SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Testing for continuous-time models of the short-term interest rate · Study

ArticleShelves

ArticleTesting for continuous-time models of the short-term interest rate

Laurence Broze1995

OA

Articlegreen1995

Testing for continuous-time models of the short-term interest rate

Laurence Broze · Olivier Scaillet B · Jean‐Michel Zakoïan

99 citations·0/0 files stored·Journal of Empirical Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Monetary Policy and Economic Impact Financial Markets and Investment Strategies

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 99 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1985A Theory of the Term Structure of Interest Rates 1973Theory of Rational Option Pricing 2007Brownian Motion and Stochastic Calculus 2005Theory of rational option pricing 1973An Intertemporal Capital Asset Pricing Model 1977An equilibrium characterization of the term structure

Cited by

1997Strategic financial risk management and operations research 2002Markov-Switching and Stochastic Volatility Diffusion Models of Short-Term Interest Rates 1998Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities 2002Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market 1996On alternative interest rate processes 1998The elasticity of interest rate volatility: Chan, Karolyi, Longstaff, and Sanders revisited

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 21 shared references 1994A survey of stochastic continuous time models of the term structure of interest ratesarticle · 15 shared references 1999Three centuries of asset pricingarticle · 13 shared references 1994Multi-factor term structure modelsarticle · 13 shared references 1995Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamicsarticle · 12 shared references 1998Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securitiesarticle · 12 shared references

Details

Year1995

Typearticle

Published1995-09-01

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations99

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/0927-5398(95)00003-d

openalex_workW1984492020

Links

Imported from OpenAlex (CC0) — nothing here is generated.

19964 Modeling the term structure

2010Analytic valuation formulas for range notes and an affine term structure model with jump risks