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A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
11 references·16 citing·34 second hop
A Reexamination of Diffusion Estimators With Applications to Financial Model Validation (2003)A Reexamination of Diffusion Estimators W…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Is the Short Rate Drift Actually Nonlinear? (2000)Is the Short Rate Drift Actua…Efficient estimation of conditional variance functions in stochastic regression (1998)Efficient estimation of condi…A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)A Nonparametric Model of Term…Nonparametric Pricing of Interest Rate Derivative Securities (1995)Nonparametric Pricing of Inte…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An Analysis of Variable Rate Loan Contracts (1980)An Analysis of Variable Rate …An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Brownian Motion in the Stock Market (1959)Brownian Motion in the Stock …ON THE FUNCTIONAL ESTIMATION OF MULTIVARIATE DIFFUSION PROCESSES (2017)ON THE FUNCTIONAL ESTIMATION …Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models (2015)Bandwidth selection and asymp…Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications (2011)Tilted Nonparametric Estimati…On the approximate maximum likelihood estimation for diffusion processes (2011)On the approximate maximum li…Operator Methods for Continuous-Time Markov Processes (2010)Operator Methods for Continuo…REWEIGHTED FUNCTIONAL ESTIMATION OF DIFFUSION MODELS (2009)REWEIGHTED FUNCTIONAL ESTIMAT…Nonparametric Transition-Based Tests for Jump Diffusions (2009)Nonparametric Transition-Base…Nonparametric density estimation for positive time series (2009)Nonparametric density estimat…Parametric and nonparametric models and methods in financial econometrics (2008)Parametric and nonparametric …NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS (2008)NONPARAMETRIC ESTIMATION OF T…Econometric estimation in long-range dependent volatility models: Theory and practice (2008)Econometric estimation in lon…Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation (2007)Dynamic Integration of Time- …Testing For Threshold Nonlinearity in Short-Term Interest Rates (2005)Testing For Threshold Nonline…A Selective Overview of Nonparametric Methods in Financial Econometrics (2005)A Selective Overview of Nonpa…Nonparametric estimation of scalar diffusions based on low frequency data (2004)Nonparametric estimation of s…Semiparametric estimation of Value at Risk (2003)Semiparametric estimation of …Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Optimal bond trading with personal taxes (1984)A nonlinear general equilibrium model of the term structure of interest rates (1989)Gaussian Estimation of Single-Factor Continuous Time Models of The Term Structure of Interest Rates (1997)Common risk factors in the returns on stocks and bonds (1993)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1 (2005)Efficient Semiparametric Estimation of the Fama-French Model and Extensions (2012)How to measure the impact of environmental factors in a nonparametric production model (2012)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Specification Analysis of Affine Term Structure Models (2000)Term Premia and Interest Rate Forecasts in Affine Models (2002)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. 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this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 1987Stochastic Differential Equations: An Introduction with Applications.3,963 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 1959Brownian Motion in the Stock Market946 cited
  • 1997A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk548 cited
  • 1995Nonparametric Pricing of Interest Rate Derivative Securities546 cited
  • 1998Efficient estimation of conditional variance functions in stochastic regression474 cited
  • 1980An Analysis of Variable Rate Loan Contracts277 cited
  • 2000Is the Short Rate Drift Actually Nonlinear?230 cited

Cited by

  • 2005A Selective Overview of Nonparametric Methods in Financial Econometrics135 cited
  • 2004Nonparametric estimation of scalar diffusions based on low frequency data102 cited
  • 2009Nonparametric Transition-Based Tests for Jump Diffusions94 cited
  • 2003Semiparametric estimation of Value at Risk

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71 cited
  • 2010Operator Methods for Continuous-Time Markov Processes58 cited
  • 2008NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS48 cited
  • 2008Econometric estimation in long-range dependent volatility models: Theory and practice44 cited
  • 2011Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications42 cited
  • 2015Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models39 cited
  • 2011On the approximate maximum likelihood estimation for diffusion processes38 cited
  • 2009Nonparametric density estimation for positive time series36 cited
  • 2017ON THE FUNCTIONAL ESTIMATION OF MULTIVARIATE DIFFUSION PROCESSES35 cited
  • 2007Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation34 cited
  • 2009REWEIGHTED FUNCTIONAL ESTIMATION OF DIFFUSION MODELS31 cited
  • 2005Testing For Threshold Nonlinearity in Short-Term Interest Rates30 cited
  • 2008Parametric and nonparametric models and methods in financial econometrics28 cited