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Another Look at Models of the Short-Term Interest Rate
Citations
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Cited by:
- Diether Beuermann & Antonios Antoniou & Alejandro Bernales, 2005. "The Dynamics of the Short-Term Interest Rate in the UK," Finance 0512029, University Library of Munich, Germany.
- V. Cvsa & P. Ritchken, 2001. "Pricing Claims Under GARCH-Level Dependent Interest Rate Processes," Management Science, INFORMS, vol. 47(12), pages 1693-1711, December.
- Das, Sanjiv R., 2002. "The surprise element: jumps in interest rates," Journal of Econometrics, Elsevier, vol. 106(1), pages 27-65, January.
- Huang, Jian & Kobayashi, Masahito & McAleer, Michael, 2012. "Testing for the Box–Cox parameter for an integrated process," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 83(C), pages 1-9.
- Michael J. Fleming & Jose A. Lopez, 1999.
"Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market,"
Working Papers in Applied Economic Theory
99-09, Federal Reserve Bank of San Francisco.
- Michael J. Fleming & Jose A. Lopez, 1999. "Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market," Staff Reports 82, Federal Reserve Bank of New York.
- Dankenbring, Henning, 1998. "Volatility estimates of the short term interest rate with an application to German data," SFB 373 Discussion Papers 1998,96, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Li, Liuling & Mizrach, Bruce, 2010.
"Tail return analysis of Bear Stearns' credit default swaps,"
Economic Modelling, Elsevier, vol. 27(6), pages 1529-1536, November.
- Liuling Li & Bruce Mizrach, 2010. "Tail Return Analysis of Bear Stearns Credit Default Swaps," Departmental Working Papers 201003, Rutgers University, Department of Economics.
- Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, January.
- Paulo M.M. Rodrigues & Antonio Rubia, 2004.
"On The Small Sample Properties Of Dickey Fuller And Maximum Likelihood Unit Root Tests On Discrete-Sampled Short-Term Interest Rates,"
Working Papers. Serie AD
2004-11, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Paulo M. M. Rodrigues & Antonio Rubia, 2004. "On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates," Econometrics 0405004, University Library of Munich, Germany.
- T. J. Brailsford & K. Maheswaran, 1998. "The Dynamics of the Australian Short†Term Interest Rate," Australian Journal of Management, Australian School of Business, vol. 23(2), pages 213-234, December.
- Christiansen, Charlotte, 2008.
"Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates,"
International Review of Financial Analysis, Elsevier, vol. 17(5), pages 925-948, December.
- Christiansen, Charlotte, 2005. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," Finance Research Group Working Papers F-2005-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Charlotte Christiansen, 2007. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," CREATES Research Papers 2007-05, Department of Economics and Business Economics, Aarhus University.
- repec:wyi:journl:002108 is not listed on IDEAS
- Collin-Dufresne, Pierre & Goldstein, Robert S. & Jones, Christopher S., 2009. "Can interest rate volatility be extracted from the cross section of bond yields?," Journal of Financial Economics, Elsevier, vol. 94(1), pages 47-66, October.
- Bu, Ruijun & Kim, Jihyun & Wang, Bin, 2023. "Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications," Journal of Econometrics, Elsevier, vol. 235(2), pages 1934-1954.
- Menkveld, Albert J. & Cheung, Yiu Chung & de Jong, Frank, 2004.
"Euro area sovereign yield dynamics: the role of order imbalance,"
Working Paper Series
385, European Central Bank.
- Menkveld, Albert J. & Cheung, Yiu C. & Jong, Frank de, 2006. "Euro-Area Sovereign Yield Dynamics: the role of order imbalance," Serie Research Memoranda 0006, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Francq, Christian & Sucarrat, Genaro, 2017.
"An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns,"
Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 16-32.
- Francq, Christian & Sucarrat, Genaro, 2015. "Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns," MPRA Paper 67140, University Library of Munich, Germany.
- Bartolini, Leonardo & Prati, Alessandro, 2006.
"Cross-country differences in monetary policy execution and money market rates' volatility,"
European Economic Review, Elsevier, vol. 50(2), pages 349-376, February.
