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A minimum Hellinger distance estimator for stochastic differential equations: An application to statistical inference for continuous time interest rate models
13 references·0 citing·43 second hopsampled
A minimum Hellinger distance estimator for stochastic differential equations: An application to statistical inference for continuous time interest rate models (2007)A minimum Hellinger distance estimator fo…Advances in Economics and Econometrics (2006)Advances in Economics and Eco…Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2004)Nonparametric Specification T…Empirical Characteristic Function Estimation and Its Applications (2004)Empirical Characteristic Func…Bootstrap specification tests for diffusion processes (2004)Bootstrap specification tests…Nonlinear Mean Reversion in the Short-Term Interest Rate (2003)Nonlinear Mean Reversion in t…Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes (2002)Numerical Techniques for Maxi…Nonparametric Specification Testing for Continuous-Time Models with Application to Spot Interest Rates (2002)Nonparametric Specification T…Estimation of Continuous-Time Processes via the Empirical Characteristic Function (2002)Estimation of Continuous-Time…Transition Densities for Interest Rate and Other Nonlinear Diffusions (1999)Transition Densities for Inte…Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models (1998)Nonparametric Density Estimat…Testing Continuous-Time Models of the Spot Interest Rate (1996)Testing Continuous-Time Model…Functional Forms, Estimation Techniques and the Distribution of Income (1979)Functional Forms, Estimation …An equilibrium characterization of the term structure (1977)An equilibrium characterizati…A Theory of the Term Structure of Interest Rates (1985)Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets (2002)Univariate and multivariate stochastic volatility models: estimation and diagnostics (2003)Maximum Likelihood Estimation of Latent Affine Processes (2006)Brownian Motion and Stochastic Calculus (2007)Numerical solution of stochastic differential equations (2016)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Graduation of Income Distributions (1961)The Estimation of the Lorenz Curve and Gini Index (1972)A Convenient Descriptive Model of Income Distribution: The Gamma Density (1974)Global and regional inequality in the distribution of income: Estimation with limited and incomplete data (1997)An ordered family of Lorenz curves (1999)The Journal of Economic Inequality (2013)An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Short rate nonlinearities and regime switches (2002)Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices (2009)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form (2005)Efficient estimation of general dynamic models with a continuum of moment conditions (2006)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)The Variation of Certain Speculative Prices (1963)Option pricing when underlying stock returns are discontinuous (1976)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)An empirical comparison of continuous-time models of implied volatility indices (2007)CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (2009)Self-Exciting Jumps, Learning, and Asset Pricing Implications (2014)Likelihood-based specification analysis of continuous-time models of the short-term interest rate (2003)Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations (2007)Can interest rate volatility be extracted from the cross section of bond yields?☆ (2009)The surprise element: jumps in interest rates (2002)Estimation of Dynamic Term Structure Models (2012)Copula goodness-of-fit testing: an overview and power comparison (2009)Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles (2018)The causal relationship between Bitcoin attention and Bitcoin returns: Evidence from the Copula-based Granger causality test (2018)
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References

  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
  • 2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes381 cited
  • 1999Transition Densities for Interest Rate and Other Nonlinear Diffusions347 cited
  • 2004Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates311 cited
  • 1998Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models208 cited
  • 2004Empirical Characteristic Function Estimation and Its Applications178 cited
  • 2002Estimation of Continuous-Time Processes via the Empirical Characteristic Function156 cited
  • 2003Nonlinear Mean Reversion in the Short-Term Interest Rate138 cited
  • 1979Functional Forms, Estimation Techniques and the Distribution of Income132 cited
  • 2006Advances in Economics and Econometrics87 cited
  • 2004Bootstrap specification tests for diffusion processes53 cited
  • 2002Nonparametric Specification Testing for Continuous-Time Models with Application to Spot Interest Rates47 cited

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