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Alexei V. Egorov

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Personal Details

First Name:Alexei
Middle Name:V.
Last Name:Egorov
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RePEc Short-ID:peg8
Email:
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Location: Morgantown, West Virginia (United States)
Homepage: http://www.be.wvu.edu/econ/
Email:
Phone: (304) 293-7859
Fax: (304) 293-2233
Postal: P.O. Box 6025, Morgantown, WV 26506-6025
Handle: RePEc:edi:dewvuus (more details at EDIRC)
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  1. Egorov, Alexei V. & Li, Haitao & Ng, David, 2011. "A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates," Journal of Econometrics, Elsevier, vol. 162(1), pages 55-70, May.
  2. Egorov, Alexei V. & Hong, Yongmiao & Li, Haitao, 2006. "Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 255-284.
  3. Egorov, Alexei V. & Li, Haitao & Xu, Yuewu, 2003. "Maximum likelihood estimation of time-inhomogeneous diffusions," Journal of Econometrics, Elsevier, vol. 114(1), pages 107-139, May.

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