- Leonardo Bartolini & Alessandro Prati, 2003. "Cross-country differences in monetary policy execution and money market rates' volatility," Staff Reports 175, Federal Reserve Bank of New York.
- Vo, Minh T., 2009. "Regime-switching stochastic volatility: Evidence from the crude oil market," Energy Economics, Elsevier, vol. 31(5), pages 779-788, September.
- Joakim Westerlund, 2013. "A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 477-495, July.
- Kim, Suk-Joong & Sheen, Jeffrey, 2000.
"International linkages and macroeconomic news effects on interest rate volatility -- Australia and the US,"
Pacific-Basin Finance Journal, Elsevier, vol. 8(1), pages 85-113, March.
- Kim, Suk-Joong & Sheen, Jeffrey, 1998. "International Linkages and Macroeconomic News Effects on Interest Rate Volatility - Australia and the US'," Working Papers 11, University of Sydney, School of Economics.
- Cifarelli, giulio, 2002. "The information content of implied volatilities of options on eurodeposit futures traded on the LIFFE: is there long memory?," MPRA Paper 28538, University Library of Munich, Germany.
- Kasimir Kaliva, 2008. "The Fisher effect, survey data and time-varying volatility," Empirical Economics, Springer, vol. 35(1), pages 1-10, August.
- Bali, Turan G. & Neftci, Salih N., 2003.
"Disturbing extremal behavior of spot rate dynamics,"
Journal of Empirical Finance, Elsevier, vol. 10(4), pages 455-477, September.
- Turan G. Bali & Salih N. Neftci, 2002. "Disturbing Extremal Behavior of Spot Rate Dynamics," ICMA Centre Discussion Papers in Finance icma-dp2002-03, Henley Business School, University of Reading.
- Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, edition 127, number 978-3-662-45906-5, July-Dece.
- Hamilton, James D & Kim, Dong Heon, 2002.
"A Reexamination of the Predictability of Economic Activity Using the Yield Spread,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(2), pages 340-360, May.
- Hamilton, James Douglas & Kim, Dong Heon, 2000. "A Re-examination of the Predictability of Economic Activity Using the Yield Spread," University of California at San Diego, Economics Working Paper Series qt69v8p1m9, Department of Economics, UC San Diego.
- James D. Hamilton & Dong Heon Kim, 2000. "A Re-examination of the Predictability of Economic Activity Using the Yield Spread," NBER Working Papers 7954, National Bureau of Economic Research, Inc.
- Hirbod Assa & Amal Dabbous & Nikolay Gospodinov, 2013. "A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics," FRB Atlanta Working Paper 2013-08, Federal Reserve Bank of Atlanta.
- Henry, Olan T. & Olekalns, Nilss & Suardi, Sandy, 2007.
"Testing for rate dependence and asymmetry in inflation uncertainty: Evidence from the G7 economies,"
Economics Letters, Elsevier, vol. 94(3), pages 383-388, March.
- Sandy Suardi & O.T.Henry & N. Olekalns, "undated". "Testing for Rate-Dependence and Asymmetry in Inflation Uncertainty: Evidence from the G7 Economies," MRG Discussion Paper Series 0306, School of Economics, University of Queensland, Australia.
- Olan T. Henry & Nilss Olekalns & Sandy Suardi, 2006. "Testing for Rate-Dependence and Asymmetry in Inflation Uncertainty:Evidence from the G7 Economies," Department of Economics - Working Papers Series 959, The University of Melbourne.
- Jian Huang & Masahito Kobayashi & Michael McAleer, 2009. "Testing the Box-Cox Parameter in an Integrated Process," CIRJE F-Series CIRJE-F-661, CIRJE, Faculty of Economics, University of Tokyo.
- Frank, Johannes, 2023. "Forecasting realized volatility in turbulent times using temporal fusion transformers," FAU Discussion Papers in Economics 03/2023, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- D H Kim, 2005. "Nonlinearity in the Term Structure," Centre for Growth and Business Cycle Research Discussion Paper Series 51, Economics, The University of Manchester.
- Jean-michel Sahut, 2010.
"A Flexible Non Linear Model to Test the Expectation Hypothesis of Interest Rates,"
Economics Bulletin, AccessEcon, vol. 30(3), pages 2297-2311.
