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Citations for "Nonparametric Pricing of Interest Rate Derivative Securities"

by Yacine Ait-Sahalia

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  1. Dennis Kristensen, 2004. "Estimation in two classes of semiparametric diffusion models," LSE Research Online Documents on Economics 24739, London School of Economics and Political Science, LSE Library.
  2. Hördahl, Peter & Vestin, David, 2003. "Interpreting implied risk-neutral densities: the role of risk premia," Working Paper Series 0274, European Central Bank.
  3. Eric Ghysels & Serena Ng, 1996. "A Semi-Parametric Factor Model for Interest Rates," CIRANO Working Papers 96s-18, CIRANO.
  4. Ait-Sahalia, Yacine & Duarte, Jefferson, 2003. "Nonparametric option pricing under shape restrictions," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 9-47.
  5. Peroni, Chiara, 2008. "A non-parametric investigation of risk premia," MPRA Paper 15010, University Library of Munich, Germany, revised 15 Apr 2009.
  6. Fornari, Fabio & Mele, Antonio, 2001. "Recovering the probability density function of asset prices using garch as diffusion approximations," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 83-110, March.
  7. Pastorello, S. & Rossi, E., 2010. "Efficient importance sampling maximum likelihood estimation of stochastic differential equations," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2753-2762, November.
  8. Manuel Ammann & Axel Kind & Christian Wilde, 2005. "Simulation-Based Pricing of Convertible Bonds," Finance 0507015, EconWPA.
  9. Jianqing Fan & Yingying Fan & Jinchi Lv, 0. "Aggregation of Nonparametric Estimators for Volatility Matrix," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(3), pages 321-357.
  10. Federico M. Bandi & Peter C.B. Phillips, 2001. "Fully Nonparametric Estimation of Scalar Diffusion Models," Cowles Foundation Discussion Papers 1332, Cowles Foundation for Research in Economics, Yale University.
  11. Ang, Andrew & Kristensen, Dennis, 2012. "Testing conditional factor models," Journal of Financial Economics, Elsevier, vol. 106(1), pages 132-156.
  12. Eric Ghysels & Serena Ng, 1997. "A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure," CIRANO Working Papers 97s-33, CIRANO.
  13. Rosenberg, Joshua V., 1998. "Pricing multivariate contingent claims using estimated risk-neutral density functions," Journal of International Money and Finance, Elsevier, vol. 17(2), pages 229-247, April.
  14. Feng, Yuanhua & Yu, Keming, 2006. "Nonparametric estimation of time-varying covariance matrix in a slowly changing vector random walk model," MPRA Paper 1597, University Library of Munich, Germany.
  15. Hou, Ai Jun & Suardi, Sandy, 2011. "Modelling and forecasting short-term interest rate volatility: A semiparametric approach," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 692-710, September.
  16. Viviana Fernández, 1999. "Estructura de Tasas de Interés en Chile: La Vía No Paramétrica," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 36(109), pages 1005-1034.
  17. Kristensen, Dennis, 2010. "Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models," Journal of Econometrics, Elsevier, vol. 156(2), pages 239-259, June.
  18. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers CoFie-04-2009, Sim Kee Boon Institute for Financial Economics.
  19. Meddahi, Nour & Renault, Eric, 2004. "Temporal aggregation of volatility models," Journal of Econometrics, Elsevier, vol. 119(2), pages 355-379, April.
  20. Grace Kuan, 2000. "Recovering Local Volatility Functions Of Forward Libor Rates," Computing in Economics and Finance 2000 255, Society for Computational Economics.
  21. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations," Stan Hurn Discussion Papers 2006, School of Economics and Finance, Queensland University of Technology.
  22. Doran, James S. & Ronn, Ehud I., 2008. "Computing the market price of volatility risk in the energy commodity markets," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2541-2552, December.
  23. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "American options with stochastic dividends and volatility: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 53-92.
  24. Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques.
  25. Lee, Myoung-jae & Li, Wen-juan, 2005. "Drift and diffusion function specification for short-term interest rates," Economics Letters, Elsevier, vol. 86(3), pages 339-346, March.
