Is Nonlinear Drift Implied by the Short-End of the Term Structure?
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- Hideyuki Takamizawa, 2008. "Is Nonlinear Drift Implied by the Short End of the Term Structure?," Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 311-346, January.
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- Christiansen, Charlotte, 2010.
"Mean reversion in US and international short rates,"
The North American Journal of Economics and Finance,
Elsevier, vol. 21(3), pages 286-296, December.
- Charlotte Christiansen, 2008. "Mean Reversion in US and International Short Rates," CREATES Research Papers 2008-47, Department of Economics and Business Economics, Aarhus 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.
- Chourdakis, Kyriakos & Dotsis, George, 2011. "Maximum likelihood estimation of non-affine volatility processes," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 533-545, June.
- repec:eee:csdana:v:56:y:2012:i:12:p:3975-3987 is not listed on IDEAS
- Song, Zhaogang, 2011. "A martingale approach for testing diffusion models based on infinitesimal operator," Journal of Econometrics, Elsevier, vol. 162(2), pages 189-212, June.
- Mario Cerrato & Chia Chun Lo & Konstantinos Skindilias, 2011. "Adaptive continuous time Markov chain approximation model to general jump-diffusions," Working Papers 2011_16, Business School - Economics, University of Glasgow.
- Li, Minqiang, 2013. "An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 128-139.
- Cerrato, Mario & Lo, Chia Chun & Skindilias, Konstantinos, 2011. "Adaptive Continuous time Markov Chain Approximation Model to General Jump-Diusions," SIRE Discussion Papers 2011-53, Scottish Institute for Research in Economics (SIRE).
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KeywordsShort-Rate; Nonlinear Drift; Term Structure; Linear Approximation;
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