A generalized method of moments comparison of the cox-ingersoll-ross and heath-jarrow-morton models
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economics and Business.
Volume (Year): 49 (1997)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/jeconbus
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- Sim, Ah Boon & Thurston, David C, 1996. "An Empirical Study of a New Class of No-Arbitrage-Based Discrete Models of the Term Structure," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 19(4), pages 493-513, Winter.
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- Russell Davidson & James G. MacKinnon, 1981.
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- Ho, Thomas S Y & Lee, Sang-bin, 1986. " Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-29, December.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
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- Amin, Kaushik I. & Morton, Andrew J., 1994. "Implied volatility functions in arbitrage-free term structure models," Journal of Financial Economics, Elsevier, vol. 35(2), pages 141-180, April.
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- Brown, Stephen J & Dybvig, Philip H, 1986. " The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 41(3), pages 617-30, July.
- Ram Bhar & Carl Chiarella & Thuy Duong To, 2002. "A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models," Research Paper Series 80, Quantitative Finance Research Centre, University of Technology, Sydney.
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