Transition Densities for Interest Rate and Other Nonlinear Diffusions

Author:

Aït-Sahalia Yacine

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference38 articles.

1. Ahn , Dong-Hyun Bin Gao 1998 A parametric nonlinear model of term structure dynamics, Working paper University of North Carolina at Chapel Hill

2. Nonparametric pricing of interest rate derivative securities;Aït-Sahalia;Econometrica,1996a

3. Testing continuous-time models of the spot interest rate;Aït-Sahalia;Review of Financial Studies,1996b

4. Aït-Sahalia , Yacine 1998 Maximum-likelihood estimation of discretely sampled diffusions: A closed-form approach, Working paper Princeton University

5. Martingale estimation functions for discretely observed diffusion processes;Bibby;Bernoulli,1995

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