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Robust GMM analysis of models for the short rate process

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Author Info
Dell'Aquila, Rosario
Ronchetti, Elvezio
Trojani, Fabio

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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 10 (2003)
Issue (Month): 3 (May)
Pages: 373-397
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Handle: RePEc:eee:empfin:v:10:y:2003:i:3:p:373-397

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  1. Christiansen, Charlotte, 2005. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," Finance Research Group Working Papers F-2005-03, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    Other versions:
  2. Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2005. "Indirect Robust Estimation of the Short-term Interest Rate Process," Working Paper Series 2005-4, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  3. Rosario Dell’Aquila & Paul Embrechts, 2006. "Extremes and Robustness: A Contradiction?," Financial Markets and Portfolio Management, Springer, vol. 20(1), pages 103-118, April. [Downloadable!] (restricted)
  4. Cizek, P., 2009. "Generalized Methods of Trimmed Moments," Discussion Paper 2009-25, Tilburg University, Center for Economic Research. [Downloadable!]
  5. Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2005. "Indirect Robust Estimation of the Short-term Interest Rate Process;," Cahiers du Département d'Econométrie 2005.02, Département d'Econométrie, Université de Genève. [Downloadable!]
    Other versions:
  6. Chew Lian Chua & Sandy Suardi, 2005. "Is There a Unit Root in East-Asian Short-Term Interest Rates?," Melbourne Institute Working Paper Series wp2005n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
  7. Daniel R. Smith & Christophe Parignon, 2004. "Modeling Yield-Factor Volatility," Econometric Society 2004 Australasian Meetings 307, Econometric Society. [Downloadable!]
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