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The surprise element: jumps in interest rates
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Cited by:
- Michael Bauer & Mikhail Chernov, 2024.
"Interest Rate Skewness and Biased Beliefs,"
Journal of Finance, American Finance Association, vol. 79(1), pages 173-217, February.
- Bauer, Michael & Chernov, Mikhail, 2021. "Interest rate skewness and biased beliefs," IMFS Working Paper Series 163, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Chernov, Mikhail & Bauer, Michael, 2021. "Interest Rate Skewness and Biased Beliefs," CEPR Discussion Papers 16274, C.E.P.R. Discussion Papers.
- Michael D. Bauer & Mikhail Chernov, 2021. "Interest Rate Skewness and Biased Beliefs," CESifo Working Paper Series 9150, CESifo.
- Michael D. Bauer & Mikhail Chernov, 2021. "Interest Rate Skewness and Biased Beliefs," NBER Working Papers 28954, National Bureau of Economic Research, Inc.
- Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2010. "Real-world jump-diffusion term structure models," Quantitative Finance, Taylor & Francis Journals, vol. 10(1), pages 23-37.
- Beliaeva, Natalia & Nawalkha, Sanjay, 2012. "Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 151-163.
- Li, Liuling & Mizrach, Bruce, 2010.
"Tail return analysis of Bear Stearns' credit default swaps,"
Economic Modelling, Elsevier, vol. 27(6), pages 1529-1536, November.
- Liuling Li & Bruce Mizrach, 2010. "Tail Return Analysis of Bear Stearns Credit Default Swaps," Departmental Working Papers 201003, Rutgers University, Department of Economics.
- Nomikos, Nikos K. & Soldatos, Orestes A., 2010. "Analysis of model implied volatility for jump diffusion models: Empirical evidence from the Nordpool market," Energy Economics, Elsevier, vol. 32(2), pages 302-312, March.
- Olga Yashkir & Yuri Yashkir, 2014. "Overnight Index Rate: Model, calibration and simulation," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-11, December.
- repec:uts:finphd:39 is not listed on IDEAS
- Mr. John J Matovu, 2007. "Volatility and Jump Risk Premia in Emerging Market Bonds," IMF Working Papers 2007/172, International Monetary Fund.
- Chang, Kuang-Liang, 2012. "The time-varying and asymmetric dependence between crude oil spot and futures markets: Evidence from the Mixture copula-based ARJI–GARCH model," Economic Modelling, Elsevier, vol. 29(6), pages 2298-2309.
- de los Rios, Antonio Diez, 2009.
"Exchange rate regimes, globalisation, and the cost of capital in emerging markets,"
Emerging Markets Review,
Elsevier, vol. 10(4), pages 311-330, December.
- Antonio Díez de los Ríos, 2003. "Exchange Rate Regimes, Globalisation and the Cost of Capital in Emerging Markets," Economic Working Papers at Centro de Estudios Andaluces E2003/51, Centro de Estudios Andaluces.
- de los Rios, Antonio Diez, 2009. "Exchange rate regimes, globalisation, and the cost of capital in emerging markets," Emerging Markets Review, Elsevier, vol. 10(4), pages 311-330, December.
- Li, Shaoyu & Huang, Henry H. & Zhang, Teng, 2020. "Generalized affine transform on pricing quanto range accrual note," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- M. Rypdal & O. L{o}vsletten, 2011. "Multifractal modeling of short-term interest rates," Papers 1111.5265, arXiv.org.
- Tao Chen & Yixuan Li & Renfang Tian, 2023. "A Functional Data Approach for Continuous-Time Analysis Subject to Modeling Discrepancy under Infill Asymptotics," Mathematics, MDPI, vol. 11(20), pages 1-27, October.
- Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
- Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Sebastien Mcmahon, 2008. "Forecasting commodity prices: GARCH, jumps, and mean reversion," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(4), pages 279-291.
- Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Sebastien McMahon, 2006. "Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion," Staff Working Papers 06-14, Bank of Canada.
