Threshold Estimation of Jump-Diffusion Models and Interest Rate Modeling

Author:

Mancini Cecilia,Renò Roberto

Publisher

Elsevier BV

Reference37 articles.

1. Nonparametric pricing of interest rate derivative securities;Y Ait-Sahalia;Econometrica,1996

2. Estimating the degree of activity of jumps in high frequency data;Y A�?ta�?t-Sahalia;Annals of Statistics. Forthcoming,2008

3. An empirical investigation of continuous-time equity return models;T Andersen;Journal of Finance,2002

4. Roughing it up: Including jump components in the measurement, modeling and forecasting of return volatility;T Andersen;Review of Economics and Statistics,2007

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