  26. De Gregorio, Alessandro & Maria Iacus, Stefano, 2010. "Clustering of discretely observed diffusion processes," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 598-606, February.
  27. Brandt, Michael W. & Santa-Clara, Pedro, 2002. "Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets," Journal of Financial Economics, Elsevier, vol. 63(2), pages 161-210, February.
  28. V. L. Martin & G. M. Martin & G. C. Lim, 2005. "Parametric pricing of higher order moments in S&P500 options," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 377-404.
  29. Eric Ghysels & Jean-Pierre Florens & Mikhail Chernov & Marine Carrasco, 2003. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," CIRANO Working Papers 2003s-02, CIRANO.
  30. 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.
  31. Fernando Alvarez & Urban J. Jermann, 2001. "The Size of the Permanent Component of Asset Pricing Kernels," NBER Working Papers 8360, National Bureau of Economic Research, Inc.
  32. Fuchun Li, 2005. "Testing the Parametric Specification of the Diffusion Function in a Diffusion Process," Working Papers 05-35, Bank of Canada.
  33. Gao, Jiti & Gijbels, Irene, 2005. "Bandwidth selection for nonparametric kernel testing," MPRA Paper 11982, University Library of Munich, Germany, revised Jun 2007.
  34. Koo, Bonsoo & Linton, Oliver, 2012. "Estimation of semiparametric locally stationary diffusion models," Journal of Econometrics, Elsevier, vol. 170(1), pages 210-233.
  35. Santos, Manuel S., 2004. "Simulation-based estimation of dynamic models with continuous equilibrium solutions," Journal of Mathematical Economics, Elsevier, vol. 40(3-4), pages 465-491, June.
  36. Orazio Di Miscia, 2005. "Term structure of interest models: concept and estimation problem in a continuous-time setting," Finance 0504017, EconWPA.
  37. Xu, Ke-Li, 2009. "Empirical likelihood-based inference for nonparametric recurrent diffusions," Journal of Econometrics, Elsevier, vol. 153(1), pages 65-82, November.
  38. Xu, Ke-Li & Phillips, Peter C. B., 2011. "Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(4), pages 518-528.
  39. A. S. Hurn & K. A. Lindsay & V. L. Martin, 2003. "On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(1), pages 45-63, 01.
  40. Zhou, Yong & Wan, Alan T.K. & Xie, Shangyu & Wang, Xiaojing, 2010. "Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance," Journal of Econometrics, Elsevier, vol. 159(1), pages 183-201, November.
  41. Ignatieva, Katja & Platen, Eckhard, 2012. "Estimating the diffusion coefficient function for a diversified world stock index," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1333-1349.
  42. Yatchew, Adonis & Hardle, Wolfgang, 2006. "Nonparametric state price density estimation using constrained least squares and the bootstrap," Journal of Econometrics, Elsevier, vol. 133(2), pages 579-599, August.
  43. Stefania D'Amico, 2005. "Density selection and combination under model ambiguity: an application to stock returns," Finance and Economics Discussion Series 2005-09, Board of Governors of the Federal Reserve System (U.S.).
  44. Stefania D'Amico, 2004. "Density Estimation and Combination under Model Ambiguity," Computing in Economics and Finance 2004 273, Society for Computational Economics.
  45. Cai, Zongwu & Hong, Yongmiao, 2003. "Nonparametric Methods in Continuous-Time Finance: A Selective Review," SFB 373 Discussion Papers 2003,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  46. Yacine Aït-Sahalia, 2005. "How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise," Review of Financial Studies, Society for Financial Studies, vol. 18(2), pages 351-416.
  47. Chew Lian Chua & Sandy Suardi, 2005. "Is There a Unit Root in East-Asian Short-Term Interest Rates?," Melbourne Institute Working Paper Series wp2005n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  48. Gómez-Valle, Lourdes & Marti­nez-Rodri­guez, Julia, 2008. "Modelling the term structure of interest rates: An efficient nonparametric approach," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 614-623, April.
  49. Zongwu Cai & Yongmiao Hong, 2013. "Some Recent Developments in Nonparametric Finance," Papers 2013-10-14, Working Paper.