- Rangel, José Gonzalo, 2011. "Macroeconomic news, announcements, and stock market jump intensity dynamics," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1263-1276, May.
- Rangel José Gonzalo, 2009. "Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics," Working Papers 2009-15, Banco de México.
- Posch, Olaf, 2009. "Structural estimation of jump-diffusion processes in macroeconomics," Journal of Econometrics, Elsevier, vol. 153(2), pages 196-210, December.
- Olaf Posch, 2007. "Structural estimation of jump-diffusion processes in macroeconomics," CREATES Research Papers 2007-23, Department of Economics and Business Economics, Aarhus University.
- Robert Jarrow & Haitao Li & Feng Zhao, 2007. "Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?," Journal of Finance, American Finance Association, vol. 62(1), pages 345-382, February.
- repec:wyi:journl:002118 is not listed on IDEAS
- Andrei, Daniel & Mann, William & Moyen, Nathalie, 2019. "Why did the q theory of investment start working?," Journal of Financial Economics, Elsevier, vol. 133(2), pages 251-272.
- Hong, Yongmiao & Lin, Hai & Wang, Shouyang, 2010. "Modeling the dynamics of Chinese spot interest rates," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1047-1061, May.
- Yongmiao Hong & Hai Lin & Shouyang Wang, 2013. "Modeling the Dynamics of Chinese Spot Interest Rates," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Wang, Shin-Yun & Lin, Shih-Kuei, 2010. "The pricing and hedging of structured notes with systematic jump risk: An analysis of the USD knock-out reversed swap," International Review of Economics & Finance, Elsevier, vol. 19(1), pages 106-118, January.
- J. Benson Durham, 2006. "An estimate of the inflation risk premium using a three-factor affine term structure model," Finance and Economics Discussion Series 2006-42, Board of Governors of the Federal Reserve System (U.S.).
- Yuping Song & Chen Li & Hemin Wang & Jiayi Meng & Liang Hao, 2023. "Nonparametric Threshold Estimation for Drift Function in Jump–Diffusion Model of Interest Rate Using Asymmetric Kernel," Mathematics, MDPI, vol. 11(10), pages 1-16, May.
- Pablo Jose Campos de Carvalho & Aparna Gupta, 2018. "Multivariate Jump Diffusion Model with Markovian Contagion," Working Papers Series 482, Central Bank of Brazil, Research Department.
- Dotsis, George & Psychoyios, Dimitris & Skiadopoulos, George, 2007. "An empirical comparison of continuous-time models of implied volatility indices," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3584-3603, December.
- Sergei Levendorskiǐ, 2008. "American and European options in multi-factor jump-diffusion models, near expiry," Finance and Stochastics, Springer, vol. 12(4), pages 541-560, October.
- Young-Kyu Moh, 2006. "Continuous-time model of uncovered interest parity with regulated jump-diffusion interest differential," Applied Economics, Taylor & Francis Journals, vol. 38(21), pages 2523-2533.
- Chan Wing Hong, 2008. "Dynamic Hedging with Foreign Currency Futures in the Presence of Jumps," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(2), pages 1-25, May.
- Hong, Yi & Jin, Xing, 2018. "Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix," European Journal of Operational Research, Elsevier, vol. 265(1), pages 389-398.
- Hinnerich, Mia, 2008. "Inflation-indexed swaps and swaptions," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2293-2306, November.
- Feldhütter, Peter & Schaefer, Stephen, 2023. "Debt dynamics and credit risk," Journal of Financial Economics, Elsevier, vol. 149(3), pages 497-535.
- Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & McMahon, Sébastien, 2008. "Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield," Cahiers de recherche 0801, GREEN.
- Mari, Carlo & Reno, Roberto, 2005. "Credit risk analysis of mortgage loans: An application to the Italian market," European Journal of Operational Research, Elsevier, vol. 163(1), pages 83-93, May.
- Benito, Francis & Leon, Angel & Nave, Juan, 2007. "Modeling the Euro overnight rate," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 756-782, December.
