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Flexible Term Structure Estimation: Which Method is Preferred? · Study

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ArticleFlexible Term Structure Estimation: Which Method is Preferred?

Andrew Jeffrey2006

OA

Articlegreen2006

Flexible Term Structure Estimation: Which Method is Preferred?

Andrew Jeffrey · Oliver Linton · Thong Nguyen

23 citations·0/0 files stored·Metrika

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

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References

1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1987Parsimonious Modeling of Yield Curves 1990Pricing Interest-Rate-Derivative Securities 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate 1987The Information in Long-Maturity Forward Rates 1996Testing Continuous-Time Models of the Spot Interest Rate

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2003Nonlinear Mean Reversion in the Short-Term Interest Ratearticle · 13 shared references 2001Recent Advances in Estimating Term-Structure Modelsarticle · 11 shared references 2007Term‐structure estimation in markets with infrequent tradingarticle · 11 shared references 2005Jackknifing Bond Option Pricesarticle · 10 shared references 2002Short-term interest rate dynamics: a spatial approacharticle · 10 shared references 2002Nonparametric Specification Testing for Continuous-Time Models with Application to Spot Interest Ratespreprint · 10 shared references

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Year2006

Typearticle

Published2006-01-30

VenueMetrika

ISSN-L0026-1335

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00184-005-0017-8

openalex_workW2171591939

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