  50. Brito, R. & Flores, R., 2001. "A Jump Difusion Yield Factor Model of Interest Rate," Finance Lab Working Papers flwp_37, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  51. Bali, Turan G. & Wu, Liuren, 2006. "A comprehensive analysis of the short-term interest-rate dynamics," Journal of Banking & Finance, Elsevier, vol. 30(4), pages 1269-1290, April.
  52. 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.
  53. Tauchen, George, 2001. "Notes on financial econometrics," Journal of Econometrics, Elsevier, vol. 100(1), pages 57-64, January.
  54. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "Nonparametric estimation of American options' exercise boundaries and call prices," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1829-1857, October.
  55. Hansen, Lars Peter & Alexandre Scheinkman, Jose & Touzi, Nizar, 1998. "Spectral methods for identifying scalar diffusions," Journal of Econometrics, Elsevier, vol. 86(1), pages 1-32, June.
  56. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
  57. Abel Rodriguez & Enrique ter Horst, 2008. "Measuring expectations in options markets: An application to the SP500 index," Papers 0901.0033, arXiv.org.
  58. Turan G. Bali & Salih N. Neftci, 2002. "Disturbing Extremal Behavior of Spot Rate Dynamics," ICMA Centre Discussion Papers in Finance icma-dp2002-03, Henley Business School, Reading University.
  59. Roberto Reno', 2004. "Nonparametric Estimation of the Diffusion Coefficient via Fourier Analysis, with Aplication to Short Rate Modeling," Department of Economics University of Siena 440, Department of Economics, University of Siena.
  60. Lim, G. C. & Lye, J. N. & Martin, G. M. & Martin*, V. L., 1998. "The distribution of exchange rate returns and the pricing of currency options," Journal of International Economics, Elsevier, vol. 45(2), pages 351-368, August.
  61. Bandi, Federico M., 2002. "Short-term interest rate dynamics: a spatial approach," Journal of Financial Economics, Elsevier, vol. 65(1), pages 73-110, July.
  62. Xu, Ke-Li, 2010. "Reweighted Functional Estimation Of Diffusion Models," Econometric Theory, Cambridge University Press, vol. 26(02), pages 541-563, April.
  63. Helena Veiga, 2007. "Are Feedback Factors Important in Modeling Financial Data?," International Review of Finance, International Review of Finance Ltd., vol. 7(3-4), pages 105-118.
  64. Peter C.B. Phillips & Joon Y. Park, 1998. "Nonstationary Density Estimation and Kernel Autoregression," Cowles Foundation Discussion Papers 1181, Cowles Foundation for Research in Economics, Yale University.
  65. Lin, Liang-Ching & Lee, Sangyeol & Guo, Meihui, 2013. "Goodness-of-fit test for stochastic volatility models," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 473-498.
  66. Adam Canopius, 2006. "Practitioners' Corner," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(2), pages 346-351.
  67. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc.
  68. Kusuoka, Seiichiro & Tudor, Ciprian A., 2012. "Stein’s method for invariant measures of diffusions via Malliavin calculus," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1627-1651.
  69. Dette, Holger & Weißbach, Rafael, 2006. "A Bootstrap Test for the Comparison of Nonlinear Time Series - with Application to Interest Rate Modelling," Technical Reports 2006,30, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  70. Jeremy Berkowitz, 2000. "On identification of continuous time stochastic processes," Finance and Economics Discussion Series 2000-07, Board of Governors of the Federal Reserve System (U.S.).
  71. Yu, Jun, 2012. "Bias in the estimation of the mean reversion parameter in continuous time models," Journal of Econometrics, Elsevier, vol. 169(1), pages 114-122.
  72. Dennis Kristensen, 2007. "Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers 2007-01, School of Economics and Management, University of Aarhus.
  73. Yacine Aït-Sahalia, 2002. "Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion," Journal of Finance, American Finance Association, vol. 57(5), pages 2075-2112, October.
  74. G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns," Monash Econometrics and Business Statistics Working Papers 4/02, Monash University, Department of Econometrics and Business Statistics.