- Casella, Bruno & Roberts, Gareth O., 2011. "Exact Simulation of Jump-Diffusion Processes with Monte Carlo Applications," MPRA Paper 95217, University Library of Munich, Germany.
- Doureige J. Jurdi, 2020. "Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds," JRFM, MDPI, vol. 13(6), pages 1-19, June.
- Markellos, Raphael N. & Psychoyios, Dimitris, 2018. "Interest rate volatility and risk management: Evidence from CBOE Treasury options," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 190-202.
- Nomikos, Nikos K. & Soldatos, Orestes A., 2010. "Modelling short and long-term risks in power markets: Empirical evidence from Nord Pool," Energy Policy, Elsevier, vol. 38(10), pages 5671-5683, October.
- Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
- Sevcan Uzun & Ahmet Sensoy & Duc Khuong Nguyen, 2023. "Jump forecasting in foreign exchange markets: A high‐frequency analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 578-624, April.
- Carl Chiarella & Christina Sklibosios, 2003. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(2), pages 87-127, September.
- Carl Chiarella & Christina Nikitopoulos-Sklibosios, 2004. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Research Paper Series 132, Quantitative Finance Research Centre, University of Technology, Sydney.
- Xuefeng Gao & Lingfei Li & Xun Yu Zhou, 2024. "Reinforcement Learning for Jump-Diffusions, with Financial Applications," Papers 2405.16449, arXiv.org, revised Aug 2024.
- John M Maheu & Thomas H McCurdy, 2007. "Modeling foreign exchange rates with jumps," Working Papers tecipa-279, University of Toronto, Department of Economics.
- Chew Lian Chua & Sandy Suardi, 2006. "Testing for a Unit Root in the Presence of a Jump Diffusion Process with GARCH Errors," Melbourne Institute Working Paper Series wp2006n28, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Kozarski, R., 2013. "Pricing and hedging in the VIX derivative market," Other publications TiSEM 221fefe0-241e-4914-b6bd-c, Tilburg University, School of Economics and Management.
- Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-Francois, 2003. "Simulation-based exact jump tests in models with conditional heteroskedasticity," Journal of Economic Dynamics and Control, Elsevier, vol. 28(3), pages 531-553, December.
- Yi-Hao Lai & Yi-Chiuan Wang & Wei-Shih Chung, 2018. "Initial Jump and Recovering Jump in the S&P 500 Index Returns: A Jump-Recovering-Switching Approach," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 14(1), pages 51-66, February.
- Allan Jonathan da Silva & Jack Baczynski, 2024. "Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives," Computational Management Science, Springer, vol. 21(1), pages 1-32, June.
- Chevallier Julien & Goutte Stéphane, 2017. "On the estimation of regime-switching Lévy models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 3-29, February.
- Babatunde Olatunji Odusami, 2009. "Crude oil shocks and stock market returns," Applied Financial Economics, Taylor & Francis Journals, vol. 19(4), pages 291-303.
- Winkelmann, Lars, 2010. "The Norges Bank's key rate projections and the news element of monetary policy: A wavelet based jump detection approach," SFB 649 Discussion Papers 2010-062, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei, 2013. "Do jumps contribute to the dynamics of the equity premium?," Journal of Financial Economics, Elsevier, vol. 110(2), pages 457-477.
- John M. Maheu & Thomas H. McCurdy & Xiaofei Zhao, 2012. "Do Jumps Contribute to the Dynamics of the Equity Premium?," Working Paper series 47_12, Rimini Centre for Economic Analysis.
- Bastian Felix, 2012. "Gas Storage Valuation: A Comparative Simulation Study," EWL Working Papers 1201, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Apr 2014.
- Jang, Jiwook & Mohd Ramli, Siti Norafidah, 2015. "Jump diffusion transition intensities in life insurance and disability annuity," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 440-451.
- 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.
- Prabhas Kumar Rath, 2023. "Nexus Between Indian Financial Markets and Macro-economic Shocks: A VAR Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 131-164, March.
- Tianshun Yan & Yanyong Zhao & Wentao Wang, 2020. "Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate," Computational Statistics, Springer, vol. 35(2), pages 539-557, June.
