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A State‐Space Approach To Estimate And Test Multifactor Cox‐Ingersoll‐Ross Models Of The Term Structure

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  1. repec:mth:ijafr8:v:8:y:2018:i:4:p:248-286 is not listed on IDEAS
  2. Esben Hoeg & Per Frederiksen, 2006. "The Fractional OU Process: Term Structure Theory and Application," Computing in Economics and Finance 2006 194, Society for Computational Economics.
  3. James Kau & Donald Keenan & Henry Munneke, 2012. "Racial Discrimination and Mortgage Lending," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 289-304, August.
  4. Yalin Gündüz & Marliese Uhrig-Homburg, 2014. "Does modeling framework matter? A comparative study of structural and reduced-form models," Review of Derivatives Research, Springer, vol. 17(1), pages 39-78, April.
  5. William H. Aeberhard & Eva Cantoni & Chris Field & Hans R. Künsch & Joanna Mills Flemming & Ximing Xu, 2021. "Robust estimation for discrete‐time state space models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(4), pages 1127-1147, December.
  6. Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, December.
  7. Wolfgang Lemke & Deutsche Bundesbank, 2006. "Term Structure Modeling and Estimation in a State Space Framework," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-28344-7, December.
  8. Høg, Espen P. & Frederiksen, Per H., 2006. "The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application," Finance Research Group Working Papers F-2006-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  9. Kris Jacobs & Xiaofei Li, 2008. "Modeling the Dynamics of Credit Spreads with Stochastic Volatility," Management Science, INFORMS, vol. 54(6), pages 1176-1188, June.
  10. Gonzalo Cortazar & Eduardo S. Schwartz & Lorenzo F. Naranjo, 2007. "Term-structure estimation in markets with infrequent trading," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(4), pages 353-369.
  11. Jury Falini, 2009. "Pricing caps with HJM models: the benefits of humped volatility," Department of Economics University of Siena 563, Department of Economics, University of Siena.
  12. Choong Tze Chua & Dean Foster & Krishna Ramaswamy & Robert Stine, 2008. "A Dynamic Model for the Forward Curve," Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 265-310, January.
  13. Giuliano De Rossi, 2010. "Maximum Likelihood Estimation of the Cox–Ingersoll–Ross Model Using Particle Filters," Computational Economics, Springer;Society for Computational Economics, vol. 36(1), pages 1-16, June.
  14. Alan Genaro & Adilson Simonis, 2015. "Estimating doubly stochastic Poisson process with affine intensities by Kalman filter," Statistical Papers, Springer, vol. 56(3), pages 723-748, August.
  15. Rana Chatterjee, 2004. "Application Of The Kalman Filter For Estimating Continuous Time Term Structure Models: Evidence From The Uk And Germany," Computing in Economics and Finance 2004 346, Society for Computational Economics.
  16. Joel Barber & Mark Copper, 2012. "Principal component analysis of yield curve movements," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(3), pages 750-765, July.
  17. Gonon, Lukas & Teichmann, Josef, 2020. "Linearized filtering of affine processes using stochastic Riccati equations," Stochastic Processes and their Applications, Elsevier, vol. 130(1), pages 394-430.
  18. Maclachlan, Iain C, 2007. "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper 28416, University Library of Munich, Germany.
  19. Caggiano, Giovanni & Leonida, Leone, 2007. "A note on the empirics of the neoclassical growth model," Economics Letters, Elsevier, vol. 94(2), pages 170-176, February.
  20. Alejandro Bernales & Diether W. Beuermann & Gonzalo Cortazar, 2014. "Thinly traded securities and risk management," Estudios de Economia, University of Chile, Department of Economics, vol. 41(1 Year 20), pages 5-48, June.
  21. Cortazar, Gonzalo & Beuermann, Diether & Bernales, Alejandro, 2013. "Risk Management with Thinly Traded Securities: Methodology and Implementation," IDB Publications (Working Papers) 4647, Inter-American Development Bank.
  22. Falini, Jury, 2010. "Pricing caps with HJM models: The benefits of humped volatility," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1358-1367, December.
  23. Dang-Nguyen, Stéphane & Le Caillec, Jean-Marc & Hillion, Alain, 2014. "The deterministic shift extension and the affine dynamic Nelson–Siegel model," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 402-417.
  24. Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi & Takami Tokioka, 2018. "On the Effect of Bank of Japan’s Outright Purchase on the JGB Yield Curve," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 25(1), pages 47-70, March.
  25. Michele Leonardo Bianchi, 2018. "Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs," Papers 1805.09996, arXiv.org.
  26. 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.
  27. Somnath Chatterjee, 2005. "Application Of The Kalman Filter For Estimating Continuous Time Term Structure Models: The Case Of Uk And Germany," Working Papers 2005_2, Business School - Economics, University of Glasgow.
  28. Ramaprasad Bhar & Nedim Handzic, 2011. "A Multifactor Model of Credit Spreads," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 105-127, March.
  29. Jiyoung Lee, 2015. "Disentangling the Predictive Power of Term Spreads under Inflation Targeting," International Economic Journal, Taylor & Francis Journals, vol. 29(3), pages 419-450, September.
  30. Shin Ichi Aihara & Arunabha Bagchi, 2010. "Identification Of Affine Term Structures From Yield Curve Data," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 259-283.
  31. Zehra Eksi & Damir Filipovi'c, 2020. "Affine Pricing and Hedging of Collateralized Debt Obligations," Papers 2011.10101, arXiv.org.
  32. De Rossi, Giuliano, 2004. "Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 277-308, March.
  33. Zhiping Huang & Michael Sherris & Andrés M. Villegas & Jonathan Ziveyi, 2022. "Modelling USA Age-Cohort Mortality: A Comparison of Multi-Factor Affine Mortality Models," Risks, MDPI, vol. 10(9), pages 1-28, September.
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