A parametric nonlinear model of term structure dynamics

Review of Financial Studies

Volumn 12, Issue 4, 1999, Pages 721-762

  Ahn, Dong Hyun ^a   Gao, Bin ^b  

^a UNIVERSITY OF NORTH CAROLINA   (United States)

^b NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0033410115     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/12.4.721     Document Type: Article

References (40)

1. Ahn, D.-H., 1997, "Generalized Squared Autoregressive Independent Variable Nominal Term Structure Model," working paper, University of North Carolina, Chapel Hill.
2. Aït-Sahalia, Y., 1996a, "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, 64, 527-560.
3. Aït-Sahalia, Y., 1996b, "Testing Continuous-Time Models of the Spot Interest Rate," Review of Financial Studies, 9, 385-426.
4. Aït-Sahalia, Y., 1997, "Do Interest Rates Really Follow Continuous-Time Markov Diffusions?," working paper, University of Chicago.
5. Andersen, T. G., and J. Lund, 1997, "Estimating Continuous Time Stochastic Volatility Models of the Short Term Interest Rates," Journal of Econometrics, 17, 343-377.
6. Beaglehole, D., and M. Tenney, 1992, "A Nonlinear Equilibrium Model of the Term Structure of Interest Rates: Corrections and Additions," Journal of Financial Economics, 32, 345-354.
7. Boudoukh, J., M. Richardson, R. Stanton, and R. Whitelaw, 1997, "The Stochastic Behavior of Interest Rates: Implications from a Nonlinear Continuous-Time Model," working paper, New York University.
8. Boudoukh, J., M. Richardson, and R. Whitelaw, 1994, "A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns," Review of Financial Studies, 7, 539-573.
9. Brennan, M. J., and E. Schwartz, 1979, "A Continuous Time Approach to the Pricing of Bonds," Journal of Banking and Finance, 32, 133-156.
10. Campbell, J. Y., A. W. Lo, A. C. MacKinlay, 1996, The Econometrics of Financial Markets, Princeton University Press, Princeton, N.J.
11. Chan, K. C., G. A. Karolyi, F. A. Longstaff and A. B. Sanders, 1992, "An Empirical Comparison of Alternative Models of Short-Term Interest Rate," Journal of Finance, 47, 1209-1228.
12. Chen, R. R., and L. Scott, 1992, "Pricing Interest Options in a Two-Factor Cox-Ingersoll-Ross Model of the Term Structure," Review of Financial Studies, 5, 613-636.
13. Conley T., L. Hansen, E. Luttmer, and J. Scheinkman, 1997, "Short-Term Interest Rates as Subordinated Diffusions," Review of Financial Studies, 10, 525-577.
14. Constantinides, G., 1992, "A Theory of the Nominal Structure of Interest Rates," Review of Financial Studies, 5, 531-552.
15. Courtadon, G., 1982, "The Pricing of Options on Default-Free Bonds," Journal of Financial and Quantitative Analysis, 17, 75-100.
16. Cox, J. C., J. E. Ingersoll, and S. A. Ross, 1985, "A Theory of the Term Structure of Interest Rates," Econometrica, 53, 385-406.
17. Dothan, L. U., 1978, "On the Term Structure of Interest Rates," Journal of Financial Economics, 6, 59-69.
18. Duffie, D., 1992, Dynamic Asset Pricing Theory, Princeton University Press, Princeton, N.J.
19. Duffie, D., and R. Kan, 1996, "A Yield-Factor Model of Interest Rates," Mathematical Finance, 6, 379-406.
20. Fama, E., and J. MacBeth, 1974,"Risk, Return and Equilibrium," Journal of Political Economy, 81, 607-636.
21. Feller, W., 1951, "Two Singular Diffusion Problems," Annals of Mathematics, 54, 173-182.
22. Gallant, A. R., 1981, "On the Bias in Flexible Functional Forms and an Essentially Unbiased Form: The Fourier Flexible Form," Journal of Econometrics, 15, 211-245.
23. Harrison, M., and D. Kreps, 1979, "Martingales and Arbitrage in Multiperiod Security Markets," Journal of Economic Theory, 20, 381-408.
24. Harrison, M., and S. Pliska, 1981, "Martingales and Stochastic Integrals in the Theory of Continuous Trading," Stochastic Processes and Their Applications, 11, 215-260.
25. Litterman, R., and J. Scheinkman, 1991, "Common Factors Affecting Bond Returns," Journal of Fixed Income, 1, 54-61.
26. Longstaff, F. A., and E. S. Schwartz, 1992, "Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model," Journal of Finance, 47, 1259-1282.
27. Marsh, T. A., and E. R. Rosenfeld, 1983, "Stochastic Processes for Interest Rates and Equilibrium Bond Prices," Journal of Finance, 38, 635-646.
28. McCulloch, J., and H. Kwon, 1993, "US Term Structure Data, 1947-1991," working paper, Ohio State University.
29. Newey, W., and K. West, 1987a, "A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, 55, 703-708.
30. Newey, W., and K. West, 1987b, "Hypothesis Testing with Efficient Method of Moments Estimation," International Economic Review, 28, 777-788.
31. Øksendal, B., 1992, Stochastic Differential Equations (2nd ed.), Springer-Verlag, New York.
32. Pagan, A., and Y. S. Hong, 1991, "Non-parametric Estimation and the Risk Premium," in W. Barnett, J. Powell, and G. Tauchen (eds.), Semiparametric and Non-parametric Methods in Econometrics and Statistics, Cambridge University Press, Cambridge, U.K.
33. Pagan, A., and W. Shwert, 1990, "Alternative Models for Conditional Stock Volatility," Journal of Econometrics, 45, 267-290.
34. Pearson, N. D., and T. S. 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.
35. Revuz, D., and M. Yor, 1990, Continuous Martingales and Brownian Motion, Springer-Verlag, New York.
36. Roll, R., and S. Ross, 1980, "An Empirical Investigation of the Arbitrage Pricing Model," Journal of Finance, 35, 1073-1103.
37. Schaefer, S. M., and E. S. Schwartz, 1987, "Time Dependent Variance and the Pricing of Bonds," Journal of Finance, 42, 113-128.
38. Stambaugh, R. F., 1988, "The Information in Forward Rates: Implications for Models of the Term Structure," Journal of Financial Economics, 21, 41-70.
39. Stanton, R., 1997, "A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk," Journal of Finance, 52, 1973-2002.
40. Vasicek, O., 1977, "An Equilibrium Characterization of the Term Structure," Journal of Financial Economics, 5, 177-188.