메뉴 건너뛰기




Volumn 13, Issue 3, 1997, Pages 430-461

Estimation in the Cox-Ingersoll-Ross model

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0031508862     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466600005880     Document Type: Article
Times cited : (72)

References (25)
  • 1
    • 0005198021 scopus 로고
    • Innovations in modeling the term structure of interest rates
    • Atlanta: Federal Reserve Bank of Atlanta
    • Abken, P.A. (1993) Innovations in modeling the term structure of interest rates. In Financial Derivatives: New Instruments and Their Uses, pp. 107-128. Atlanta: Federal Reserve Bank of Atlanta.
    • (1993) Financial Derivatives: New Instruments and Their Uses , pp. 107-128
    • Abken, P.A.1
  • 2
    • 70350109058 scopus 로고
    • Continuous time stochastic models and issues of aggregation over time
    • Z. Griliches & M.D. Intriligator (eds.), Amsterdam: North-Holland
    • Bergstrom, A.R. (1984) Continuous time stochastic models and issues of aggregation over time. In Z. Griliches & M.D. Intriligator (eds.), Handbook of Econometrics, vol. 2, pp. 1145-1212. Amsterdam: North-Holland.
    • (1984) Handbook of Econometrics , vol.2 , pp. 1145-1212
    • Bergstrom, A.R.1
  • 3
    • 84972534141 scopus 로고
    • Martingale estimation functions for discretely observed diffusion processes
    • Bibby, B.M. & M. Sørensen (1995) Martingale estimation functions for discretely observed diffusion processes. Bernoulli 1, 17-39.
    • (1995) Bernoulli , vol.1 , pp. 17-39
    • Bibby, B.M.1    Sørensen, M.2
  • 6
    • 84977707412 scopus 로고
    • An empirical comparison of alternative models of the short-term interest rate
    • Chan, K.C., G.A. Karolyi, F.A. Longstaff, & A.B. Sanders (1992) An empirical comparison of alternative models of the short-term interest rate. The Journal of Finance 47, 1209-1227.
    • (1992) The Journal of Finance , vol.47 , pp. 1209-1227
    • Chan, K.C.1    Karolyi, G.A.2    Longstaff, F.A.3    Sanders, A.B.4
  • 7
    • 21144470697 scopus 로고
    • Pricing interest rate options in a two-factor Cox-Ingersoll-Ross model of the term structure
    • Chen, R.-R. & L. Scott (1992) Pricing interest rate options in a two-factor Cox-Ingersoll-Ross model of the term structure. The Review of Financial Studies 5, 613-636.
    • (1992) The Review of Financial Studies , vol.5 , pp. 613-636
    • Chen, R.-R.1    Scott, L.2
  • 8
    • 0001854590 scopus 로고
    • Maximum likelihood estimation for a multifactor equilibrium model of the term structure of interest rates
    • Chen, R.-R. & L. Scott (1993) Maximum likelihood estimation for a multifactor equilibrium model of the term structure of interest rates. The Journal of Fixed Income 3 (3), 14-31.
    • (1993) The Journal of Fixed Income , vol.3 , Issue.3 , pp. 14-31
    • Chen, R.-R.1    Scott, L.2
  • 9
    • 0001205798 scopus 로고
    • A theory of the term structure of interest rates
    • Cox, J.C., J.E. Ingersoll, & S.A. Ross (1985) A theory of the term structure of interest rates. Econometrica 53, 385-407.
    • (1985) Econometrica , vol.53 , pp. 385-407
    • Cox, J.C.1    Ingersoll, J.E.2    Ross, S.A.3
  • 10
    • 0000104567 scopus 로고
    • On linear and quadratic estimating functions
    • Crowder, M. (1987) On linear and quadratic estimating functions. Biometrika 74, 591-597.
    • (1987) Biometrika , vol.74 , pp. 591-597
    • Crowder, M.1
  • 11
    • 0001700428 scopus 로고
    • Estimation of the coefficients of a diffusion from discrete observations
    • Dacunha-Castelle, D. & D. Florens-Zmirou (1986) Estimation of the coefficients of a diffusion from discrete observations. Stochastics 19, 263-284.
    • (1986) Stochastics , vol.19 , pp. 263-284
    • Dacunha-Castelle, D.1    Florens-Zmirou, D.2
  • 14
    • 0023310925 scopus 로고
    • On estimating the diffusion coefficient
    • Dohnal, G. (1987) On estimating the diffusion coefficient. Journal of Applied Probability 24, 105-114.
    • (1987) Journal of Applied Probability , vol.24 , pp. 105-114
    • Dohnal, G.1
  • 15
  • 16
    • 0001277826 scopus 로고
    • Two singular diffusion problems
    • Feller, W. (1951) Two singular diffusion problems. Annals of Mathematics 54, 173-182.
    • (1951) Annals of Mathematics , vol.54 , pp. 173-182
    • Feller, W.1
  • 17
    • 21344487770 scopus 로고
    • On estimating the diffusion coefficient from discrete observations
    • Florens-Zmirou, D. (1993) On estimating the diffusion coefficient from discrete observations. Journal of Applied Probability 30, 790-804.
    • (1993) Journal of Applied Probability , vol.30 , pp. 790-804
    • Florens-Zmirou, D.1
  • 19
    • 84974160172 scopus 로고
    • Testing, encompassing, and simulating dynamic econometric models
    • Gouriéroux, C. & A. Monfort (1995) Testing, encompassing, and simulating dynamic econometric models. Econometric Theory 11, 195-228.
    • (1995) Econometric Theory , vol.11 , pp. 195-228
    • Gouriéroux, C.1    Monfort, A.2
  • 25
    • 0000471755 scopus 로고
    • On conditional least squares estimation for stochastic processes
    • Klimko, L.A. & P.I. Nelson (1978) On conditional least squares estimation for stochastic processes. Annals of Statistics 6, 629-642.
    • (1978) Annals of Statistics , vol.6 , pp. 629-642
    • Klimko, L.A.1    Nelson, P.I.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.