SEARCH

SEARCH BY CITATION

Cited in:

CrossRef

This article has been cited by:

  1. 1
    Januj Juneja, Term structure estimation in the presence of autocorrelation, The North American Journal of Economics and Finance, 2014,

    CrossRef

  2. 2
    Dong H. Kim, Duane Stock, The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables, Journal of Corporate Finance, 2014, 26, 20

    CrossRef

  3. 3
    Januj Juneja, An evaluation of alternative methods used in the estimation of Gaussian term structure models, Review of Quantitative Finance and Accounting, 2013,

    CrossRef

  4. 4
    Seungmoon Choi, Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions, Journal of Econometrics, 2013, 174, 2, 45

    CrossRef

  5. 5
    P. Balduzzi, I.-H. E. Chiang, A Simple Test of the Affine Class of Term Structure Models, Review of Asset Pricing Studies, 2012, 2, 2, 203

    CrossRef

  6. 6
    Felipe Aldunate, Jaime Casassus, Consumption and Hedging in Oil-Importing Developing Countries, European Financial Management, 2012, 18, 5
  7. 7
    Gregory R. Duffee, Richard H. Stanton, Estimation of Dynamic Term Structure Models, Quarterly Journal of Finance, 2012, 02, 02, 1250008

    CrossRef

  8. 8
    Monika Piazzesi, Handbook of Financial Econometrics: Tools and Techniques, 2010,

    CrossRef

  9. 9
    Peter Christoffersen, Steven Heston, Kris Jacobs, The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well, Management Science, 2009, 55, 12, 1914

    CrossRef

  10. 10
    Kris Jacobs, Xiaofei Li, Modeling the Dynamics of Credit Spreads with Stochastic Volatility, Management Science, 2008, 54, 6, 1176

    CrossRef

  11. 11
    EDMOND HAOCUN WU, PHILIP L. H. YU, PATTERN RECOGNITION OF THE TERM STRUCTURE USING INDEPENDENT COMPONENT ANALYSIS, International Journal of Pattern Recognition and Artificial Intelligence, 2006, 20, 02, 173

    CrossRef

  12. 12
    Nikolai Dokuchaev, Optimal Solution of Investment Problems Via Linear Parabolic Equations Generated by Kalman Filter, SIAM Journal on Control and Optimization, 2005, 44, 4, 1239

    CrossRef

  13. 13
    CAIO IBSEN RODRIGUES DE ALMEIDA, ANTONIO MARCOS DUARTE, CRISTIANO AUGUSTO COELHO FERNANDES, A GENERALIZATION OF PRINCIPAL COMPONENT ANALYSIS FOR NON-OBSERVABLE TERM STRUCTURES IN EMERGING MARKETS, International Journal of Theoretical and Applied Finance, 2003, 06, 08, 885

    CrossRef

  14. 14
    Shih-Kuo Yeh, Bing-Huei Lin, Term Structure Fitting Models and Information Content: An Empirical Examination in Taiwanese Government Bond Market, Review of Pacific Basin Financial Markets and Policies, 2003, 06, 03, 305

    CrossRef

  15. 15
    Qiang Dai, Kenneth J. Singleton, Financial Markets and Asset Pricing, 2003,

    CrossRef

  16. 16
    RICHARD STANTON, A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk, The Journal of Finance, 1997, 52, 5
  17. 17
    RICHARD C. GREEN, BERNT A. ØDEGAARD, Are There Tax Effects in the Relative Pricing of U.S. Government Bonds?, The Journal of Finance, 1997, 52, 2
  18. 18
    K. B. NOWMAN, Gaussian Estimation of Single-Factor Continuous Time Models of The Term Structure of Interest Rates, The Journal of Finance, 1997, 52, 4
  19. 19
    DARRELL DUFFIE, MING HUANG, Swap Rates and Credit Quality, The Journal of Finance, 1996, 51, 3
  20. 20
    Yacine Aït-Sahalia, Modelling Stock Market Volatility, 1996,

    CrossRef

  21. 21
    EDWIN J. ELTON, MARTIN J. GRUBER, CHRISTOPHER R. BLAKE, Fundamental Economic Variables, Expected Returns, and Bond Fund Performance, The Journal of Finance, 1995, 50, 4
  22. 22
    Bibliography,
  23. 23
    Bibliography,
  24. 24
    Karl Frauendorfer, Michael Schürle, Dynamic Modeling and Optimization of Non-maturing Accounts,