Specification Analysis of Affine Term Structure Models (1997)

by Qiang Dai , Kenneth J. Singleton
Citations:334 - 30 self

Active Bibliography

48 Term structure dynamics in theory and reality – Qiang Dai, Kenneth Singleton - 2003
32 Continuous-time methods in finance: A review and an assessment – Suresh M. Sundaresan - 2000
Which Model for the Italian Interest Rates? – Monica Gentile, Roberto Renò, Monica Gentile, Roberto Ren Ò
9 Purebred or Hybrid? - Reproducing the Volatility in Term Structure Dynamics – Dong-Hyun Ahn, Robert Dittmar, Bin Gao, A. Ronald Gallant - 2000
1 Stochastic Volatility, Mean Drift, and Jumps in the Short-Term Interest Rate – Torben G. Andersen, Luca Benzoni, Jesper Lund - 2003
9 Estimation of Dynamic Term Structure Models – Gregory R. Duffee, Richard H. Stanton - 2004
1 Essays in Financial Econometrics – Mikhail Chernov - 2000
An Empirical Analysis of Affine Term Structure Models Using the Generalized Method of Moments – Peter de Goeij, Marno Verbeek, K. U. Leuven, K. U. Leuven, Hans Dewachter, Konstantijn Maes For Helpful - 2000
7 A Gaussian approach for continuous time models of short-term interest rates – Jun Yu, Peter, C. B. Phillips, Cowles Foundation, Paper No, Jun Yu, Peter, C. B. Phillips - 2001
79 Term Structure of Interest Rates with Regime Shifts – Ravi Bansal, Hao Zhou - 2002
37 An Econometric Model of the Yield Curve with Macroeconomic Jump Effects – Monika Piazzesi - 2000
Design and Estimation of Affine Yield Models – David Backus, Chris Telmer, Liuren Wu - 1999
ΣΤΑΤΙΣΤΙΚΗ ΚΑΤΑ BAYES ΓΙΑ ΠΟΛΥΔΙΑΣΤΑΤΕΣ ΔΙΑΔΙΚΑΣΙΕΣ ΔΙΑΧΥΣΗΣ – Konstantinos P. Kalogeropoulos, Κωνσταντίνος Π. Καλογερόπουλος, Διδακτορικη Διατριβη, Διδακτορικού Διπλώματος Στη Στατιστική
18 Likelihood-Based Specification Analysis of Continuous-Time Models of the Short-Term Interest Rate – Garland B. Durham - 2003
8 Simulated likelihood estimation of affine term structure models from panel data – Michael W. Brandt, Ping He - 2002
20 Nonlinear Mean Reversion in the Short-Term Interest Rate – Christopher S. Jones - 2003
Key words: Announcements; Term structure; Expectations – Michael J. Fleming, Eli M. Remolona, Jel E
Spot Interest Rates – Yongmiao Hong, Haitao Li - 2002
21 Jackknifing bond option prices – Peter C. B. Phillips, Cowles Foundation, Paper No, Peter C. B. Phillips - 2005