-
1
-
-
0242670422
-
Testing continuous-time models of the spot interest rate
-
Aït-Sahalia Y. 1996a. Testing continuous-time models of the spot interest rate. The Review of Financial Studies 9: 385-426.
-
(1996)
The Review of Financial Studies
, vol.9
, pp. 385-426
-
-
Aït-Sahalia, Y.1
-
2
-
-
0030369366
-
Nonparametric pricing of interest rate derivative securities
-
Aït-Sahalia Y. 1996b. Nonparametric pricing of interest rate derivative securities. Econometrica 64: 527-560.
-
(1996)
Econometrica
, vol.64
, pp. 527-560
-
-
Aït-Sahalia, Y.1
-
3
-
-
0000782631
-
Adapting for heteroscedasticity in linear models
-
Carroll R.J. (1982). Adapting for heteroscedasticity in linear models. Am. Statist. 10: 1224-1233.
-
(1982)
Am. Statist.
, vol.10
, pp. 1224-1233
-
-
Carroll, R.J.1
-
5
-
-
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: 1209-1227.
-
(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
-
6
-
-
0001205798
-
A theory of the term structure of interest rates
-
Cox J.C., Ingersoll J.E., and Ross S.A. 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
-
8
-
-
18244372185
-
Estimating the variance in non-parametric regression - What is a reasonable choice?
-
Dette H., Munk A., and Wagner T. 1998. Estimating the variance in non-parametric regression - What is a reasonable choice? J. R. Statist. Soc. B 60: 751-764.
-
(1998)
J. R. Statist. Soc. B
, vol.60
, pp. 751-764
-
-
Dette, H.1
Munk, A.2
Wagner, T.3
-
9
-
-
25444532788
-
Flexible smoothing with B-splines and penalties
-
Eilers P.H.C. and Marx B.D. 1996. Flexible smoothing with B-splines and penalties. Statistical Science 11: 89-121.
-
(1996)
Statistical Science
, vol.11
, pp. 89-121
-
-
Eilers, P.H.C.1
Marx, B.D.2
-
10
-
-
0042042167
-
Sampling from the posterior distribution in generalized linear mixed models
-
Gamerman D. 1997. Sampling from the posterior distribution in generalized linear mixed models. Statistics and Computing 7(1): 57-68.
-
(1997)
Statistics and Computing
, vol.7
, Issue.1
, pp. 57-68
-
-
Gamerman, D.1
-
12
-
-
27944462549
-
A reference Bayesian test for nested hypotheses and its relationship to the Schwarz criterion
-
Kass R.E. and Wasserman L. 1995. A reference Bayesian test for nested hypotheses and its relationship to the Schwarz criterion. Journal of the American Statistical Association 90: 928-934.
-
(1995)
Journal of the American Statistical Association
, vol.90
, pp. 928-934
-
-
Kass, R.E.1
Wasserman, L.2
-
14
-
-
0010081155
-
Nonparametric regression using linear combination of basis functions
-
Kohn R., Smith M., and Chan D. 2001. Nonparametric regression using linear combination of basis functions. Statistics and Computing 11:301-310.
-
(2001)
Statistics and Computing
, vol.11
, pp. 301-310
-
-
Kohn, R.1
Smith, M.2
Chan, D.3
-
17
-
-
0000821745
-
Estimation of heteroscedasticity in regression analysis
-
Müller H.G. and Stadtmülleri U. 1987. Estimation of heteroscedasticity in regression analysis. Ann. Statist. 15: 610-625.
-
(1987)
Ann. Statist.
, vol.15
, pp. 610-625
-
-
Müller, H.G.1
Stadtmülleri, U.2
-
18
-
-
0001355838
-
Radial basis functions for multivariate interpolation: A review
-
Mason J. and Cox M. (Eds.). Clarendon Press, Oxford
-
Powell M. 1987. Radial basis functions for multivariate interpolation: A review. In: Mason J. and Cox M. (Eds.), Algorithms of Approximation. Clarendon Press, Oxford, pp. 143-167.
-
(1987)
Algorithms of Approximation
, pp. 143-167
-
-
Powell, M.1
-
23
-
-
0000307942
-
Variable selection and function estimation in additive nonparametric regression models using a data-based prior
-
Shivery T., Kohn R., and Wood S. 1999. Variable selection and function estimation in additive nonparametric regression models using a data-based prior, (with discussion). Journal of the American Statistical Association 94: 777-806.