- Kam Fong Chan & Phil Gray & Zheyao Pan, 2021. "The profitability of trading on large Lévy jumps," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 627-635, June.
- Muteba Mwamba, John & Thabo, Lethaba & Uwilingiye, Josine, 2014. "Modelling the short-term interest rate with stochastic differential equation in continuous time: linear and nonlinear models," MPRA Paper 64386, University Library of Munich, Germany.
- Monika Piazzesi, 2005. "Bond Yields and the Federal Reserve," Journal of Political Economy, University of Chicago Press, vol. 113(2), pages 311-344, April.
- Kam Fong Chan, 2005. "Modelling conditional heteroscedasticity and jumps in Australian short‐term interest rates," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 45(4), pages 537-551, December.
- Frances Shaw & Finbarr Murphy & Fergal G. O’Brien, 2016. "Jumps in Euribor and the effect of ECB monetary policy announcements," Environment Systems and Decisions, Springer, vol. 36(2), pages 142-157, June.
- Mancini, Cecilia & Renò, Roberto, 2011. "Threshold estimation of Markov models with jumps and interest rate modeling," Journal of Econometrics, Elsevier, vol. 160(1), pages 77-92, January.
- Son-Nan Chen & Pao-Peng Hsu & Chang-Yi Li, 2016. "Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 573-592, April.
- de los Rios, Antonio Diez, 2009. "Exchange rate regimes, globalisation, and the cost of capital in emerging markets," Emerging Markets Review, Elsevier, vol. 10(4), pages 311-330, December.
- Antonio Díez de los Ríos, 2003. "Exchange Rate Regimes, Globalisation and the Cost of Capital in Emerging Markets," Economic Working Papers at Centro de Estudios Andaluces E2003/51, Centro de Estudios Andaluces.
- Antonio Díez de los Ríos, 2004. "Exchange Rate Regimes, Globalisation and the Cost of Capital in Emerging Markets," Working Papers wp2004_0402, CEMFI.
- Antonio Diez de los Rios, 2007. "Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets," Staff Working Papers 07-29, Bank of Canada.
- Cecilia Mancini, 2009. "Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(2), pages 270-296, June.
- Monsalve-Cobis, Abelardo & González-Manteiga, Wenceslao & Febrero-Bande, Manuel, 2011. "Goodness-of-fit test for interest rate models: An approach based on empirical processes," Computational Statistics & Data Analysis, Elsevier, vol. 55(12), pages 3073-3092, December.
- Winkelmann, Lars, 2013. "Quantitative forward guidance and the predictability of monetary policy: A wavelet based jump detection approach," SFB 649 Discussion Papers 2013-016, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Tunaru, Diana, 2017. "Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 119-129.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," PIER Working Paper Archive 03-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Sep 2003.
- Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold,, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," CFS Working Paper Series 2003/35, Center for Financial Studies (CFS).
- Bakshi, Gurdip & Panayotov, George, 2010. "First-passage probability, jump models, and intra-horizon risk," Journal of Financial Economics, Elsevier, vol. 95(1), pages 20-40, January.
- Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian, and Sebastien McMahon, 2015. "The Convenience Yield and the Informational Content of the Oil Futures Price," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
- Don H. Kim & Jonathan H. Wright, 2014. "Jumps in Bond Yields at Known Times," NBER Working Papers 20711, National Bureau of Economic Research, Inc.
- Don H. Kim & Jonathan H. Wright, 2014. "Jumps in Bond Yields at Known Times," Finance and Economics Discussion Series 2014-100, Board of Governors of the Federal Reserve System (U.S.).
- Torben G. Andersen & Luca Benzoni & Jesper Lund, 2002. "An Empirical Investigation of Continuous‐Time Equity Return Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1239-1284, June.
- Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc.
- Hong, Yongmiao & Li, Haitao, 2002. "Nonparametric specification testing for continuous-time models with application to spot interest rates," SFB 373 Discussion Papers 2002,32, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Pezzo, Rosanna & Uberti, Mariacristina, 2006. "Approaches to forecasting volatility: Models and their performances for emerging equity markets," Chaos, Solitons & Fractals, Elsevier, vol. 29(3), pages 556-565.
