Nonparametric Estimation of the Short Rate Diffusion Process from a Panel of Yields
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 44 (2009)
Issue (Month): 05 (October)
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- Francesco Audrino, 2012. "What Drives Short Rate Dynamics? A Functional Gradient Descent Approach," Computational Economics, Society for Computational Economics, vol. 39(3), pages 315-335, March.
- Abdoul G. Sam, 2010. "Nonparametric estimation of market risk: an application to agricultural commodity futures," Agricultural Finance Review, Emerald Group Publishing, vol. 70(2), pages 285-297, August.
- Song, Zhaogang, 2011. "A martingale approach for testing diffusion models based on infinitesimal operator," Journal of Econometrics, Elsevier, vol. 162(2), pages 189-212, June.
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