-
(1999)
Journal of the American Statistical Association
, vol.94
, pp. 777-806
-
-
Shivery, T.1
Kohn, R.2
Wood, S.3
-
24
-
-
0001995852
-
Some aspects of the spline smoothing approach to non-parametric regression curve fitting
-
Silverman B.W. 1985. Some aspects of the spline smoothing approach to non-parametric regression curve fitting. J. R. Statist. Soc. B 47: 1-52.
-
(1985)
J. R. Statist. Soc. B
, vol.47
, pp. 1-52
-
-
Silverman, B.W.1
-
25
-
-
0000824232
-
Nonparametric regression using Bayesian variable selection
-
Smith M. and Kohn R. 1996. Nonparametric regression using Bayesian variable selection. Journal of Econometrics 75: 317-344.
-
(1996)
Journal of Econometrics
, vol.75
, pp. 317-344
-
-
Smith, M.1
Kohn, R.2
-
27
-
-
0011815682
-
A nonparametric model of term structure dynamics and the market price of interest rate risk
-
Stanton R. 1997. A nonparametric model of term structure dynamics and the market price of interest rate risk. Journal of Finance 52: 1973-2002.
-
(1997)
Journal of Finance
, vol.52
, pp. 1973-2002
-
-
Stanton, R.1
-
29
-
-
0012281194
-
Specification analysis of econometric models
-
Ullah A. 1985. Specification analysis of econometric models. Journal Quant. Econ. 2: 187-209.
-
(1985)
Journal Quant. Econ.
, vol.2
, pp. 187-209
-
-
Ullah, A.1
-
30
-
-
0000576595
-
Markov chains for exploring posterior distributions
-
Tierney L. 1994. Markov chains for exploring posterior distributions. The Annals of Statistics 22: 1703-1762.
-
(1994)
The Annals of Statistics
, vol.22
, pp. 1703-1762
-
-
Tierney, L.1
-
31
-
-
0347078538
-
An equilibrium characterization of the term structure
-
Vasicek O.A. 1977. An equilibrium characterization of the term structure. Journal of Financial Economics 5: 177-188.
-
(1977)
Journal of Financial Economics
, vol.5
, pp. 177-188
-
-
Vasicek, O.A.1
-
32
-
-
0003298544
-
Spline Models for Observational Data
-
Philadelphia
-
Wahba G. 1990. Spline Models for Observational Data. SIAM, Philadelphia.
-
(1990)
SIAM
-
-
Wahba, G.1
-
33
-
-
0012657881
-
Approximate smoothing spline methods for large data sets in the binary case
-
Biometric Section
-
Xiang D. and Wahba G. 1998. Approximate smoothing spline methods for large data sets in the binary case. In: Proceedings of the 1997 ASA Joint Statistical Meetings, Biometric Section, pp. 94-98.
-
(1998)
Proceedings of the 1997 ASA Joint Statistical Meetings
, pp. 94-98
-
-
Xiang, D.1
Wahba, G.2
-
34
-
-
0037352633
-
Bayesian variable selection and model averaging in high dimensional multinomial nonparametric regression
-
Yau P., Kohn R., and Wood S. 2003. Bayesian variable selection and model averaging in high dimensional multinomial nonparametric regression. Journal of Computational and Graphical Statistics 11: 23-54.
-
(2003)
Journal of Computational and Graphical Statistics
, vol.11
, pp. 23-54
-
-
Yau, P.1
Kohn, R.2
Wood, S.3
-
35
-
-
0002817906
-
On assessing prior distributions and Bayesian regression analysis with g-prior distributions
-
Goel P.K. and Zellner A. (Eds.). North-Holland, Amsterdam
-
Zellner A. 1986. On assessing prior distributions and Bayesian regression analysis with g-prior distributions. In: Goel P.K. and Zellner A. (Eds.), Bayesian Inference and Decision Techniques - Essays in Honor of Bruno de Finetti. North-Holland, Amsterdam, pp. 233-243.
-
(1986)
Bayesian Inference and Decision Techniques - Essays in Honor of Bruno de Finetti
, pp. 233-243
-
-
Zellner, A.1
|