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An Empirical Comparison of Alternative Models of the Short-Term Interest Rate
11 references·16 citing·26 second hop
An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Alternative Mo…Theory of rational option pricing (2005)Theory of rational option pri…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The valuation of options for alternative stochastic processes (1976)The valuation of options for …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…Time-varying short-horizon predictability☆ (2010)Time-varying short-horizon pr…Parametric and Nonparametric Volatility Measurement (2010)Parametric and Nonparametric …A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)A Preferred-Habitat Model of …Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Structural Models of Corporat…The dynamics of stochastic volatility: evidence from underlying and options markets (2003)The dynamics of stochastic vo…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…What good is a volatility model? (2001)What good is a volatility mod…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)A No-Arbitrage Vector Autoreg…Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Estimating continuous-time st…A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)A Nonparametric Model of Term…The econometrics of financial markets (1996)The econometrics of financial…Testing Continuous-Time Models of the Spot Interest Rate (1996)Testing Continuous-Time Model…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Nonparametric Pricing of Interest Rate Derivative Securities (1995)Nonparametric Pricing of Inte…Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Interest Rate Volatility and …EFFICIENT 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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)An Intertemporal Capital Asset Pricing Model (1973)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)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)Dynamic Asset Pricing Theory. (1993)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited

Cited by

  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model

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977 cited
  • 2004Structural Models of Corporate Bond Pricing: An Empirical Analysis926 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
  • 1996The econometrics of financial markets886 cited
  • 2009A Preferred-Habitat Model of the Term Structure of Interest Rates737 cited
  • 2001What good is a volatility model?691 cited
  • 2010Time-varying short-horizon predictability☆550 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
  • 1999A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables543 cited
  • 2010Parametric and Nonparametric Volatility Measurement520 cited
  • 2003The dynamics of stochastic volatility: evidence from underlying and options markets504 cited
  • 1997Estimating continuous-time stochastic volatility models of the short-term interest rate500 cited