-
1
-
-
0013012077
-
Non-recursive models as discrete approximations to systems of stochastic differential equations
-
Bergstrom, A. R. (1966) Non-recursive models as discrete approximations to systems of stochastic differential equations, Econometrica, 34, 173-82.
-
(1966)
Econometrica
, vol.34
, pp. 173-182
-
-
Bergstrom, A.R.1
-
2
-
-
0000180090
-
Gaussian estimation of structural parameters in higher-order continuous time dynamic models
-
Bergstrom, A. R. (1983) Gaussian estimation of structural parameters in higher-order continuous time dynamic models, Econometrica, 51, 117-52.
-
(1983)
Econometrica
, vol.51
, pp. 117-152
-
-
Bergstrom, A.R.1
-
3
-
-
70350109058
-
Continuous time stochastic models and issues of aggregation over time
-
(Eds) Z. Grilliches and M. Intrillagator, Amsterdam: North Holland
-
Bergstrom, A. R. (1984) Continuous time stochastic models and issues of aggregation over time, in Handbook of Econometrics (Eds) Z. Grilliches and M. Intrillagator, Amsterdam: North Holland.
-
(1984)
Handbook of Econometrics
-
-
Bergstrom, A.R.1
-
5
-
-
0032325557
-
Forecasting UK and US interest rates using continuous time term structure models
-
Byers, S. L. and Nowman, K. B. (1998) Forecasting UK and US interest rates using continuous time term structure models, International Review of Financial Analysis, 7, 191-206.
-
(1998)
International Review of Financial Analysis
, vol.7
, pp. 191-206
-
-
Byers, S.L.1
Nowman, K.B.2
-
6
-
-
0003096241
-
Further evidence on the forecasting performance of two factor continuous time interest rate models in international and Asia Pacific financial markets
-
forthcoming
-
Byers, S. L. and Nowman, K. B. (2001) Further evidence on the forecasting performance of two factor continuous time interest rate models in international and Asia Pacific financial markets. Managerial Finance, forthcoming.
-
(2001)
Managerial Finance
-
-
Byers, S.L.1
Nowman, K.B.2
-
7
-
-
42449156579
-
Generalized autoregressive conditional heteroscedasticity
-
Bollerslev, T. P. (1986) Generalized autoregressive conditional heteroscedasticity, Journal of Econometrics, 31, 309-28.
-
(1986)
Journal of Econometrics
, vol.31
, pp. 309-328
-
-
Bollerslev, T.P.1
-
8
-
-
0001711056
-
ARCH models
-
(Eds) R. Engle and D. McFadden, Elsevier, Amsterdam
-
Bollerslev, T., Engle, R. and Nelson, D. (1994) ARCH models in Handbook of Econometrics (Eds) R. Engle and D. McFadden, Vol. IV, Elsevier, Amsterdam.
-
(1994)
Handbook of Econometrics
, vol.4
-
-
Bollerslev, T.1
Engle, R.2
Nelson, D.3
-
9
-
-
0001903382
-
Predicting stock index volatility: Can market volume help?
-
Brooks C. (1998) Predicting stock index volatility: can market volume help?, Journal of Forecasting, 17, 59-80.
-
(1998)
Journal of Forecasting
, vol.17
, pp. 59-80
-
-
Brooks, C.1
-
13
-
-
0012911771
-
Forecasting discrete stock and flow data generated by a second order continuous time system
-
Chambers, M. J. (1991) Forecasting discrete stock and flow data generated by a second order continuous time system, Computers and Mathematical Applications, 22, 107-14.
-
(1991)
Computers and Mathematical Applications
, vol.22
, pp. 107-114
-
-
Chambers, M.J.1
-
14
-
-
0003285601
-
Forecasting with continuous-time and discrete-time series models: An empirical comparison
-
(Ed.) P. C. B. Phillips, Cambridge, MA., Blackwell Publications
-
Chambers, M. J. (1993) Forecasting with continuous-time and discrete-time series models: An empirical comparison, in Models, Methods and Application of Econometrics: Essays in Honour of A.R. Bergstrom (Ed.) P. C. B. Phillips, Cambridge, MA., Blackwell Publications.
-
(1993)
Models, Methods and Application of Econometrics: Essays in Honour of A.R. Bergstrom
-
-
Chambers, M.J.1
-
15
-
-
0031394366
-
Forecasting with the almost ideal demand system
-
Chambers, M. J. and Nowman B. (1997) Forecasting with the almost ideal demand system, Applied Economics, 29, 935-43.
-
(1997)
Applied Economics
, vol.29
, pp. 935-943
-
-
Chambers, M.J.1
Nowman, B.2
-
16
-
-
84977707412
-
An empirical comparison of alternative models of the short-term interest rate
-
Chan, K. C., Karolyi, G. A., Longstaff, F. A. and Sanders, A. B. (1992) An empirical comparison of alternative models of the short-term interest rate, Journal of Finance, 47. 1209-27.
-
(1992)
Journal of Finance
, vol.47
, pp. 1209-1227
-
-
Chan, K.C.1
Karolyi, G.A.2
Longstaff, F.A.3
Sanders, A.B.4
-
19
-
-
0000051984
-
Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation
-
Engle, R. F. (1982) Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation, Econometrica, 50, 987-1008.
-
(1982)
Econometrica
, vol.50
, pp. 987-1008
-
-
Engle, R.F.1
-
20
-
-
84974122247
-
Multivariate simultaneous generalized ARCH
-
Engle, R. F. and Kroner, K. F. (1995) Multivariate simultaneous generalized ARCH, Econometric Theory, 11, 122-50.