- Jean-Michel Sahut, 2014. "A Flexible Non Linear Model to Test the Expectation Hypothesis of Interest Rates," Working Papers 2014-352, Department of Research, Ipag Business School.
- Mahdavi, Mahnaz, 2008. "A comparison of international short-term rates under no arbitrage condition," Global Finance Journal, Elsevier, vol. 18(3), pages 303-318.
- Avouyi-Dovi, S. & Horny, G. & Sevestre, P., 2013. "The dynamics of bank loans short-term interest rates in the Euro area: what lessons can we draw from the current crisis?," Working papers 462, Banque de France.
- Patrick Traichal & Steve Johnson, 1999. "Forecastable default risk premia and innovations," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 23(3), pages 214-225, September.
- Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
- Kalimipalli, Madhu & Susmel, Raul, 2004. "Regime-switching stochastic volatility and short-term interest rates," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 309-329, June.
- Dong Heon Kim, 2004.
"Nonlinearity in the Term Structure,"
Econometric Society 2004 Far Eastern Meetings
440, Econometric Society.
- Dong Heon Kim, 2005. "Nonlinearity in the Term Structure," Economics Discussion Paper Series 0528, Economics, The University of Manchester.
- Pérignon, Christophe & Smith, Daniel R., 2010.
"The level and quality of Value-at-Risk disclosure by commercial banks,"
Journal of Banking & Finance, Elsevier, vol. 34(2), pages 362-377, February.
- Christophe Perignon & D. Smith, 2009. "The Level and Quality of Value-at-Risk Disclosure by Commercial Banks," Post-Print hal-00496102, HAL.
- Christophe Perignon & Daniel R. Smith, 2010. "The level and quality of Value-at-Risk disclosure by commercial banks," Post-Print hal-00528391, HAL.
- A. S. Hurn & K. A. Lindsay & V. L. Martin, 2003. "On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(1), pages 45-63, January.
- Longstaff, Francis A. & Santa-Clara, Pedro & Schwartz, Eduardo S., 2001. "Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market," Journal of Financial Economics, Elsevier, vol. 62(1), pages 39-66, October.
- Zongwu Cai & Yongmiao Hong, 2013. "Some Recent Developments in Nonparametric Finance," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Siklos, Pierre L, 2000.
"Inflation Targets and the Yield Curve: New Zealand and Australia versus the US,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 5(1), pages 15-32, February.
- Pierre Siklos, 1999. "Inflation Targets and the Yield Curve: New Zealand and Australia vs. the US," Research Paper Series 25, Quantitative Finance Research Centre, University of Technology, Sydney.
- Iglesias Vázquez, E.M. & Arranz Pérez, M., 2001. "Análisis de las relaciones entre el tipo de interés a corto plazo y su incertidumbre en Alemania, España y Suiza," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 19, pages 37-47, Diciembre.
- Hideyuki Takamizawa, 2015.
"Predicting Interest Rate Volatility Using Information on the Yield Curve,"
International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 347-386, September.
- Takamizawa, Hideyuki & 髙見澤, 秀幸, 2012. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-3, Hitotsubashi University Center for Financial Research.
- Takamizawa, Hideyuki & 髙見澤, 秀幸, 2015. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-9, Hitotsubashi University Center for Financial Research.
- Jin-Chuan Duan & Kris Jacobs, 2001. "Short and Long Memory in Equilibrium Interest Rate Dynamics," CIRANO Working Papers 2001s-22, CIRANO.
- Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2007.
"Indirect robust estimation of the short-term interest rate process,"
Journal of Empirical Finance, Elsevier, vol. 14(4), pages 546-563, September.
- 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.
- Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2007. "Indirect robust estimation of the short-term interest rate process," Post-Print hal-00463251, HAL.
- Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2005. "Indirect Robust Estimation of the Short-term interest Rate Process," FAME Research Paper Series rp135, International Center for Financial Asset Management and Engineering.
- Gregory Koutmos & George Philippatos, 2007. "Asymmetric Mean Reversion in European Interest Rates: A Two-factor Model," The European Journal of Finance, Taylor & Francis Journals, vol. 13(8), pages 741-750.
