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There are 82464 results for: content related to: A Comparison of Alternative Non-parametric Estimators of the Short Rate Diffusion Coefficient

  1. Short Rate Dynamics and Regime Shifts

    International Review of Finance

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

    Version of Record online : 25 AUG 2009, DOI: 10.1111/j.1468-2443.2009.01094.x

  2. 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

    Version of Record online : 24 OCT 2003, DOI: 10.1111/1468-0262.t01-1-00416

  3. Is the Short Rate Drift Actually Nonlinear?

    The Journal of Finance

    Volume 55, Issue 1, February 2000, Pages: 355–388, David A. Chapman and Neil D. Pearson

    Version of Record online : 17 DEC 2002, DOI: 10.1111/0022-1082.00208

  4. 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

    Version of Record online : 24 NOV 2008, DOI: 10.3982/ECTA6495

  5. 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

  6. 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

    Version of Record online : 12 DEC 2003, DOI: 10.1111/1468-0262.00274

  7. 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

    Version of Record online : 4 JUL 2010, DOI: 10.1111/j.1467-9469.2010.00705.x

  8. Fisher's Information for Discretely Sampled Lévy Processes

    Econometrica

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

    Version of Record online : 28 JUN 2008, DOI: 10.1111/j.1468-0262.2008.00858.x

  9. 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

    Version of Record online : 17 DEC 2002, DOI: 10.1111/0022-1082.00149

  10. 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

    Version of Record online : 17 DEC 2002, DOI: 10.1111/1540-6261.00489

  11. 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

    Version of Record online : 17 DEC 2002, DOI: 10.1111/0022-1082.00261

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    Does the option market produce superior forecasts of noise-corrected volatility measures?

    Journal of Applied Econometrics

    Volume 24, Issue 1, January/February 2009, Pages: 77–104, Gael M. Martin, Andrew Reidy and Jill Wright

    Version of Record online : 4 DEC 2008, DOI: 10.1002/jae.1033

  13. 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

    Version of Record online : 15 MAY 2006, DOI: 10.1111/j.1467-9868.2006.00552.x

  14. 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

    Version of Record online : 27 NOV 2005, DOI: 10.1111/j.1540-6321.2004.00632.x

  15. Multivariate Volatility Estimation with High Frequency Data Using Fourier Method

    Handbook of Modeling High-Frequency Data in Finance

    Maria Elvira Mancino, Simona Sanfelici, Pages: 243–294, 2011

    Published Online : 7 NOV 2011, DOI: 10.1002/9781118204580.ch10

  16. 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

    Version of Record online : 28 MAY 2003, DOI: 10.1111/1467-629X.00090

  17. VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS

    Mathematical Finance

    Volume 22, Issue 1, January 2012, Pages: 133–164, Christian Yann Robert and Mathieu Rosenbaum

    Version of Record online : 19 OCT 2010, DOI: 10.1111/j.1467-9965.2010.00454.x

  18. 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

    Version of Record online : 19 OCT 2010, DOI: 10.1111/j.1467-9965.2010.00439.x

  19. Tails, Fears, and Risk Premia

    The Journal of Finance

    Volume 66, Issue 6, December 2011, Pages: 2165–2211, TIM BOLLERSLEV and VIKTOR TODOROV

    Version of Record online : 14 NOV 2011, DOI: 10.1111/j.1540-6261.2011.01695.x

  20. Quasi-maximum likelihood estimation of discretely observed diffusions

    The Econometrics Journal

    Volume 14, Issue 2, July 2011, Pages: 241–256, Xiao Huang

    Version of Record online : 7 JUN 2011, DOI: 10.1111/j.1368-423X.2010.00324.x