Enhancing Estimation for Interest Rate Diffusion Models With Bond Prices-Reference-Cited by-同舟云学术

Enhancing Estimation for Interest Rate Diffusion Models With Bond Prices

Published:2017-04-17 Issue:3 Volume:35 Page:486-498
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Zou Tao¹²,Chen Song Xi¹

Affiliation:

1. Department of Business Statistics and Econometrics, Guanghua School of Management and Center for Statistical Science, Peking University, Beijing, 100871, China ()

2. Research School of Finance, Actuarial Studies and Statistics, The Australian National University, Canberra, Australia ()

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2015.1089773

Reference42 articles.

1. Testing Continuous-Time Models of the Spot Interest Rate

2. Transition Densities for Interest Rate and Other Nonlinear Diffusions

3. Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

4. Maximum likelihood estimation of stochastic volatility models

5. Estimating affine multifactor term structure models using closed-form likelihood expansions☆

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