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Testing for continuous-time models of the short-term interest rate
16 references·16 citing·28 second hopsampled
Testing for continuous-time models of the short-term interest rate (1995)Testing for continuous-time models of the…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Theory of rational option pricing (2005)Theory of rational option pri…The variation of certain speculative prices (1997)The variation of certain spec…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…ARCH modeling in finance (1992)ARCH modeling in financeAn Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Value and Capital (1939)Value and CapitalAnalytic valuation formulas for range notes and an affine term structure model with jump risks (2010)Analytic valuation formulas f…Term‐structure estimation in markets with infrequent trading (2007)Term‐structure estimation in …Indirect Robust Estimation of the Short-Term Interest Rate Process (2005)Indirect Robust Estimation of…Evaluating the Noncentral Chi-Square Distribution for the Cox-Ingersoll-Ross Process (2004)Evaluating the Noncentral Chi…Robust GMM analysis of models for the short rate process (2003)Robust GMM analysis of models…Modeling the stochastic behavior of short-term interest rates: Pricing implications for discount bonds (2003)Modeling the stochastic behav…Markov-Switching and Stochastic Volatility Diffusion Models of Short-Term Interest Rates (2002)Markov-Switching and Stochast…Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market (2002)Estimation and empirical perf…Further evidence on alternative continuous time models of the short-term interest rate (2000)Further evidence on alternati…A Monte Carlo Method for Optimal Portfolios (2000)A Monte Carlo Method for Opti…An empirical comparison of continuous time models of the short term interest rate (1999)An empirical comparison of co…The elasticity of interest rate volatility: Chan, Karolyi, Longstaff, and Sanders revisited (1998)The elasticity of interest ra…Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities (1998)Nonparametric Modeling of U.S…Strategic financial risk management and operations research (1997)Strategic financial risk mana…On alternative interest rate processes (1996)On alternative interest rate …4 Modeling the term structure (1996)4 Modeling the term structureEFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Optimum consumption and portfolio rules in a continuous-time model (1971)Dynamic Asset Pricing Theory. (1993)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Option pricing: A simplified approach (1979)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1939Value and Capital2,893 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices

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Cited by

  • 1997Strategic financial risk management and operations research103 cited
  • 2002Markov-Switching and Stochastic Volatility Diffusion Models of Short-Term Interest Rates98 cited
  • 1998Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities85 cited
  • 2002Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market56 cited
  • 1996On alternative interest rate processes56 cited
  • 1998The elasticity of interest rate volatility: Chan, Karolyi, Longstaff, and Sanders revisited53 cited
  • 19964 Modeling the term structure52 cited
  • 2010Analytic valuation formulas for range notes and an affine term structure model with jump risks34 cited
  • 2000Further evidence on alternative continuous time models of the short-term interest rate33 cited
  • 2007Term‐structure estimation in markets with infrequent trading33 cited
  • 1999An empirical comparison of continuous time models of the short term interest rate33 cited
  • 2004Evaluating the Noncentral Chi-Square Distribution for the Cox-Ingersoll-Ross Process32 cited
  • 2005Indirect Robust Estimation of the Short-Term Interest Rate Process31 cited
  • 2000A Monte Carlo Method for Optimal Portfolios31 cited
  • 2003Modeling the stochastic behavior of short-term interest rates: Pricing implications for discount bonds30 cited
  • 2003Robust GMM analysis of models for the short rate process29 cited