On alternative interest rate processes

Author:

Dahlquist Magnus

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference33 articles.

1. Tests for parameter instability and structural change with unknown change point;Andrews;Econometrica,1993

2. A stochastic volatility model for short term interest rates and the detection of structural shifts;Ball,1994

3. Stability of interest rate processes;Bliss,1994

4. Analyzing convertible bonds;Brennan;Journal of Financial and Quantitative Analysis,1980

5. The empirical implications of the Cox, Ingersoll, Ross theory of the term structure of interest rates;Brown;Journal of Finance,1986

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