Conditional estimation of diffusion processes
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Financial Economics.
Volume (Year): 74 (2004)
Issue (Month): 1 (October)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/505576
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Pritsker, Matt, 1998. "Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models," Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 449-87.
- Conley, Timothy G, et al, 1997. "Short-Term Interest Rates as Subordinated Diffusions," Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 525-77.
- Abhyankar, Abhay & Basu, Devraj, 2001. "Does Conditioning Information Matter in Estimating Continuous Time Interest Rate Diffusions?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(03), pages 335-344, September.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- Yacine Ait-Sahalia, 1995.
"Testing Continuous-Time Models of the Spot Interest Rate,"
NBER Working Papers
5346, National Bureau of Economic Research, Inc.
- Ait-Sahalia, Yacine, 1996. "Testing Continuous-Time Models of the Spot Interest Rate," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 385-426.
- David A. Chapman & Neil D. Pearson, 1998.
"Is the Short Rate Drift Actually Nonlinear?,"
- Naoto Kunitomo & Masayuki Ikeda, 1992. "Pricing Options With Curved Boundaries," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 275-298.
- Goetzmann, William Nelson & Jorion, Philippe, 1993.
" Testing the Predictive Power of Dividend Yields,"
Journal of Finance,
American Finance Association, vol. 48(2), pages 663-79, June.
- Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
- Christopher S. Jones, 2003. "Nonlinear Mean Reversion in the Short-Term Interest Rate," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 793-843, July.
- Brown, Stephen J & Goetzmann, William N & Ross, Stephen A, 1995. " Survival," Journal of Finance, American Finance Association, vol. 50(3), pages 853-73, July.
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- 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.
- Yacine Ait-Sahalia, 2002. "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach," Econometrica, Econometric Society, vol. 70(1), pages 223-262, January.
- Ai[diaeresis]t-Sahalia, Yacine & Kimmel, Robert, 2007. "Maximum likelihood estimation of stochastic volatility models," Journal of Financial Economics, Elsevier, vol. 83(2), pages 413-452, February.
- Choi, Seungmoon, 2013. "Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions," Journal of Econometrics, Elsevier, vol. 174(2), pages 45-65.
- Li, Minqiang, 2013. "An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 128-139.
- Roussanov, Nikolai, 2014.
"Composition of wealth, conditioning information, and the cross-section of stock returns,"
Journal of Financial Economics,
Elsevier, vol. 111(2), pages 352-380.
- Nikolai Roussanov, 2010. "Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns," NBER Working Papers 16073, National Bureau of Economic Research, Inc.
- Li, Minqiang, 2008.
"A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation,"
11185, University Library of Munich, Germany.
- Li, Minqiang, 2010. "A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 132-157, February.
- Sumit Agarwal & John C. Driscoll & David Laibson, 2007.
"Optimal Mortgage Refinancing: A Closed Form Solution,"
NBER Working Papers
13487, National Bureau of Economic Research, Inc.
- Sumit Agarwal & John C. Driscoll & David I. Laibson, 2013. "Optimal Mortgage Refinancing: A Closed‐Form Solution," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(4), pages 591-622, 06.
- Sumit Agarwal & John C Driscoll & David Laibson, 2008. "Optimal Mortgage Refinancing: A Closed Form Solution," Levine's Working Paper Archive 122247000000002021, David K. Levine.
- Bakshi, Gurdip & Ju, Nengjiu & Ou-Yang, Hui, 2006. "Estimation of continuous-time models with an application to equity volatility dynamics," Journal of Financial Economics, Elsevier, vol. 82(1), pages 227-249, October.
- Lee, Kiseop & Xu, Mingxin, 2007. "Parameter estimation from multinomial trees to jump diffusions with k means clustering," MPRA Paper 3307, University Library of Munich, Germany, revised 26 Apr 2007.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.