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ArticleShort-term interest rate dynamics: a spatial approach

Federico Maria Bandi2002

Article2002

Short-term interest rate dynamics: a spatial approach

Federico Maria Bandi

72 citations·0/0 files stored·Journal of Financial Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1988Testing for a Unit Root in Time Series Regression 1985A Theory of the Term Structure of Interest Rates 1973Theory of Rational Option Pricing 2007Brownian Motion and Stochastic Calculus 2005Theory of rational option pricing 1999Continuous Martingales and Brownian Motion 1977An equilibrium characterization of the term structure 1976The valuation of options for alternative stochastic processes

Cited by

2005The non-linear dynamics of spot freight rates in tanker markets 2010Threshold estimation of Markov models with jumps and interest rate modeling 2010Operator Methods for Continuous-Time Markov Processes 2008NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS 2000Conservative delta hedging 2009Nonparametric density estimation for positive time series 2003

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2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 17 shared references 2005A Selective Overview of Nonparametric Methods in Financial Econometricsarticle · 17 shared references 2001A Gaussian approach for continuous time models of the short-term interest ratearticle · 15 shared references 2003Likelihood-based specification analysis of continuous-time models of the short-term interest ratearticle · 14 shared references 2006A simple approach to the parametric estimation of potentially nonstationary diffusionsarticle · 14 shared references 2002Nonparametric Specification Testing for Continuous-Time Models with Application to Spot Interest Ratespreprint · 14 shared references

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Year2002

Typearticle

Published2002-07-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations72

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0304-405x(02)00135-6

openalex_workW2139385165

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BIAS REDUCTION IN NONPARAMETRIC DIFFUSION COEFFICIENT ESTIMATION

2009Stochastic Volatility