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Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities

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  • Jiang, George J.
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    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 33 (1998)
    Issue (Month): 04 (December)
    Pages: 465-497

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    Handle: RePEc:cup:jfinqa:v:33:y:1998:i:04:p:465-497_00

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    Cited by:
    1. J. Jimenez & R. Biscay & T. Ozaki, 2005. "Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview," Asia-Pacific Financial Markets, Springer, vol. 12(2), pages 109-141, June.
    2. Hou, Ai Jun & Suardi, Sandy, 2011. "Modelling and forecasting short-term interest rate volatility: A semiparametric approach," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 692-710, September.
    3. Cai, Lili & Swanson, Norman R., 2011. "In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 743-764, September.
    4. Dennis Kristensen, 2004. "Estimation of partial differential equations with applications in finance," LSE Research Online Documents on Economics 24738, London School of Economics and Political Science, LSE Library.
    5. Adam Canopius, 2006. "Practitioners' Corner," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(2), pages 346-351.
    6. Jose Luis de la Cruz & Elizabeth Ortega, 2007. "Continuous Time Models of Interest Rate: Testing the Mexican Data (1998-2006)," Economics Bulletin, AccessEcon, vol. 7(11), pages 1-9.
    7. Gómez-Valle, Lourdes & Marti­nez-Rodri­guez, Julia, 2008. "Modelling the term structure of interest rates: An efficient nonparametric approach," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 614-623, April.
    8. Haven, Emmanuel & Liu, Xiaoquan & Shen, Liya, 2012. "De-noising option prices with the wavelet method," European Journal of Operational Research, Elsevier, vol. 222(1), pages 104-112.
    9. Renò, Roberto, 2008. "Nonparametric Estimation Of The Diffusion Coefficient Of Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 24(05), pages 1174-1206, October.
    10. Dell'Aquila, Rosario & Ronchetti, Elvezio & Trojani, Fabio, 2003. "Robust GMM analysis of models for the short rate process," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 373-397, May.
    11. José Antonio Núñez. & Elizabeth Ortega., 2011. "Continuous Time Models of Interest Rate: Testing Peso-Dollar Exchange Rate," Economía: teoría y práctica, Economía: teoría y práctica, vol. 34(1), pages 43-63, Enero-Jun.
    12. Bali, Turan G. & Wu, Liuren, 2006. "A comprehensive analysis of the short-term interest-rate dynamics," Journal of Banking & Finance, Elsevier, vol. 30(4), pages 1269-1290, April.
    13. Dennis Kristensen, 2004. "A semiparametric single-factor model of the term structure," LSE Research Online Documents on Economics 24741, London School of Economics and Political Science, LSE Library.
    14. repec:ebl:ecbull:v:7:y:2007:i:11:p:1-9 is not listed on IDEAS
    15. Nikolay Gospodinov & Masayuki Hirukawa, 2008. "Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels," Working Papers 08011, Concordia University, Department of Economics, revised Dec 2008.
    16. Adland, Roar & Jia, Haiying & Lu, Jing, 2008. "Price dynamics in the market for Liquid Petroleum Gas transport," Energy Economics, Elsevier, vol. 30(3), pages 818-828, May.
    17. Jiang, G.J. & Sluis, P.J. van der, 2000. "Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates," Discussion Paper 2000-36, Tilburg University, Center for Economic Research.
    18. Bali, Turan G., 2003. "Modeling the stochastic behavior of short-term interest rates: Pricing implications for discount bonds," Journal of Banking & Finance, Elsevier, vol. 27(2), pages 201-228, February.
    19. Mancini, Cecilia & Renò, Roberto, 2011. "Threshold estimation of Markov models with jumps and interest rate modeling," Journal of Econometrics, Elsevier, vol. 160(1), pages 77-92, January.

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