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File URL: http://hdl.handle.net/10.1007/s10614-006-9023-9
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Article provided by Society for Computational Economics in its journal Computational Economics.

Volume (Year): 27 (2006)
Issue (Month): 2 (May)
Pages: 163-183

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Handle: RePEc:kap:compec:v:27:y:2006:i:2:p:163-183

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Web page: http://www.springerlink.com/link.asp?id=100248
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Keywords: term structure; volatility; mutlifactor; jump; Eurodollar futures; futures markets; genetic algorithm;

References

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1. Jegadeesh, Narasimhan & Pennacchi, George G, 1996. "The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(3), pages 426-46, August.
   
   • Narasimhan Jegadeesh & George G. Pennacchi, 1996. "The behavior of interest rates implied by the term structure of Eurodollar future," Proceedings, Federal Reserve Bank of Cleveland, issue Aug, pages 426-451.
2. To, Thuy Duong & Carl Chiarella, 2003. "The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison," Royal Economic Society Annual Conference 2003 205, Royal Economic Society.
3. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
4. Das, Sanjiv R., 2002. "The surprise element: jumps in interest rates," Journal of Econometrics, Elsevier, vol. 106(1), pages 27-65, January.
5. Lo, Andrew W., 1988. "Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data," Econometric Theory, Cambridge University Press, vol. 4(02), pages 231-247, August.
   
   • Andrew W. Lo, 1986. "Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data," NBER Technical Working Papers 0059, National Bureau of Economic Research, Inc.
   • Andrew W. Lo, . "Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data," Rodney L. White Center for Financial Research Working Papers 15-86, Wharton School Rodney L. White Center for Financial Research.
6. Tomas Björk & Yuri Kabanov & Wolfgang Runggaldier, 1997. "Bond Market Structure in the Presence of Marked Point Processes," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 211-239.
7. Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
   
   • Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
8. 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.
9. Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
10. Hiroshi Shirakawa, 1991. "Interest Rate Option Pricing With Poisson-Gaussian Forward Rate Curve Processes," Mathematical Finance, Wiley Blackwell, vol. 1(4), pages 77-94.
11. Monika Piazzesi, 2005. "Bond Yields and the Federal Reserve," Journal of Political Economy, University of Chicago Press, vol. 113(2), pages 311-344, April.
12. Aytug, Haldun & Koehler, Gary J., 2000. "New stopping criterion for genetic algorithms," European Journal of Operational Research, Elsevier, vol. 126(3), pages 662-674, November.
13. Carl Chiarella & Christina Sklibosios, 2003. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Asia-Pacific Financial Markets, Springer, vol. 10(2), pages 87-127, September.
    
    • Carl Chiarella & Christina Nikitopoulos-Sklibosios, 2004. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Research Paper Series 132, Quantitative Finance Research Centre, University of Technology, Sydney.
14. Lina El-Jahel & Hans Lindberg & William Perraudin, 1996. "Interest Rate Distributions, Yield Curve Modelling and Monetary Policy," Archive Working Papers 021, Birkbeck, Department of Economics, Mathematics & Statistics.
15. Moraleda, Juan M. & Vorst, Ton C. F., 1997. "Pricing American interest rate claims with humped volatility models," Journal of Banking & Finance, Elsevier, vol. 21(8), pages 1131-1157, August.
16. Knez, Peter J & Litterman, Robert & Scheinkman, Jose Alexandre, 1994. " Explorations into Factors Explaining Money Market Returns," Journal of Finance, American Finance Association, vol. 49(5), pages 1861-82, December.

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Cited by:

1. Alex Huang, 2011. "Volatility Modeling by Asymmetrical Quadratic Effect with Diminishing Marginal Impact," Computational Economics, Society for Computational Economics, vol. 37(3), pages 301-330, March.
2. Chiarella, Carl & Hung, Hing & T, Thuy-Duong, 2009. "The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2075-2088, April.
   
   • Carl Chiarella & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series 150, Quantitative Finance Research Centre, University of Technology, Sydney.
   • Carl Chiarella & Hing Hung & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series 151, Quantitative Finance Research Centre, University of Technology, Sydney.
3. Giuliano De Rossi, 2010. "Maximum Likelihood Estimation of the Cox–Ingersoll–Ross Model Using Particle Filters," Computational Economics, Society for Computational Economics, vol. 36(1), pages 1-16, June.

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