- Moreno, Manuel & Serrano, Pedro & Stute, Winfried, 2011. "Statistical properties and economic implications of jump-diffusion processes with shot-noise effects," European Journal of Operational Research, Elsevier, vol. 214(3), pages 656-664, November.
- Moreno, M. & Serrano, P. & Stute, Winfried, 2008. "Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects," DEE - Working Papers. Business Economics. WB wb084912, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Baruník Jozef & Fišer Pavel, 2024. "Co-Jumping of Treasury Yield Curve Rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(3), pages 481-506.
- Jozef Barunik & Pavel Fiser, 2019. "Co-jumping of Treasury Yield Curve Rates," Papers 1905.01541, arXiv.org.
- Christopher S. Jones, 2003. "Nonlinear Mean Reversion in the Short-Term Interest Rate," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 793-843, July.
- Rodríguez Nava Abigail & Francisco Venegas Martínez, 2010. "Efectos del tipo de cambio sobre el déficit público: modelos de simulación Monte Carlo," Contaduría y Administración, Accounting and Management, vol. 55(3), pages 11-40, septiembr.
- Hilliard, Jitka, 2014. "Premiums and discounts in ETFs: An analysis of the arbitrage mechanism in domestic and international funds," Global Finance Journal, Elsevier, vol. 25(2), pages 90-107.
- Kanamura, Takashi & Ohashi, Kazuhiko, 2007. "A structural model for electricity prices with spikes: Measurement of spike risk and optimal policies for hydropower plant operation," Energy Economics, Elsevier, vol. 29(5), pages 1010-1032, September.
- Giesecke, K. & Schwenkler, G., 2019. "Simulated likelihood estimators for discretely observed jump–diffusions," Journal of Econometrics, Elsevier, vol. 213(2), pages 297-320.
- Dungey, Mardi & McKenzie, Michael & Smith, L. Vanessa, 2009. "Empirical evidence on jumps in the term structure of the US Treasury Market," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 430-445, June.
- Mardi Dungey & Michael McKenzie & Vanessa Smith, 2007. "Empirical Evidence On Jumps In The Term Structure Of The Us Treasury Market," CAMA Working Papers 2007-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Suk Kim, Myung & Wang, Suojin, 2006. "On the applicability of stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2210-2217, December.
- Fan, Longzhen & Johansson, Anders C., 2010. "China's official rates and bond yields," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 996-1007, May.
- Fan, Longzhen & Johansson, Anders C., 2009. "China'S Official Rates And Bond Yields," Working Paper Series 2009-3, Stockholm School of Economics, China Economic Research Center.
- Leippold, Markus & Strømberg, Jacob, 2014. "Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube," Journal of Financial Economics, Elsevier, vol. 111(1), pages 224-250.
- Markus Leippold & Jacob Stromberg, 2012. "Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube," Swiss Finance Institute Research Paper Series 12-23, Swiss Finance Institute.
- Andrey Itkin, 2015. "LSV models with stochastic interest rates and correlated jumps," Papers 1511.01460, arXiv.org, revised Nov 2016.
- Dempster, M.A.H. & Medova, Elena & Tang, Ke, 2018. "Latent jump diffusion factor estimation for commodity futures," Journal of Commodity Markets, Elsevier, vol. 9(C), pages 35-54.
- Chan, Wing H., 2004. "Conditional correlated jump dynamics in foreign exchange," Economics Letters, Elsevier, vol. 83(1), pages 23-28, April.
- Yashkir, Yuriy & Yashkir, Olga, 2013. "Overnight Index Rate: Model, Calibration, and Simulation," MPRA Paper 47574, University Library of Munich, Germany.
- Natalie Packham & Lutz Schloegl & Wolfgang M. Schmidt, 2013. "Credit gap risk in a first passage time model with jumps," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1871-1889, December.