- Jian Huang & Masahito Kobayashi & Michael McAleer, 2010.
"Testing the Box-Cox Parameter for an Integrated Process,"
KIER Working Papers
750, Kyoto University, Institute of Economic Research.
- Huang, J. & Kobayashi, M. & McAleer, M.J., 2011. "Testing the Box-Cox Parameter for an Integrated Process," Econometric Institute Research Papers EI 2010-77, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Jian Huang & Masahito Kobayashi & Michael McAleer, 2011. "Testing the Box-Cox Parameter for an Integrated Process," Documentos de Trabajo del ICAE 2011-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Jian Huang & Masahito Kobayashi & Michael McAleer, 2010. "Testing the Box-Cox Parameter for an Integrated Process," Working Papers in Economics 10/77, University of Canterbury, Department of Economics and Finance.
- Petros Dellaportas & David G. T. Denison & Chris Holmes, 2007. "Flexible Threshold Models for Modelling Interest Rate Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 419-437.
- Fan, Jianqing & Fan, Yingying & Jiang, Jiancheng, 2007. "Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 618-631, June.
- Takamizawa, Hideyuki & Shoji, Isao, 2009.
"Modeling the term structure of interest rates with general diffusion processes: A moment approximation approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 65-77, January.
- Takamizawa, Hideyuki & 高見澤, 秀幸 & Shoji, Isao & 庄司, 功, 2007. "Modeling the Term Structure of Interest Rates with General Diffusion Processes: A Moment Approximation Approach," Discussion Papers 2006-05, Graduate School of Economics, Hitotsubashi University.
- Sun, Licheng, 2005. "Regime shifts in interest rate volatility," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 418-434, June.
- Hördahl, Peter, 2000.
"Estimating the implied distribution of the future short term interest rate using the Longstaff-Schwartz model,"
Working Paper Series
16, European Central Bank.
- Hördahl, Peter, 2000. "Estimating the Implied Distribution of the Future Short-Term Interest Rate Using the Longstaff-Schwartz Model," Working Paper Series 111, Sveriges Riksbank (Central Bank of Sweden).
- Jun Yu & Peter C. B. Phillips, 2001. "A Gaussian approach for continuous time models of the short-term interest rate," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 1-3.
- O.T. Henry & S. Suardi, 2005. "Testing For Asymmetry In Interest Rate Volatility In The Presence Of A Neglected Level Effect," Department of Economics - Working Papers Series 945, The University of Melbourne.
- Ferreira, Miguel A., 2005. "Forecasting the comovements of spot interest rates," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 766-792, September.
- Fornari, Fabio & Mele, Antonio, 2006. "Approximating volatility diffusions with CEV-ARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 30(6), pages 931-966, June.
- Vicente Meneu & Hipòlit Torró, 2003.
"Asymmetric covariance in spot‐futures markets,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1019-1046, November.
- Vicente Meneu & Hipolit Torro, "undated". "Asymmetric covariance in sport-future markets," Studies on the Spanish Economy 135, FEDEA.
- Sergio Zúñiga, 1999.
"Modelos de Tasas de Interés en Chile: Una Revisión,"
Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 36(108), pages 875-893.
- Sergio Zúñiga, 1999. "Modelos de Tasas de Interés en Chile: Una Revisión," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 36(108), pages 875-893.
- Hortensia Fontanals Albiol & Sergio Zuniga, 2002. "Modelos de tasas de interes en Chile: una revision," Working Papers in Economics 87, Universitat de Barcelona. Espai de Recerca en Economia.
- Joakim Westerlund & Paresh Narayan, 2013. "Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(11), pages 1024-1045, November.
- Travis Sapp, 2009. "Estimating continuous-time stochastic volatility models of the short-term interest rate: a comparison of the generalized method of moments and the Kalman filter," Review of Quantitative Finance and Accounting, Springer, vol. 33(4), pages 303-326, November.
- Jun Yu & Peter C.B. Phillips, 2001. "Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate," Cowles Foundation Discussion Papers 1309, Cowles Foundation for Research in Economics, Yale University.