  75. Qian, Linyi & Wang, Wei & Wang, Rongming & Tang, Yincai, 2010. "Valuation of equity-indexed annuity under stochastic mortality and interest rate," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 123-129, October.
  76. Hagmann, M. & Scaillet, O., 2007. "Local multiplicative bias correction for asymmetric kernel density estimators," Journal of Econometrics, Elsevier, vol. 141(1), pages 213-249, November.
  77. Torben B. Rasmussen, . "Affine Bond Pricing with a Mixture Distribution for Interest Rate Time-Series DynamicsCreation-Date: 20100225," CREATES Research Papers 2010-11, School of Economics and Management, University of Aarhus.
  78. Hördahl, Peter, 2000. "Estimating the implied distribution of the future short term interest rate using the Longstaff-Schwartz model," Working Paper Series 0016, European Central Bank.
  79. repec:ebl:ecbull:v:7:y:2007:i:11:p:1-9 is not listed on IDEAS
  80. Hao Zhou, 2001. "Jump-diffusion term structure and Ito conditional moment generator," Finance and Economics Discussion Series 2001-28, Board of Governors of the Federal Reserve System (U.S.).
  81. John Knight & Fuchun Li & Mingwei Yuan, 2006. "A Semiparametric Two-Factor Term Structure Model," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(2), pages 204-237.
  82. Neil Shephard & Tina Hviid Rydberg, 1999. "A modelling framework for the prices and times of trades made on the New York stock exchange," Economics Series Working Papers 1999-W14, University of Oxford, Department of Economics.
  83. Guidolin, Massimo & Timmermann, Allan, 2009. "Forecasts of US short-term interest rates: A flexible forecast combination approach," Journal of Econometrics, Elsevier, vol. 150(2), pages 297-311, June.
  84. Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2001. "Semiparametric Diffusion Estimation and Application to a Stock Market Model," Research Paper Series 51, Quantitative Finance Research Centre, University of Technology, Sydney.
  85. Renò, Roberto, 2008. "Nonparametric Estimation Of The Diffusion Coefficient Of Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 24(05), pages 1174-1206, October.
  86. Li, Gang & Zhang, Chu, 2013. "Diagnosing affine models of options pricing: Evidence from VIX," Journal of Financial Economics, Elsevier, vol. 107(1), pages 199-219.
  87. Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis, 2010. "Regime-Dependent Smile-Adjusted Delta Hedging," ICMA Centre Discussion Papers in Finance icma-dp2010-10, Henley Business School, Reading University.
  88. Francesco Audrino & Enrico De Giorgi, . "Beta Regimes for the Yield Curve," IEW - Working Papers 244, Institute for Empirical Research in Economics - University of Zurich.
  89. Matt Pritsker, 1997. "Nonparametric density estimation and tests of continuous time interest rate models," Finance and Economics Discussion Series 1997-26, Board of Governors of the Federal Reserve System (U.S.).
  90. M. Sköld, 2001. "The Asymptotic Variance of the Continuous-Time Kernel Estimator with Applications to Bandwidth Selection," Statistical Inference for Stochastic Processes, Springer, vol. 4(1), pages 99-117, January.
  91. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2," NCER Working Paper Series 2, National Centre for Econometric Research.
  92. Kristensen, Dennis, 2011. "Semi-nonparametric estimation and misspecification testing of diffusion models," Journal of Econometrics, Elsevier, vol. 164(2), pages 382-403, October.
  93. Ait-Sahalia, Yacine & Bickel, Peter J. & Stoker, Thomas M., 2001. "Goodness-of-fit tests for kernel regression with an application to option implied volatilities," Journal of Econometrics, Elsevier, vol. 105(2), pages 363-412, December.
  94. Das, Sanjiv R., 2002. "The surprise element: jumps in interest rates," Journal of Econometrics, Elsevier, vol. 106(1), pages 27-65, January.
  95. Dennis Kristensen, 2004. "A Semiparametric Single-Factor Model of the Term Structure," FMG Discussion Papers dp501, Financial Markets Group.
