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Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels
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Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels (2012)Nonparametric estimation of scalar diffus…NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH (2009)NONPARAMETRIC FILTERING OF TH…Jackknifing Bond Option Prices (2005)Jackknifing Bond Option PricesOn the way to recovery: A nonparametric bias free estimation of recovery rate densities (2004)On the way to recovery: A non…Nonlinear Mean Reversion in the Short-Term Interest Rate (2003)Nonlinear Mean Reversion in t…Fully Nonparametric Estimation of Scalar Diffusion Models (2003)Fully Nonparametric Estimatio…A Reexamination of Diffusion Estimators With Applications to Financial Model Validation (2003)A Reexamination of Diffusion …Is the Short Rate Drift Actually Nonlinear? (2000)Is the Short Rate Drift Actua…A Parametric Nonlinear Model of Term Structure Dynamics (1999)A Parametric Nonlinear Model …A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)A Nonparametric Model of Term…A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model (1997)A Nonparametric Approach to t…Testing Continuous-Time Models of the Spot Interest Rate (1996)Testing Continuous-Time Model…Nonlinear interest rate dynamics and implications for the term structure (1996)Nonlinear interest rate dynam…Nonparametric Pricing of Interest Rate Derivative Securities (1995)Nonparametric Pricing of Inte…On estimating the diffusion coefficient from discrete observations (1993)On estimating the diffusion c…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Risk, Return, and Equilibrium: Empirical Tests (1973)Continuous Martingales and Brownian Motion (1999)The surprise element: jumps in interest rates (2002)A Monte Carlo Method for Optimal Portfolios (2003)Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2004)An equilibrium characterization of the term structure (1977)Common risk factors in the returns on stocks and bonds (1993)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Efficient estimation of conditional variance functions in stochastic regression (1998)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)Time Series Regression with a Unit Root (1987)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)On the functional estimation of jump–diffusion models (2003)Stochastic Differential Equations (2003)Brownian Motion and Stochastic Calculus (2007)Testing conditional factor models (2012)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Specification Tests in Econometrics (1978)Nonparametric risk management and implied risk aversion (2000)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Functional data analysis for volatility (2011)REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (2013)The Estimation of Leverage Effect With High-Frequency Data (2013)Numerical solution of stochastic differential equations (2016)On estimating the expected return on the market (1980)Automatic Lag Selection in Covariance Matrix Estimation (1994)Short rate nonlinearities and regime switches (2002)On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements (2009)Estimation of Dynamic Term Structure Models (2012)Do option markets correctly price the probabilities of movement of the underlying asset? (2001)Realized power variation and stochastic volatility models (2003)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
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  • 2003Fully Nonparametric Estimation of Scalar Diffusion Models322 cited
  • 1993On estimating the diffusion coefficient from discrete observations258 cited
  • 2000Is the Short Rate Drift Actually Nonlinear?230 cited
  • 2009NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH175 cited
  • 2003A Reexamination of Diffusion Estimators With Applications to Financial Model Validation172 cited
  • 1997A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model170 cited
  • 2003Nonlinear Mean Reversion in the Short-Term Interest Rate138 cited
  • 1996Nonlinear interest rate dynamics and implications for the term structure113 cited
  • 2005

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Jackknifing Bond Option Prices
111 cited
  • 2004On the way to recovery: A nonparametric bias free estimation of recovery rate densities108 cited
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