- Robert R. Bliss & David C. Smith, 1997. "The stability of interest rate processes," FRB Atlanta Working Paper 97-13, Federal Reserve Bank of Atlanta.
- Miguel A. Ferreira, 2005.
"Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework,"
Journal of Financial Econometrics, Oxford University Press, vol. 3(1), pages 126-168.
- Miguel A. Ferreira & Jose A. Lopez, 2004. "Evaluating interest rate covariance models within a value-at-risk framework," Working Paper Series 2004-03, Federal Reserve Bank of San Francisco.
- Hong, Yongmiao & Lin, Hai & Wang, Shouyang, 2010. "Modeling the dynamics of Chinese spot interest rates," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1047-1061, May.
- D H Kim, 2004. "Nonlinearity in the Term Structure," Economics Discussion Paper Series 0401, Economics, The University of Manchester.
- Peter A. Tinsley, 1998. "Short rate expectations, term premiums, and central bank use of derivatives to reduce policy uncertainty," Finance and Economics Discussion Series 1999-14, Board of Governors of the Federal Reserve System (U.S.).
- Robert Jarrow & Haitao Li & Feng Zhao, 2007. "Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?," Journal of Finance, American Finance Association, vol. 62(1), pages 345-382, February.
- Heejoon Han & Dennis Kristensen, 2014.
"Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 416-429, July.
- Heejoon Han & Dennis Kristensen, 2012. "Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates," CREATES Research Papers 2012-25, Department of Economics and Business Economics, Aarhus University.
- Heejoon Han & Dennis Kristensen, 2013. "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers CWP18/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Heejoon Han & Dennis Kristensen, 2013. "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers 18/13, Institute for Fiscal Studies.
- repec:wyi:journl:002118 is not listed on IDEAS
- Episcopos, Athanasios, 2000. "Further evidence on alternative continuous time models of the short-term interest rate," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 199-212, June.
- Joshua Rosenberg, 1999. "Option-Based Tests of Interest Rate Diffusion Functions," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-026, New York University, Leonard N. Stern School of Business-.
- Perignon, Christophe & Smith, Daniel R., 2007.
"Yield-factor volatility models,"
Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3125-3144, October.
- Christophe Pérignon & Daniel R. Smith, 2007. "Yield-factor volatility models," Post-Print hal-00461067, HAL.
- Hong, Yongmiao & Lin, Hai & Wang, Shouyang, 2010.
"Modeling the dynamics of Chinese spot interest rates,"
Journal of Banking & Finance,
Elsevier, vol. 34(5), pages 1047-1061, May.
- Yongmiao Hong & Hai Lin & Shouyang Wang, 2013. "Modeling the Dynamics of Chinese Spot Interest Rates," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Daniel Smith, 2008. "Testing for structural breaks in GARCH models," Applied Financial Economics, Taylor & Francis Journals, vol. 18(10), pages 845-862.
- Tunaru, Diana, 2017. "Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 119-129.
- Junko Koeda & Ryo Kato, 2010.
"The Role of Uncertainty in the Term Structure of Interest Rates: A Macro-Finance Perspective,"
CARF F-Series
CARF-F-207, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Junko Koeda & Ryo Kato, 2010. "The Role of Uncertainty in the Term Structure of Interest Rates: A Macro-Finance Perspective," CIRJE F-Series CIRJE-F-724, CIRJE, Faculty of Economics, University of Tokyo.
- Chew Lian Chua & Sandy Suardi & Sarantis Tsiaplias, 2011. "Predicting Short-Term Interest Rates: Does Bayesian Model Averaging Provide Forecast Improvement?," Melbourne Institute Working Paper Series wp2011n01, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Jacob Boudoukh & Matthew Richardson & Richard Stanton & Robert F. Whitelaw, 1999. "A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility," NBER Working Papers 7213, National Bureau of Economic Research, Inc.
- Torben G. Andersen & Luca Benzoni, 2010.
"Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models,"
Journal of Finance, American Finance Association, vol. 65(2), pages 603-653, April.
- Torben G. Andersen & Luca Benzoni, 2006. "Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models," Working Paper Series WP-06-15, Federal Reserve Bank of Chicago.
