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Modeling the stochastic behavior of short-term interest rates: Pricing implications for discount bonds

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  • Bali, Turan G.

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  • Bali, Turan G., 2003. "Modeling the stochastic behavior of short-term interest rates: Pricing implications for discount bonds," Journal of Banking & Finance, Elsevier, vol. 27(2), pages 201-228, February.
    • Handle: RePEc:eee:jbfina:v:27:y:2003:i:2:p:201-228
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    Cited by:

    1. Nowman, K.B. & Yahia, B.B.H., 2008. "Euro and FIBOR interest rates: A continuous time modelling analysis," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1029-1035, December.
    2. Hou, Ai Jun & Suardi, Sandy, 2011. "Modelling and forecasting short-term interest rate volatility: A semiparametric approach," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 692-710, September.
    3. Lakshmi Padmakumari & S Maheswaran, 2016. "A Regression Based Approach to Capturing the Level Dependence in the Volatility of Stock Returns," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 6(12), pages 706-718, December.
    4. Sutthisit Jamdee & Cornelis A. Los, 2005. "Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate," Finance 0502021, University Library of Munich, Germany.
    5. Piet Sercu & Tom Vinaimont, 2008. "Selecting a Bond‐Pricing Model for Trading: Benchmarking, Pooling, and Other Issues," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(1‐2), pages 250-280, January.
    6. Miguel A. Ferreira, 2005. "Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework," Journal of Financial Econometrics, Oxford University Press, vol. 3(1), pages 126-168.
    7. Nowman, Khalid Ben, 2010. "Modelling the UK and Euro yield curves using the Generalized Vasicek model: Empirical results from panel data for one and two factor models," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 334-341, December.
    8. Teresa Corzo Santamaría & Javier Gómez Biscarri, 2005. "Nonparametric estimation of convergence of interest rates: Effects on bond pricing," Spanish Economic Review, Springer;Spanish Economic Association, vol. 7(3), pages 167-190, September.
    9. Paulo M.M. Rodrigues & Antonio Rubia, 2004. "On The Small Sample Properties Of Dickey Fuller And Maximum Likelihood Unit Root Tests On Discrete-Sampled Short-Term Interest Rates," Working Papers. Serie AD 2004-11, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    10. Chua, Chew Lian & Suardi, Sandy & Tsiaplias, Sarantis, 2013. "Predicting short-term interest rates using Bayesian model averaging: Evidence from weekly and high frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 442-455.
    11. Hou, Aijun & Suardi, Sandy, 2012. "A nonparametric GARCH model of crude oil price return volatility," Energy Economics, Elsevier, vol. 34(2), pages 618-626.

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