My bibliography
Save this item
A State‐Space Approach To Estimate And Test Multifactor Cox‐Ingersoll‐Ross Models Of The Term Structure
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- James Kau & Donald Keenan & Henry Munneke, 2012. "Racial Discrimination and Mortgage Lending," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 289-304, August.
- Rana Chatterjee, 2004. "Application Of The Kalman Filter For Estimating Continuous Time Term Structure Models: Evidence From The Uk And Germany," Computing in Economics and Finance 2004 346, Society for Computational Economics.
- Shin Ichi Aihara & Arunabha Bagchi, 2010. "Identification Of Affine Term Structures From Yield Curve Data," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 259-283.
- Gonzalo Cortazar & Eduardo S. Schwartz & Lorenzo F. Naranjo, 2007. "Term-structure estimation in markets with infrequent trading," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(4), pages 353-369.
- Alejandro Bernales & Diether W. Beuermann & Gonzalo Cortazar, 2014. "Thinly traded securities and risk management," Estudios de Economia, University of Chile, Department of Economics, vol. 41(1 Year 20), pages 5-48, June.
- De Rossi, Giuliano, 2004. "Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 277-308, March.
- Yalin Gündüz & Marliese Uhrig-Homburg, 2014.
"Does modeling framework matter? A comparative study of structural and reduced-form models,"
Review of Derivatives Research, Springer, vol. 17(1), pages 39-78, April.
- Gündüz, Yalin & Uhrig-Homburg, Marliese, 2011. "Does modeling framework matter? A comparative study of structural and reduced-form models," Discussion Paper Series 2: Banking and Financial Studies 2011,05, Deutsche Bundesbank.
- Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, August.
- Høg, Espen P. & Frederiksen, Per H., 2006. "The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application," Finance Research Group Working Papers F-2006-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Alan Genaro & Adilson Simonis, 2015. "Estimating doubly stochastic Poisson process with affine intensities by Kalman filter," Statistical Papers, Springer, vol. 56(3), pages 723-748, August.
- Jiyoung Lee, 2015. "Disentangling the Predictive Power of Term Spreads under Inflation Targeting," International Economic Journal, Taylor & Francis Journals, vol. 29(3), pages 419-450, September.
- Wolfgang Lemke & Deutsche Bundesbank, 2006. "Term Structure Modeling and Estimation in a State Space Framework," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-28344-7, October.
- Jury Falini, 2009. "Pricing caps with HJM models: the benefits of humped volatility," Department of Economics University of Siena 563, Department of Economics, University of Siena.
- Giuliano De Rossi, 2010. "Maximum Likelihood Estimation of the Cox–Ingersoll–Ross Model Using Particle Filters," Computational Economics, Springer;Society for Computational Economics, vol. 36(1), pages 1-16, June.
- Joel Barber & Mark Copper, 2012. "Principal component analysis of yield curve movements," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(3), pages 750-765, July.
- Chiarella, Carl & Hung, Hing & T, Thuy-Duong, 2009.
"The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach,"
Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2075-2088, April.
- Carl Chiarella & Hing Hung & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series 151, Quantitative Finance Research Centre, University of Technology, Sydney.
- William H. Aeberhard & Eva Cantoni & Chris Field & Hans R. Künsch & Joanna Mills Flemming & Ximing Xu, 2021. "Robust estimation for discrete‐time state space models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(4), pages 1127-1147, December.
- Kris Jacobs & Xiaofei Li, 2008. "Modeling the Dynamics of Credit Spreads with Stochastic Volatility," Management Science, INFORMS, vol. 54(6), pages 1176-1188, June.
- Choong Tze Chua & Dean Foster & Krishna Ramaswamy & Robert Stine, 2008. "A Dynamic Model for the Forward Curve," The Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 265-310, January.
- Caggiano, Giovanni & Leonida, Leone, 2007.
"A note on the empirics of the neoclassical growth model,"
Economics Letters, Elsevier, vol. 94(2), pages 170-176, February.
- Giovanni Caggiano & Leone Leonida, "undated". "A note on the empirics of the neoclassical growth model," Working Papers 2006_2, Business School - Economics, University of Glasgow.
- Zhiping Huang & Michael Sherris & Andrés M. Villegas & Jonathan Ziveyi, 2022. "Modelling USA Age-Cohort Mortality: A Comparison of Multi-Factor Affine Mortality Models," Risks, MDPI, vol. 10(9), pages 1-28, September.
- repec:mth:ijafr8:v:8:y:2018:i:4:p:248-286 is not listed on IDEAS
- Michele Leonardo Bianchi, 2018. "Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs," Papers 1805.09996, arXiv.org.
- Esben Hoeg & Per Frederiksen, 2006. "The Fractional OU Process: Term Structure Theory and Application," Computing in Economics and Finance 2006 194, Society for Computational Economics.
- Maclachlan, Iain C, 2007. "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper 28416, University Library of Munich, Germany.
- Cortazar, Gonzalo & Beuermann, Diether & Bernales, Alejandro, 2013. "Risk Management with Thinly Traded Securities: Methodology and Implementation," IDB Publications (Working Papers) 4647, Inter-American Development Bank.
- Falini, Jury, 2010. "Pricing caps with HJM models: The benefits of humped volatility," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1358-1367, December.
- Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi & Takami Tokioka, 2018. "On the Effect of Bank of Japan’s Outright Purchase on the JGB Yield Curve," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 25(1), pages 47-70, March.
- Somnath Chatterjee, 2005. "Application Of The Kalman Filter For Estimating Continuous Time Term Structure Models: The Case Of Uk And Germany," Working Papers 2005_2, Business School - Economics, University of Glasgow.
- Zehra Eksi & Damir Filipovi'c, 2020. "Affine Pricing and Hedging of Collateralized Debt Obligations," Papers 2011.10101, arXiv.org.
- Gonon, Lukas & Teichmann, Josef, 2020. "Linearized filtering of affine processes using stochastic Riccati equations," Stochastic Processes and their Applications, Elsevier, vol. 130(1), pages 394-430.
- Dang-Nguyen, Stéphane & Le Caillec, Jean-Marc & Hillion, Alain, 2014. "The deterministic shift extension and the affine dynamic Nelson–Siegel model," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 402-417.
- Ramaprasad Bhar & Nedim Handzic, 2011. "A Multifactor Model of Credit Spreads," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 105-127, March.