  96. Li, Minqiang, 2010. "A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 132-157, February.
  97. Hao Zhou, 2000. "A study of the finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model," Finance and Economics Discussion Series 2000-45, Board of Governors of the Federal Reserve System (U.S.).
  98. 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.
  99. Hao Zhou, 2003. "Itô Conditional Moment Generator and the Estimation of Short-Rate Processes," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(2), pages 250-271.
  100. Yacine Ait-Sahalia & Per A. Mykland, 2002. "The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions," NBER Technical Working Papers 0276, National Bureau of Economic Research, Inc.
  101. Ahn, Dong-Hyun & Dittmar, Robert F. & Gallant, A. Ronald & Gao, Bin, 2003. "Purebred or hybrid?: Reproducing the volatility in term structure dynamics," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 147-180.
  102. Romuald Elie, 2009. "Double Kernel estimation of sensitivities," Papers 0909.2624, arXiv.org.
  103. Kristensen, Dennis, 2008. "Estimation of partial differential equations with applications in finance," Journal of Econometrics, Elsevier, vol. 144(2), pages 392-408, June.
  104. Joshua Rosenberg, 1999. "Option-Based Tests of Interest Rate Diffusion Functions," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-026, New York University, Leonard N. Stern School of Business-.
  105. Chen, Bin & Hong, Yongmiao, 2011. "Generalized spectral testing for multivariate continuous-time models," Journal of Econometrics, Elsevier, vol. 164(2), pages 268-293, October.
  106. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results," Microeconomics Working Papers 23046, East Asian Bureau of Economic Research.
  107. Yacine Ait-Sahalia & Andrew W. Lo, 2000. "Nonparametric Risk Management and Implied Risk Aversion," NBER Working Papers 6130, National Bureau of Economic Research, Inc.
  108. Bali, Turan G., 2003. "Modeling the stochastic behavior of short-term interest rates: Pricing implications for discount bonds," Journal of Banking & Finance, Elsevier, vol. 27(2), pages 201-228, February.
  109. Teresa Corzo Santamaría & Javier Gómez Biscarri, 2004. "Nonparametric Estimation of Convergence of Interest Rates: Effects on Bond Pricing," Faculty Working Papers 03/04, School of Economics and Business Administration, University of Navarra.
  110. Albanese, Claudio, 2006. "Operator Methods, Abelian Processes And Dynamic Conditioning," MPRA Paper 5246, University Library of Munich, Germany, revised 06 Nov 2007.
  111. F. Fornari & A. Mele, 1998. "ARCH Models and Option Pricing : The Continuous Time Connection," THEMA Working Papers 98-30, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  112. Yacine Ait-Sahalia & Andrew W. Lo, 1995. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," NBER Working Papers 5351, National Bureau of Economic Research, Inc.
  113. 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.
  114. Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, March.
  115. Jiang, George J. & Tian, Yisong S., 2010. "Misreaction or misspecification? A re-examination of volatility anomalies," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2358-2369, October.
  116. Viviana Fernández, 2001. "A Non-parametric Approach to Model the Term Structure of Interest Rates: The Case of Chile," Documentos de Trabajo 97, Centro de Economía Aplicada, Universidad de Chile.
  117. Jones, Christopher S., 2003. "The dynamics of stochastic volatility: evidence from underlying and options markets," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 181-224.
  118. Choi, Seungmoon, 2013. "Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions," Journal of Econometrics, Elsevier, vol. 174(2), pages 45-65.
  119. Jacob Boudoukh & Matthew Richardson & Richard Stanton & Robert F. Whitelaw, 1999. "A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility," NBER Working Papers 7213, National Bureau of Economic Research, Inc.
  120. Olaf Posch, 2007. "Structural estimation of jump-diffusion processes in macroeconomics," CREATES Research Papers 2007-23, School of Economics and Management, University of Aarhus.
  121. GHYSELS, Eric & PATILEA, Valentin & RENAULT, Eric & TORRES, Olivier, 1997. "Nonparametric methods and option pricing," CORE Discussion Papers 1997075, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  122. Manuel S. Santos, 2003. "Simulation-Based Estimation Of Dynamic Models With Continuous Equilibrium Solutions," Economics Working Papers we034716, Universidad Carlos III, Departamento de Economía.
