Habit Formation and Macroeconomic Models of the Term Structure of Interest Rates
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1540-6261.2007.01299.x/fullpdf
Reference85 articles.
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2. Nonparametric pricing of interest rate derivative securities;Ait-Sahalia;Econometrica,1996
3. Transition densities for interest rate and other nonlinear diffusions;Ait-Sahalia;Journal of Finance,1999
4. Maximum likelihood estimation of discretely sampled diffusions: A closed form approximation approach;Ait-Sahalia;Econometrica,2002
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