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Robust GMM analysis of models for the short rate process

  • Dell'Aquila, Rosario
  • Ronchetti, Elvezio
  • Trojani, Fabio

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File URL: http://www.sciencedirect.com/science/article/B6VFG-480CSHT-1/2/5fc1de7fadecc56fe35898b88e04acde
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 10 (2003)
Issue (Month): 3 (May)
Pages: 373-397

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Handle: RePEc:eee:empfin:v:10:y:2003:i:3:p:373-397
Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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  1. Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 2001. "Peso problem explanations for term structure anomalies," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 241-270, October.
  2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  3. Gregory R. Duffee, 1994. "Idiosyncratic variation of Treasury bill yields," Finance and Economics Discussion Series 94-28, Board of Governors of the Federal Reserve System (U.S.).
  4. Ahn, Dong-Hyun & Gao, Bin, 1999. "A Parametric Nonlinear Model of Term Structure Dynamics," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 721-62.
  5. Ball, Clifford A. & Torous, Walter N., 1995. "Regime Shifts in Short Term Riskless Interest Rates," University of California at Los Angeles, Anderson Graduate School of Management qt5hs021jf, Anderson Graduate School of Management, UCLA.
  6. BROZE, Laurence & SCAILLET, Olivier & ZAKOIANÂ , Jean-Michel, 1993. "Testing for Continuous-Time Models of the Short-Term Interest Rate," CORE Discussion Papers 1993031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. Andrew Ang & Geert Bekaert, 1998. "Regime Switches in Interest Rates," NBER Working Papers 6508, National Bureau of Economic Research, Inc.
  8. Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc.
  9. Jiang, George J., 1998. "Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(04), pages 465-497, December.
  10. Qiang Dai & Kenneth J. Singleton, 2000. "Specification Analysis of Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 55(5), pages 1943-1978, October.
  11. Brenner, Robin J. & Harjes, Richard H. & Kroner, Kenneth F., 1996. "Another Look at Models of the Short-Term Interest Rate," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(01), pages 85-107, March.
  12. Stanton, Richard, 1997. " A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk," Journal of Finance, American Finance Association, vol. 52(5), pages 1973-2002, December.
  13. Ang, Andrew & Bekaert, Geert, 2002. "Short rate nonlinearities and regime switches," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1243-1274, July.
  14. Ronchetti, Elvezio & Trojani, Fabio, 2001. "Robust inference with GMM estimators," Journal of Econometrics, Elsevier, vol. 101(1), pages 37-69, March.
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