Short-Term Interest Rates as Subordinated Diffusions-Reference-Cited by-同舟云学术

Short-Term Interest Rates as Subordinated Diffusions

Published:1997-07 Issue:3 Volume:10 Page:525-577
ISSN:0893-9454
Container-title:Review of Financial Studies
language:en
Short-container-title:Rev. Financ. Stud.

Author:

Conley Timothy G.,Hansen Lars Peter,Luttmer Erzo G. J.,Scheinkman José A.

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance,Accounting

Link

http://academic.oup.com/rfs/article-pdf/10/3/525/5274313/100525.pdf

Reference45 articles.

1. Nonparametric Pricing of Interest Rate Derivative Securities

2. Testing Continuous-Time Models of the Spot Interest Rate

3. Andersen T. G. Bollerslev T. , 1996, “Intraday Seasonality and Volatility Persistence in Financial Markets,” forthcoming in Journal of Empirical Finance.

4. Estimating continuous-time stochastic volatility models of the short-term interest rate

5. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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