A STATE-SPACE APPROACH TO ESTIMATE AND TEST MULTIFACTOR COX-INGERSOLL-ROSS MODELS OF THE TERM STRUCTURE
Author:
Affiliation:
1. University of Economics Vienna
2. Vienna University of Technology
Publisher
Wiley
Subject
Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1475-6803.1999.tb00717.x/fullpdf
Reference22 articles.
1. Unit roots and the estimation of interest rate dynamics;Ball;Journal of Empirical Finance,1996
2. The term structure of real interest rates and the Cox, Ingersoll, and Ross model;Brown;Journal of Financial Economics,1994
3. The empirical implications of the Cox, Ingersoll, Ross theory of the term structure of interest rates;Brown;Journal of Finance,1986
4. An empirical comparison of alternative models of the short-term interest rate;Chan;Journal of Finance,1992
Cited by 68 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. Estimation, Comparison, and Projection of Multifactor Age–Cohort Affine Mortality Models;North American Actuarial Journal;2023-10-13
2. Modelling USA Age-Cohort Mortality: A Comparison of Multi-Factor Affine Mortality Models;Risks;2022-09-15
3. Bias Correction for Bond Option Greeks via Jackknife;The Journal of Derivatives;2021-03-30
4. Robust estimation for discrete‐time state space models;Scandinavian Journal of Statistics;2020-10-06
5. Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs;Communications in Statistics - Simulation and Computation;2020-02-03
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3