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The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application
16 references·2 citing·38 second hop
The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application (2006)The Fractional Ornstein-Uhlenbeck Process…The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)The Statistical and Economic …FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)FRACTIONAL WHITE NOISE CALCUL…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Regime Switches in Interest Rates (2002)Regime Switches in Interest R…Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Stochastic Calculus for Fract…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Estimating the Price of Default Risk (1999)Estimating the Price of Defau…Arbitrage with Fractional Brownian Motion (1997)Arbitrage with Fractional Bro…A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)A Nonparametric Model of Term…Testing Continuous-Time Models of the Spot Interest Rate (1996)Testing Continuous-Time Model…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates (1993)Maximum Likelihood Estimation…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach (2009)Estimating US Monetary Policy…Traffic light options (2007)Traffic light optionsThe Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Empirical properties of asset returns: stylized facts and statistical issues (2001)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Exact Local Whittle Estimation of Fractional \nIntegration (2002)Social Capital and the Dynamics of Trust in Government (2007)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)The Pricing of Options and Corporate Liabilities (1973)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)An Intertemporal Capital Asset Pricing Model (1973)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)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Dynamic Asset Pricing Theory. (1993)Counterparty Risk and the Pricing of Defaultable Securities (2001)Measuring Abnormal Bond Performance (2008)The Determinants of Credit Default Swap Premia (2009)Common risk factors in the returns on stocks and bonds (1993)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)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)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)Theory of rational option pricing (2005)Rational-expectations econometric analysis of changes in regime (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)International Asset Allocation With Regime Shifts (2002)Stock Return Predictability: Is it There? (2006)Stochastic Differential Equations and Diffusion Processes (1983)Basel Committee On Banking Supervision (2010)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
  • 2002Regime Switches in Interest Rates854 cited
  • 1999Estimating the Price of Default Risk724 cited
  • 1997Arbitrage with Fractional Brownian Motion590 cited
  • 2000Stochastic Calculus for Fractional Brownian Motion I. Theory571 cited
  • 1993Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates552 cited
  • 1997A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk548 cited
  • 2003FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE476 cited

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2004
The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models
475 cited

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  • 2007Traffic light options23 cited
  • 2009Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach15 cited