On the Small Sample Properties of Dickey-Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates-Reference-Cited by-同舟云学术

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On the Small Sample Properties of Dickey-Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates

Published:2004 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Rodrigues Paulo M.M.,Rubia Antonio

Publisher

Elsevier BV

Reference40 articles.

1. Unit Root Tests with Infinite Variance Errors;S K Ahn;Econometric Reviews,1990

2. Testing Continuous Time Models of the Spot Interest Rate;Y A�t-Sahalia;Review of Financial Studies,1996

3. Maximum Likelihood Estimation of DiscretelySampled Diffusions: A Closed-Form Approach;Y A�t-Sahalia;Econometrica,2002

4. Estimating Constinous-time Stochastic Volatility Models of the Short-term Interest Rates;T G Anderson;Journal of Econometrics,1997

5. Modeling the Stochastic Behavior of Short-Term Interest Rates: Pricing Implications for Discount Bonds;T G Bali;Journal of Banking & Finance,2003

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Capital market openness and volatility: an investigation of five Sub-Saharan treasury bill rates;International Journal of Emerging Markets;2016-07-18

2. Cointegration in Finance: An Application to Index Tracking;SSRN Electronic Journal;2008

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