- Torben G. Andersen & Luca Benzoni, 2007. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models," NBER Working Papers 12962, National Bureau of Economic Research, Inc.
- Torben G. Andersen & Luca Benzoni, 2007. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," CREATES Research Papers 2007-25, Department of Economics and Business Economics, Aarhus University.
- de Goeij, Peter & Marquering, Wessel, 2005. "The generalized asymmetric dynamic covariance model," Finance Research Letters, Elsevier, vol. 2(2), pages 67-74, June.
- Ramaprasad Bhar & Damien Lee, 2018. "Alternative characterization of volatility of short-term interest rate," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-15, June.
- Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois, 2018. "Dynamic Dependence and Diversification in Corporate Credit [Asymmetric correlations of equity portfolios]," Review of Finance, European Finance Association, vol. 22(2), pages 521-560.
- Feng Zhao & Robert Jarrow & Haitao Li, 2004. "Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?," Econometric Society 2004 North American Winter Meetings 431, Econometric Society.
- Lubrano, Michel, 2004. "Modélisation bayésienne non linéaire du taux d’intérêt de court terme américain : l’aide des outils non paramétriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 465-499, Juin-Sept.
- Baker, H. Kent & Rahman, Abdul & Saadi, Samir, 2008.
"The day-of-the-week effect and conditional volatility: Sensitivity of error distributional assumptions,"
Review of Financial Economics, Elsevier, vol. 17(4), pages 280-295, December.
- H. Kent Baker & Abdul Rahman & Samir Saadi, 2008. "The day‐of‐the‐week effect and conditional volatility: Sensitivity of error distributional assumptions," Review of Financial Economics, John Wiley & Sons, vol. 17(4), pages 280-295, December.
- Kim, Dong H. & Stock, Duane, 2014. "The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables," Journal of Corporate Finance, Elsevier, vol. 26(C), pages 20-35.
- Suardi, Sandy, 2008. "Are levels effects important in out-of-sample performance of short rate models?," Economics Letters, Elsevier, vol. 99(1), pages 181-184, April.
- Helena Chuliá & Hipòlit Torró, 2008. "The economic value of volatility transmission between the stock and bond markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(11), pages 1066-1094, November.
- Nowman, K.B. & Yahia, B.B.H., 2008. "Euro and FIBOR interest rates: A continuous time modelling analysis," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1029-1035, December.
- Cai, Zongwu & Hong, Yongmiao, 2003. "Nonparametric Methods in Continuous-Time Finance: A Selective Review," SFB 373 Discussion Papers 2003,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Wali Ullah, 2017. "Term structure forecasting in affine framework with time-varying volatility," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 26(3), pages 453-483, August.
- Haitao Li & Feng Zhao, 2009. "Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices," Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4335-4376, November.
- Peter Aling & Shakill Hassan, 2012.
"No-Arbitrage One-Factor Models Of The South African Term Structure Of Interest Rates,"
South African Journal of Economics, Economic Society of South Africa, vol. 80(3), pages 301-318, September.
- Peter Aling & Shakill Hassan, 2011. "No-Arbitrage One-Factor Models of the South African Term-Structure of Interest Rates," Working Papers 246, Economic Research Southern Africa.
- Peter Aling & Dr. Shakill Hassan, 2012. "NoArbitrage OneFactor Models of the South African TermStructure of Interest Rates," Working Papers 4946, South African Reserve Bank.
- Kaiwen Hou, 2022. "Inference for Model Misspecification in Interest Rate Term Structure using Functional Principal Component Analysis," Papers 2212.10790, arXiv.org.
- Hou, Ai Jun & Suardi, Sandy, 2011. "Modelling and forecasting short-term interest rate volatility: A semiparametric approach," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 692-710, September.
- de Goeij, Peter & Marquering, Wessel, 2009. "Stock and bond market interactions with level and asymmetry dynamics: An out-of-sample application," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 318-329, March.
- Sandy Suardi & O.T.Henry & N. Olekalns, "undated".
"Equity Return and Short-Term Interest Rate Volatility: Level Effects and Asymmetric Dynamics,"
MRG Discussion Paper Series
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