Likelihood-based specification analysis of continuous-time models of the short-term interest rate
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- 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.
- Hideyuki Takamizawa, 2007. "A Simple Measure for Examining the Proxy Problem of the Short-Rate," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(4), pages 341-361, December.
- Roberto Reno' & Antonio Roma & Stephen Schaefer, 2004. "A Comparison of Alternative Nonparametric Estimators of the Short Rate Diffusion Coefficient," Department of Economics University of Siena 445, Department of Economics, University of Siena.
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"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.
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- 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.
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- Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2007.
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Journal of Empirical Finance, Elsevier, vol. 14(4), pages 546-563, September.
- 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.
- 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.
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- Norman R. Swanson & Lili Cai, 2011. "In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008," Departmental Working Papers 201102, Rutgers University, Department of Economics.
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- Nikolay Gospodinov & Masayuki Hirukawa, 2008. "Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels," Working Papers 08011, Concordia University, Department of Economics, revised Dec 2008.
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- 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.
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