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Bias in the estimation of the mean reversion parameter in continuous time models
16 references·6 citing·41 second hop
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References

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  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 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
  • 1993Estimating nonlinear time-series models using simulated vector autoregressions686 cited
  • 1990Simulated Moments Estimation of Markov Models of Asset Prices617 cited
  • 1997A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk548 cited
  • 1995Nonparametric Pricing of Interest Rate Derivative Securities

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546 cited
  • 1993Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models470 cited
  • Cited by

    • 2017Discrete- vs. Continuous-Time Modeling of Unequally Spaced Experience Sampling Method Data136 cited
    • 2010Bias in estimating multivariate and univariate diffusions41 cited
    • 2018Exploring Mispricing in the Term Structure of CDS Spreads37 cited
    • 2018New distribution theory for the estimation of structural break point in mean23 cited
    • 2015Asymptotic theory for linear diffusions under alternative sampling schemes18 cited
    • 2009ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG17 cited