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Time-series and cross section information in affine term structure models

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  • de Jong, F.C.J.M.

    (Tilburg University, School of Economics and Management)

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  • de Jong, F.C.J.M., 1997. "Time-series and cross section information in affine term structure models," Other publications TiSEM 08704828-0ee7-4069-8a94-2, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:08704828-0ee7-4069-8a94-23e55d644a95
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    References listed on IDEAS

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    1. Narasimhan Jegadeesh & George Pennacchi, 1996. "The behavior of interest rates implied by the term structure of Eurodollar future," Proceedings, Federal Reserve Bank of Cleveland, issue Aug, pages 426-451.
    2. Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel, 1995. "Testing for continuous-time models of the short-term interest rate," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 199-223, September.
    3. de Munnik, Jeroen F. J. & Schotman, Peter C., 1994. "Cross-sectional versus time series estimation of term structure models: empirical results for the Dutch bond market," Journal of Banking & Finance, Elsevier, vol. 18(5), pages 997-1025, October.
    4. Gallant, A. Ronald & Tauchen, George, 1996. "Which Moments to Match?," Econometric Theory, Cambridge University Press, vol. 12(4), pages 657-681, October.
    5. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    6. Conley, Timothy G, et al, 1997. "Short-Term Interest Rates as Subordinated Diffusions," The Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 525-577.
    7. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
    8. Pagan, A.R., 1996. "Simulation Based Estimation of Some Factor Models in Econometrics," Department of Economics - Working Papers Series 521, The University of Melbourne.
    9. Qiang Dai & Kenneth J. Singleton, 2000. "Specification Analysis of Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 55(5), pages 1943-1978, October.
    10. Chan, K C, et al, 1992. "An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-1227, July.
    11. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    12. Pearson, Neil D & Sun, Tong-Sheng, 1994. "Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model," Journal of Finance, American Finance Association, vol. 49(4), pages 1279-1304, September.
    13. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 627-627, November.
    14. Duan, Jin-Chuan & Simonato, Jean-Guy, 1999. "Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter," Review of Quantitative Finance and Accounting, Springer, vol. 13(2), pages 111-135, September.
    15. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
    16. Andersen, Torben G. & Lund, Jesper, 1997. "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, vol. 77(2), pages 343-377, April.
    17. Kees G. Koedijk & François G. J. A. Nissen & Peter C. Schotman & Christian C. P. Wolff, 1997. "The Dynamics of Short-Term Interest Rate Volatility Reconsidered," Review of Finance, European Finance Association, vol. 1(1), pages 105-130.
    18. Longstaff, Francis A & Schwartz, Eduardo S, 1992. "Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model," Journal of Finance, American Finance Association, vol. 47(4), pages 1259-1282, September.
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