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Likelihood-based specification analysis of continuous-time models of the short-term interest rate
16 references·12 citing·37 second hop
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this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 19965 Stochastic volatility1,189 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
  • 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach902 cited
  • 1993Simulated Moments Estimation of Markov Models of Asset Prices691 cited
  • 1990

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Simulated Moments Estimation of Markov Models of Asset Prices
617 cited

Cited by

  • 2010Risk factors in oil and gas industry returns: International evidence153 cited
  • 2010Estimating Functions for Discretely Sampled Diffusion-Type Models99 cited
  • 2004Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models67 cited
  • 2005A comprehensive analysis of the short-term interest-rate dynamics56 cited
  • 2007Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates43 cited
  • 2012SCIENTIFIC STOCHASTIC VOLATILITY MODELS FOR THE SALMON FORWARD MARKET: FORECASTING (UN-)CONDITIONAL MOMENTS42 cited
  • 2007On Simulated Likelihood of Discretely Observed Diffusion Processes and Comparison to Closed-Form Approximation38 cited
  • 2009REWEIGHTED FUNCTIONAL ESTIMATION OF DIFFUSION MODELS31 cited
  • 2005Indirect Robust Estimation of the Short-Term Interest Rate Process31 cited
  • 2009Modeling the dynamics of Chinese spot interest rates29 cited
  • 2004Multivariate term structure models with level and heteroskedasticity effects27 cited
  • 2005Estimation of Continuous-Time Models with an Application to Equity Volatility Dynamics27 cited