  123. Antonio Mele, 2003. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 679-716, July.
  124. Michael W. Brandt & Pedro Santa-Clara, 2001. "Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets," NBER Technical Working Papers 0274, National Bureau of Economic Research, Inc.
  125. Gao, Jiti & Casas, Isabel, 2006. "Specification testing in discretized diffusion models: Theory and practice," MPRA Paper 11980, University Library of Munich, Germany, revised Aug 2007.
  126. 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.
  127. Filippo Altissimo & Valentina Corradi, 2000. "Strong Rules for Detecting the Number of Breaks in a Time Series," Econometric Society World Congress 2000 Contributed Papers 0574, Econometric Society.
  128. Ruijun Bu & Ludovic Giet & Kaddour Hadri & Michel Lubrano, 2009. "Modeling Multivariate Interest Rates using Time-Varying Copulas and Reducible Stochastic Differential Equations," Working Papers halshs-00408014, HAL.
  129. Yu, Jialin, 2007. "Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan," Journal of Econometrics, Elsevier, vol. 141(2), pages 1245-1280, December.
  130. Antonio Mele & Fabio Fornari, 1999. "Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis," Computing in Economics and Finance 1999 912, Society for Computational Economics.
  131. Orazio Di Miscia, 2005. "Estimation of continuous-time interest rate models: a nonparametric approach," Finance 0504015, EconWPA.
  132. Mancini, Cecilia & Renò, Roberto, 2011. "Threshold estimation of Markov models with jumps and interest rate modeling," Journal of Econometrics, Elsevier, vol. 160(1), pages 77-92, January.
  133. Peter C. B. Phillips & Jun Yu, 2005. "Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan," Working Papers 08-2005, Singapore Management University, School of Economics.
  134. Jiang, George & Yan, Shu, 2009. "Linear-quadratic term structure models - Toward the understanding of jumps in interest rates," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 473-485, March.
  135. Jacob Boudoukh & Matthew Richardson & Richard Stanton & Robert Whitelaw, 1999. "A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-042, New York University, Leonard N. Stern School of Business-.
  136. Gao, Jiti & King, Maxwell, 2003. "Estimation and model specification testing in nonparametric and semiparametric econometric models," MPRA Paper 11989, University Library of Munich, Germany, revised Feb 2006.
  137. Jianqing Fan, 2004. "A selective overview of nonparametric methods in financial econometrics," Papers math/0411034, arXiv.org.
  138. Chen, Bin & Song, Zhaogang, 2013. "Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach," Journal of Econometrics, Elsevier, vol. 173(1), pages 83-107.
  139. Wang, Kevin Q., 2002. "Nonparametric tests of conditional mean-variance efficiency of a benchmark portfolio," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 133-169, March.
  140. A. de Palma & C. Fontan & O. Mekkaoui, 2000. "Trip Timing for Public Transportation : An Empirical Application," THEMA Working Papers 2000-19, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  141. Jaime A. Londoño, 2003. "Parametric Estimation Of Diffusion Processes Sampled At First Exit Time," Econometrics 0305002, EconWPA, revised 16 Feb 2004.
  142. Yacine Ait-Sahalia, 1998. "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach," NBER Technical Working Papers 0222, National Bureau of Economic Research, Inc.
  143. Laurini, Márcio P., 2007. "Imposing No-Arbitrage Conditions In Implied Volatility Surfaces Using Constrained Smoothing Splines," Insper Working Papers wpe_89, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  144. Ait-Sahalia, Yacine & Wang, Yubo & Yared, Francis, 2001. "Do option markets correctly price the probabilities of movement of the underlying asset?," Journal of Econometrics, Elsevier, vol. 102(1), pages 67-110, May.
  145. Chen, Gongmeng & Choi, Yoon K. & Zhou, Yong, 2008. "Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility," Journal of Econometrics, Elsevier, vol. 143(2), pages 227-262, April.
  146. Lourdes Gómez-Valle & Julia Mart�nez-Rodr�guez, 2010. "Improving the term structure of interest rates: two-factor models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 275-287.
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