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• Gabriele Fiorentini
• Giorgio Calzolari

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Article provided by Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome in its journal Metron.

Volume (Year): LIX (2001)
Issue (Month): 1-2 ()
Pages: 39-53
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Handle: RePEc:mtn:ancoec:2001:104

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1. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May. [Downloadable!] (restricted)
   Other versions:
   • Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Broze, Laurence & Scaillet, Olivier & Zako an, Jean-Michel, 1998. "Quasi-Indirect Inference For Diffusion Processes," Econometric Theory, Cambridge University Press, vol. 14(02), pages 161-186, April. [Downloadable!]
3. Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-27, July. [Downloadable!] (restricted)
4. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November. [Downloadable!] (restricted)
5. Broze, L. & Scaillet, O. & Zakoian, J.M., 1993. "Testing for Continuous-Time Models of the Short-Term Interest Rate," Papers 9331, Catholique de Louvain - Center for Operations Research and Economics.
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   • Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel, 1995. "Testing for continuous-time models of the short-term interest rate," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 199-223, September. [Downloadable!] (restricted)
6. 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. [Downloadable!] (restricted)
7. Mealli, Fabrizia & Rampichini, Carla, 1999. "Estimating binary multilevel models through indirect inference," Computational Statistics & Data Analysis, Elsevier, vol. 29(3), pages 313-324, January. [Downloadable!] (restricted)
8. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De. [Downloadable!] (restricted)
   Other versions:
   • Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
   • Gourieroux, C. & Monfort, A & Renault, E., 1992. "Indirect Inference," Papers 9215, Institut National de la Statistique et des Etudes Economiques-.
9. Giorgio Calzolari & Francesca Di Iorio & Gabriele Fiorentini, 1998. "Control variates for variance reduction in indirect inference: Interest rate models in continuous time," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C100-C112.
   Other versions:
   • Calzolari, G. & Di Iorio, F. & Fiorentini, G., 1998. "Control Variates for Variance Reduction in Indirect Inference: Interest Rate Models in Continuous Time," Papers 98-09, Valencia - Instituto de Investigaciones Economicas.
   • Gabriele Fiorentini & Francesca Di Iorio & Giorgio Calzolari, 1998. "- Control Variates For Variance Reduction In Indirect Inference: Interest Rate Models In Continuous Time," Working Papers. Serie AD 1998-09, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
10. Chiara Monfardini, 1998. "Estimating stochastic volatility models through indirect inference," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C113-C128.

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