17 DEC 2002, DOI: 10.1111/0022-1082.00149

  4. Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

    Econometrica

    Volume 70, Issue 1, January 2002, Pages: 223–262, Yacine Aït-Sahalia

    Article first published online : 12 DEC 2003, DOI: 10.1111/1468-0262.00274

  5. Fisher's Information for Discretely Sampled Lévy Processes

    Econometrica

    Volume 76, Issue 4, July 2008, Pages: 727–761, Yacine Aït-Sahalia and Jean Jacod

    Article first published online : 28 JUN 2008, DOI: 10.1111/j.1468-0262.2008.00858.x

  6. Telling from Discrete Data Whether the Underlying Continuous–Time Model Is a Diffusion

    The Journal of Finance

    Volume 57, Issue 5, October 2002, Pages: 2075–2112, Yacine Aït–Sahalia

    Article first published online : 17 DEC 2002, DOI: 10.1111/1540-6261.00489

  7. Continuous-Time Methods in Finance: A Review and an Assessment

    The Journal of Finance

    Volume 55, Issue 4, August 2000, Pages: 1569–1622, Suresh M. Sundaresan

    Article first published online : 17 DEC 2002, DOI: 10.1111/0022-1082.00261

  8. On the Specification of the Drift and Diffusion Functions for Continuous-time Models of the Spot Interest Rate

    Oxford Bulletin of Economics and Statistics

    Volume 64, Issue 5, December 2002, Pages: 547–564, A. S. Hurn and K. A. Lindsay

    Article first published online : 11 DEC 2002, DOI: 10.1111/1468-0084.00277

  9. Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

    Econometrica

    Volume 76, Issue 6, November 2008, Pages: 1481–1536, Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard

    Article first published online : 24 NOV 2008, DOI: 10.3982/ECTA6495

  10. You have free access to this content
    Exact and computationally efficient likelihood-based estimation for discretely observed diffusion processes (with discussion)

    Journal of the Royal Statistical Society: Series B (Statistical Methodology)

    Volume 68, Issue 3, June 2006, Pages: 333–382, Alexandros Beskos, Omiros Papaspiliopoulos, Gareth O. Roberts and Paul Fearnhead

    Article first published online : 15 MAY 2006, DOI: 10.1111/j.1467-9868.2006.00552.x

  11. You have free access to this content
    Bibliography

    Handbook of Volatility Models and Their Applications

    Luc Bauwens, Christian Hafner, Sebastien Laurent, Pages: 487–535, 2012

    Published Online : 27 MAR 2012, DOI: 10.1002/9781118272039.biblio

  12. Short-term interest rate models: valuing interest rate derivatives using a Monte-Carlo approach

    Accounting & Finance

    Volume 43, Issue 2, July 2003, Pages: 231–259, Sirimon Treepongkaruna and Stephen Gray

    Article first published online : 28 MAY 2003, DOI: 10.1111/1467-629X.00090

  13. Goodness-of-Fit based on Downsampling with Applications to Linear Drift Diffusions

    Scandinavian Journal of Statistics

    Volume 38, Issue 2, June 2011, Pages: 288–310, JULIE L. FORMAN, BO MARKUSSEN and HELLE SØRENSEN

    Article first published online : 4 JUL 2010, DOI: 10.1111/j.1467-9469.2010.00705.x

  14. Nonlinear Drift And Stochastic Volatility: An Empirical Investigation Of Short-Term Interest Rate Models

    Journal of Financial Research

    Volume 26, Issue 3, September 2003, Pages: 389–404, Licheng Sun

    Article first published online : 24 JUL 2003, DOI: 10.1111/1475-6803.00065

  15. Parametric Portfolio Policies in the Surplus Consumption Ratio

    International Review of Finance

    Joachim Inkmann and Zhen Shi

    Article first published online : 7 APR 2015, DOI: 10.1111/irfi.12049

  16. Forecasting performance of extreme-value volatility estimators

    Journal of Futures Markets

    Volume 27, Issue 11, November 2007, Pages: 1085–1105, Vipul and Joshy Jacob

    Article first published online : 12 SEP 2007, DOI: 10.1002/fut.20283

  17. Likelihood-based inference for correlated diffusions

    Canadian Journal of Statistics

    Volume 39, Issue 1, March 2011, Pages: 52–72, Konstantinos Kalogeropoulos, Petros Dellaportas and Gareth O. Roberts

    Article first published online : 24 FEB 2011, DOI: 10.1002/cjs.10096

  18. The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models

    The Journal of Finance

    Volume 59, Issue 1, February 2004, Pages: 227–260, Michael Johannes

    Article first published online : 27 NOV 2005, DOI: 10.1111/j.1540-6321.2004.00632.x

  19. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

    The Journal of Finance

    Volume 53, Issue 2, April 1998, Pages: 499–547, Yacine Aït-Sahalia and Andrew W. Lo

    Article first published online : 17 DEC 2002, DOI: 10.1111/0022-1082.215228

  20. MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES

    Mathematical Finance

    Volume 21, Issue 3, July 2011, Pages: 383–422, Cindy L. Yu, Haitao Li and Martin T. Wells

    Article first published online : 19 OCT 2010, DOI: 10.1111/j.1467-9965.2010.00439.x