- Packham, Natalie & Schlögl, Lutz & Schmidt, Wolfgang M., 2009. "Credit gap risk in a first passage time model with jumps," CPQF Working Paper Series 22, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
- repec:hum:wpaper:sfb649dp2013-016 is not listed on IDEAS
- Sadayuki Ono, 2007. "Term Structure Dynamics in a Monetary Economy with Learning," Discussion Papers 07/29, Department of Economics, University of York.
- Evans, Kevin P., 2011. "Intraday jumps and US macroeconomic news announcements," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2511-2527, October.
- Høg, Esben & Frederiksen, Per & Schiemert, Daniel, 2008. "On the Generalized Brownian Motion and its Applications in Finance," Finance Research Group Working Papers F-2008-07, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Jiang, George J. & Oomen, Roel C.A., 2008. "Testing for jumps when asset prices are observed with noise-a "swap variance" approach," Journal of Econometrics, Elsevier, vol. 144(2), pages 352-370, June.
- Wu, Shu & Zeng, Yong, 2006. "The term structure of interest rates under regime shifts and jumps," Economics Letters, Elsevier, vol. 93(2), pages 215-221, November.
- Shu Wu & Yong Zeng, 2005. "The Term Structure of Interest Rates under Regime Shifts and Jumps," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200520, University of Kansas, Department of Economics, revised Oct 2005.
- Wang, Qingxia & Faff, Robert & Zhu, Min, 2022. "Realized moments and the cross-sectional stock returns around earnings announcements," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 408-427.
- López, Oscar & Oleaga, Gerardo & Sánchez, Alejandra, 2021. "Markov-modulated jump-diffusion models for the short rate: Pricing of zero coupon bonds and convexity adjustment," Applied Mathematics and Computation, Elsevier, vol. 395(C).
- Björn Lutz, 2010. "Pricing of Derivatives on Mean-Reverting Assets," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-02909-7, October.
- Ahmad Telfah, "undated". "" Do Financial Planners Take Financial Crashes In Their Advice: Dynamic Asset Allocation Under Thick Tails And Fast Volatility Updating," API-Working Paper Series 0604, Arab Planning Institute - Kuwait, Information Center.
- Chris Kenyon & Andrew Green, 2015. "Dirac Processes and Default Risk," Papers 1504.04581, arXiv.org.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, November.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2005. "Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," NBER Working Papers 11775, National Bureau of Economic Research, Inc.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," CREATES Research Papers 2007-18, Department of Economics and Business Economics, Aarhus University.
- Torben G. Andersen & Luca Benzoni, 2010. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 65(2), pages 603-653, April.
- Torben G. Andersen & Luca Benzoni, 2006. "Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models," Working Paper Series WP-06-15, Federal Reserve Bank of Chicago.
- Torben G. Andersen & Luca Benzoni, 2007. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models," NBER Working Papers 12962, National Bureau of Economic Research, Inc.
- Torben G. Andersen & Luca Benzoni, 2007. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," CREATES Research Papers 2007-25, Department of Economics and Business Economics, Aarhus University.
- Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlögl, 2007. "A Markovian Defaultable Term Structure Model With State Dependent Volatilities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 155-202.
- Carl Chiarella & Erik Schlögl & Christina Nikitopoulos-Sklibosios, 2004. "A Markovian Defaultable Term Structure Model with State Dependent Volatilities," Research Paper Series 135, Quantitative Finance Research Centre, University of Technology, Sydney.
- repec:wyi:journl:002109 is not listed on IDEAS
- Ghulam Sorwar, 2005. "Estimating Single Factor Jump Diffusion Interest Rate Models," Computing in Economics and Finance 2005 56, Society for Computational Economics.
- Jang, Bong-Gyu & Yoon, Ji Hee, 2010. "Analytic valuation formulas for range notes and an affine term structure model with jump risks," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2132-2145, September.
- Li, Shaoyu & Zheng, Tingguo, 2017. "Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift☆," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 200-221.
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- repec:uts:finphd:38 is not listed on IDEAS
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