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Continuous time and nonparametric modelling of U.S. interest rate models

  • Nowman, K. Ben
  • Saltoglu, Burak

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File URL: http://www.sciencedirect.com/science/article/B6W4W-47N7GRX-2/2/f00ffa007a344cb11d1529aaab6081dd
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Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 12 (2003)
Issue (Month): 1 ()
Pages: 25-34

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Handle: RePEc:eee:finana:v:12:y:2003:i:1:p:25-34
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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  1. Oliver LINTON, . "Applied nonparametric methods," Statistic und Oekonometrie 9312, Humboldt Universitaet Berlin.
  2. René Garcia & Ramazan Gençay, 1998. "Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint," CIRANO Working Papers 98s-35, CIRANO.
  3. 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.
  4. Härdle, W.K., 1992. "Applied Nonparametric Methods," Discussion Paper 1992-6, Tilburg University, Center for Economic Research.
  5. Gencay, R & Stengos, T, 1996. "Technical Trading Rules and the Size of the Risk Premium in Security Returns," Working Papers 1996-11, University of Guelph, Department of Economics and Finance.
  6. Byers, S. L. & Nowman, K. B., 1998. "Forecasting U.K. and U.S. interest rates using continuous time term structure models," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 191-206.
  7. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
  8. Bergstrom, A. R., 1986. "The Estimation of Open Higher-Order Continuous Time Dynamic Models with Mixed Stock and Flow Data," Econometric Theory, Cambridge University Press, vol. 2(03), pages 350-373, December.
  9. Michael J. Brennan and Eduardo S. Schwartz., 1979. "A Continuous-Time Approach to the Pricing of Bonds," Research Program in Finance Working Papers 85, University of California at Berkeley.
  10. Brennan, Michael J. & Schwartz, Eduardo S., 1980. "Analyzing Convertible Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(04), pages 907-929, November.
  11. Bergstrom, A.R., 1984. "Continuous time stochastic models and issues of aggregation over time," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 20, pages 1145-1212 Elsevier.
  12. Brennan, Michael J. & Schwartz, Eduardo S., 1979. "A continuous time approach to the pricing of bonds," Journal of Banking & Finance, Elsevier, vol. 3(2), pages 133-155, July.
  13. repec:cup:cbooks:9780521355643 is not listed on IDEAS
  14. 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.
  15. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
  16. repec:cup:cbooks:9780521586115 is not listed on IDEAS
  17. Mikiyo Kii Niizeki, 1998. "Empirical tests of short-term interest rate models: a nonparametric approach," Applied Financial Economics, Taylor & Francis Journals, vol. 8(4), pages 347-352.
  18. Bergstrom, A. R., 1985. "The Estimation of Parameters in Nonstationary Higher Order Continuous-Time Dynamic Models," Econometric Theory, Cambridge University Press, vol. 1(03), pages 369-385, December.
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