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Data driven confidence intervals for diffusion process using double smoothing empirical likelihood
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Data driven confidence intervals for diffusion process using double smoothing empirical likelihood (2018)Data driven confidence intervals for diff…Forecasting Share Prices of Small Size Companies in Bursa Malaysia Using Geometric Brownian Motion (2013)Forecasting Share Prices of S…Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications (2011)Tilted Nonparametric Estimati…An optimal portfolio model with stochastic volatility and stochastic interest rate (2010)An optimal portfolio model wi…REWEIGHTED FUNCTIONAL ESTIMATION OF DIFFUSION MODELS (2009)REWEIGHTED FUNCTIONAL ESTIMAT…Fully Nonparametric Estimation of Scalar Diffusion Models (2003)Fully Nonparametric Estimatio…Short-term interest rate dynamics: a spatial approach (2002)Short-term interest rate dyna…Is the Short Rate Drift Actually Nonlinear? (2000)Is the Short Rate Drift Actua…A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)A Nonparametric Model of Term…Nonparametric Pricing of Interest Rate Derivative Securities (1995)Nonparametric Pricing of Inte…On estimating the diffusion coefficient from discrete observations (1993)On estimating the diffusion c…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Empirical Performance of Alternative Option Pricing Models (1997)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The Impact of Jumps in Volatility and Returns (2003)Combining the Virtues of Stochastic Frontier and Data Envelopment Analysis (2019)An equilibrium characterization of the term structure (1977)Common risk factors in the returns on stocks and bonds (1993)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Efficient estimation of conditional variance functions in stochastic regression (1998)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)Continuous-Time Finance. (1991)Stochastic Differential Equations (2003)Controlled Markov Processes and Viscosity Solutions (2005)Asset allocation under stochastic interest rate with regime switching (2012)Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability (2016)Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform (2016)Continuous Martingales and Brownian Motion (1999)On the functional estimation of jump–diffusion models (2003)Brownian Motion and Stochastic Calculus (2007)NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH (2009)Testing conditional factor models (2012)Theory of Rational Option Pricing (1973)Testing for a Unit Root in Time Series Regression (1988)The non-linear dynamics of spot freight rates in tanker markets (2005)Operator Methods for Continuous-Time Markov Processes (2010)Threshold estimation of Markov models with jumps and interest rate modeling (2010)The Pricing of Options and Corporate Liabilities (1973)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Random Walks in Stock Market Prices (1995)Integration of genetic fuzzy systems and artificial neural networks for stock price forecasting (2010)Capital structure and corporate performance of Malaysian construction sector (2011)Portfolio Value-at-Risk and expected-shortfall using an efficient simulation approach based on Gaussian Mixture Model (2021)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)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)On estimating the expected return on the market (1980)Automatic Lag Selection in Covariance Matrix Estimation (1994)Short rate nonlinearities and regime switches (2002)On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements (2009)Estimation of Dynamic Term Structure Models (2012)Do option markets correctly price the probabilities of movement of the underlying asset? (2001)Realized power variation and stochastic volatility models (2003)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 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
  • 2003Fully Nonparametric Estimation of Scalar Diffusion Models322 cited
  • 1993On estimating the diffusion coefficient from discrete observations258 cited
  • 2000Is the Short Rate Drift Actually Nonlinear?230 cited
  • 2002Short-term interest rate dynamics: a spatial approach72 cited
  • 2013Forecasting Share Prices of Small Size Companies in Bursa Malaysia Using Geometric Brownian Motion61 cited
  • 2010An optimal portfolio model with stochastic volatility and stochastic interest rate46 cited
  • 2011Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications42 cited
  • 2009REWEIGHTED FUNCTIONAL ESTIMATION OF DIFFUSION MODELS31 cited

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