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Likelihood-based specification analysis of continuous-time models of the short-term interest rate

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Durham, Garland B.
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 70 (2003)
Issue (Month): 3 (December)
Pages: 463-487
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Handle: RePEc:eee:jfinec:v:70:y:2003:i:3:p:463-487

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  1. Neil Shephard & Torben Andersen, 2008. "Stochastic Volatility: Origins and Overview," Economics Papers 2008-W04, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  2. 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. [Downloadable!] (restricted)
  3. Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004. "Likelihood based inference for diffusion driven models," Economics Papers 2004-W20, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  4. 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!]
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  5. Hideyuki Takamizawa, 2007. "A Simple Measure for Examining the Proxy Problem of the Short-Rate," Asia-Pacific Financial Markets, Springer, vol. 14(4), pages 341-361, December. [Downloadable!] (restricted)
  6. Arapis, Manuel & Gao, Jiti, 2004. "Empirical comparisons in short-term interest rate models using nonparametric methods," MPRA Paper 11974, University Library of Munich, Germany, revised 23 Dec 2005. [Downloadable!]
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  7. Fuchun Li, 2005. "Testing the Parametric Specification of the Diffusion Function in a Diffusion Process," Working Papers 05-35, Bank of Canada. [Downloadable!]
  8. Roberto Reno' & Antonio Roma & Stephen Schaefer, 2004. "A Comparison of Alternative Nonparametric Estimators of the Short Rate Diffusion Coefficient," Department of Economics University of Siena 445, Department of Economics, University of Siena. [Downloadable!]
  9. 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!]
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