Gaussian estimation of single-factor continuous time models of the term structure of interest rates

Journal of Finance

Volumn 52, Issue 4, 1997, Pages 1695-1706

  Nowman, K B ^a  

^a First Chicago House   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0013142572     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1540-6261.1997.tb01127.x     Document Type: Article

References (32)

1. Aït-Sahalia, Yacine, 1995, Testing continuous-time models of the spot interest rate, Review of Financial Studies, forthcoming.
2. Abken, Peter A., 1993, Generalised method of moments tests of forward rate processes, Working paper 93-7, Federal Reserve Bank of Atlanta.
3. Babbs, Simon H., 1992, Volatility assumptions in yield curve models: A survey and some practical thoughts, Notes for seminar on volatility, Amsterdam Institute of Finance.
4. Barone, Emilio, D. Cuoco, and E. Zautzik, 1991, Term structure estimation using the Cox, Ingersoll, and Ross Model: The case of Italian Treasury bonds, Journal of Fixed Income 1, 87-95.
5. Bergstrom, Albert R., 1983, Gaussian estimation of structural parameters in higher-order continuous time dynamic models, Econometrica 51, 117-152.
6. Bergstrom, Albert R., 1984, Continuous time stochastic models and issues of aggregation over time, in Z. Griliches and M. D. Intriligator, Eds.: Handbook of Econometrics, Vol. II (Elsevier Science, Amsterdam).
7. Bergstrom, Albert R., 1985, The estimation of parameters in nonstationary higher-order continuous time dynamic models, Econometric Theory 1, 369-385.
8. Bergstrom, Albert R., 1986, The estimation of open higher-order continuous time dynamic models with mixed stock and flow data, Econometric Theory 2, 350-373.
9. Bergstrom, Albert R., 1990, Continuous Time Econometric Modelling (Oxford University Press, Oxford).
10. Brennan, Michael J., and Eduardo S. Schwartz, 1980, Analyzing convertible bonds, Journal of Financial and Quantitative Analysis 15, 907-929.
11. Brown, Stephen J., and Philip H. Dybvig, 1986, The empirical implications of the Cox, Ingersoll, Ross theory of the term structure of interest rates, Journal of Finance 41, 617-630.
12. Broze, Laurence, Olivier Scaillet, and Jean-Michel Zakoian, 1995, Testing for continuous-time models of the short-term interest rate, Journal of Empirical Finance 2, 199-223.
13. Chan, K. C., G. Andrew Karolyi, Francis A. Longstaff, and Anthony B. Sanders, 1992a, An empirical comparison of alternative models of the short-term interest rate, Journal of Finance 47, 1209-1227.
14. Chan, K. C., G. Andrew Karolyi, Francis A. Longstaff, and Anthony B. Sanders, 1992b, The volatility of Japanese interest rates: A comparison of alternative term structure models, in R. P. Chang and S. G. Rhee, Eds.: Pacific Basin Capital Markets Research, Vol. III (Elsevier Science Publishers, Amsterdam).
15. Chen, Ren-Rawa, and Louis Scott, 1993, Maximum likelihood estimation for a multi-factor equilibrium model of the term structure of interest rates, Journal of Fixed Income 3, 14-31.
16. Cox, John C., Jonathan E. Ingersoll, and Stephen A. Ross, 1980, An analysis of variable rate loan contracts, Journal of Finance 35, 389-403.
17. Cox, John C., Jonathan E. Ingersoll, and Stephen A. Ross, 1985, A theory of the term structure of interest rates, Econometrica 53, 385-407.
18. Das, Sanjiv R., 1993, Jump-hunting interest rates, Working paper, New York University.
19. Dothan, Uri L., 1978, On the term structure of interest rates, Journal of Financial Economics 6, 59-69.
20. Duffee, Gregory R., 1995, Idiosyncratic variation of Treasury Bill yields, Journal of Finance, forthcoming.
21. Gibbons, Michael R., and Krishna Ramaswamy, 1993, A test of the Cox, Ingersoll, and Ross model of the term structure, Review of Financial Studies 6, 619-658.
22. Grossman, Sanford J., Angelo Melino, and Robert J. Schiller, 1987, Estimating the continuous-time consumption-based asset pricing model, Journal of Business and Economic Statistics 5, 315-327.
23. Lund, Jesper, 1994, Econometric analysis of continuous-time arbitrage-free models of the term structure of interest rates, Working paper No. 89, Aarhus School of Business.
24. Marsh, Terry A., and Eric R. Rosenfeld, 1983, Stochastic processes for interest rates and equilibrium bond prices, Journal of Finance 38, 635-646.
25. Melino, Angelo, and Stuart Turnbull, 1986, Estimation of the parameters describing the LIBOR interest-rate process, Working paper, University of Toronto.
26. Melino, Angelo, 1994, Estimation of continuous-time models in finance, in C. A. Sims, Ed.: Advances in Econometrics: Sixth World Congress, Vol. II (Cambridge University Press, Cambridge).
27. Merton, Robert C., 1973, Theory of rational option pricing, Bell Journal of Economics and Management Science 4, 141-183.
28. Nowman, Khalid B., 1991, Open higher-order continuous time dynamic model with mixed stock and flow data and derivatives of exogenous variables, Econometric Theory 7, 404-408.
29. Pearson, Neil D., and Tong-Sheng Sun, 1994, Exploiting the conditional density in estimating the term structure: An application to the Cox, Ingersoll, and Ross model, Journal of Finance 49, 1279-1304.
30. Pfann, Gerard A., Peter C. Schotman, and Rolf Tschernig, 1995, Nonlinear interest rate dynamics and implications for the term structure, LIFE, University of Limburg.
31. Said, S. E., and David A. Dickey, 1984, Testing for unit roots in autoregressive moving average models of unknown order, Biometrika 71, 599-607.
32. Vasicek, Oldrich, 1977, An equilibrium characterization of the term structure, Journal of Financial Economics 5, 177-188.