-
(1995)
Econometric Theory
, vol.11
, pp. 122-150
-
-
Engle, R.F.1
Kroner, K.F.2
-
21
-
-
0002347308
-
Pricing and hedging derivative securities with neural networks and homogeneity hint
-
Garcia, R. and Gencay, R. (2000) Pricing and hedging derivative securities with neural networks and homogeneity hint, Journal of Econometrics, 94, 93-117.
-
(2000)
Journal of Econometrics
, vol.94
, pp. 93-117
-
-
Garcia, R.1
Gencay, R.2
-
22
-
-
0002406475
-
Linear, non-linear and essential foreign exchange rate prediction with simple technical rules
-
Gencay, R. (1999) Linear, non-linear and essential foreign exchange rate prediction with simple technical rules, Journal of International Economics, 47, 91-107.
-
(1999)
Journal of International Economics
, vol.47
, pp. 91-107
-
-
Gencay, R.1
-
24
-
-
0029182376
-
Back to the future: Generating moment implications for continuous time Markov processes
-
Hansen, L. and Scheinkman, J. (1995) Back to the future: generating moment implications for continuous time Markov processes, Econometrica, 63, 767-804.
-
(1995)
Econometrica
, vol.63
, pp. 767-804
-
-
Hansen, L.1
Scheinkman, J.2
-
25
-
-
84993911657
-
A non-parametric approach to pricing and hedging of derivative securities via learning networks
-
Hutchinson, J., Lo, A. and Poggio, T. (1994) A non-parametric approach to pricing and hedging of derivative securities via learning networks, Journal of Finance, 49, 851-9.
-
(1994)
Journal of Finance
, vol.49
, pp. 851-859
-
-
Hutchinson, J.1
Lo, A.2
Poggio, T.3
-
26
-
-
0023331258
-
An introduction. to computing with neural nets
-
Lippmann, R. P. (1987) An Introduction to computing with neural nets, IEEE ASSP Magazine, 4(2), 4-22.
-
(1987)
IEEE ASSP Magazine
, vol.4
, Issue.2
, pp. 4-22
-
-
Lippmann, R.P.1
-
27
-
-
0003314179
-
Estimation of continuous time models in finance
-
(Ed.) C. Sims (Cambridge University Press, Cambridge)
-
Melino, A. (1994) Estimation of continuous time models in finance, in Advances in Econometrics: Sixth World Congress, (Ed.) C. Sims (Cambridge University Press, Cambridge).
-
(1994)
Advances in Econometrics: Sixth World Congress
-
-
Melino, A.1
-
29
-
-
0842316847
-
ARCH models as diffusion approximations
-
Nelson, D. B. (1990) ARCH models as diffusion approximations, Journal of Econometrics, 4, 7-38.
-
(1990)
Journal of Econometrics
, vol.4
, pp. 7-38
-
-
Nelson, D.B.1
-
30
-
-
0001401751
-
Empirical tests of short-term interest rate models: A non-parametric approach
-
Niizeki, M. K. (1998) Empirical tests of short-term interest rate models: a non-parametric approach, Applied Financial Economics, 8, 347-53.
-
(1998)
Applied Financial Economics
, vol.8
, pp. 347-353
-
-
Niizeki, M.K.1
-
31
-
-
0013142572
-
Gaussian estimation of single factor continuous time models of the term structure of interest rates
-
Nowman, K. B. (1997) Gaussian estimation of single factor continuous time models of the term structure of interest rates, Journal of Finance, 52, 1695-706.
-
(1997)
Journal of Finance
, vol.52
, pp. 1695-1706
-
-
Nowman, K.B.1
-
32
-
-
0001549407
-
Continuous time short term interest rate models
-
Nowman, K. B. (1998) Continuous time short term interest rate models, Applied Financial Economics, 8, 401-7.
-
(1998)
Applied Financial Economics
, vol.8
, pp. 401-407
-
-
Nowman, K.B.1
-
33
-
-
0002085950
-
Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom
-
Nowman, K. B. (2000) Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom, Asia Pacific Financial Markets, 8, 23-34.
-
(2000)
Asia Pacific Financial Markets
, vol.8
, pp. 23-34
-
-
Nowman, K.B.1
-
35
-
-
84986849734
-
Nonparametric estimators for time series
-
Robinson, P. (1983) Nonparametric estimators for time series, Journal of Time Series Analysis, 4, 185-208.
-
(1983)
Journal of Time Series Analysis
, vol.4
, pp. 185-208
-
-
Robinson, P.1
-
37
-
-
0002521121
-
Nonparametric forecasts of gold rate of return
-
(Eds.) W. Barnett, A. Kirman and M. Salmon, Cambridge University Press, Cambridge
-
Stengos, T. (1996) Nonparametric forecasts of gold rate of return, in Nonlinear Dynamics and Economics (Eds.) W. Barnett, A. Kirman and M. Salmon, Cambridge University Press, Cambridge, pp. 393-406.
-
(1996)
Nonlinear Dynamics and Economics
, pp. 393-406
-
-
Stengos, T.1
-
38
-
-
0001715050
-
Nonparametric regression techniques in economics
-
Yatchew, A. (1998) Nonparametric regression techniques in economics, Journal of Economic Literature, 98, 669-721.
-
(1998)
Journal of Economic Literature
, vol.98
, pp. 669-721
-
-
Yatchew, A.1
|