Short-term interest rate dynamics: a spatial approach-Reference-Cited by-同舟云学术

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Short-term interest rate dynamics: a spatial approach

Published:2002-07 Issue:1 Volume:65 Page:73-110
ISSN:0304-405X
Container-title:Journal of Financial Economics
language:en
Short-container-title:Journal of Financial Economics

Author:

Bandi Federico M.

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference46 articles.

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

2. Testing continuous-time models of the spot interest rate;Aı̈t-Sahalia;Review of Financial Studies,1996

3. Maximum likelihood estimation of discretely sampled diffusions: a closed-form approach;Aı̈t-Sahalia;Econometrica,2002

4. Bandi, F.M., Nguyen, T.H., 1999. Fully nonparametric estimators for diffusions: a small sample analysis. Unpublished working paper, The University of Chicago.

5. Bandi, F.M., Phillips, P.C.B., 1998. Fully nonparametric estimation of scalar diffusion models. Econometrica, forthcoming.

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