-
2
-
-
0033410115
-
A parametric nonlinear model of term structure dynamics
-
Ahn D.H., Gao B. A parametric nonlinear model of term structure dynamics. Review of Financial Studies 1999, 12:721-762.
-
(1999)
Review of Financial Studies
, vol.12
, pp. 721-762
-
-
Ahn, D.H.1
Gao, B.2
-
3
-
-
0030369366
-
Nonparametric pricing of interest rate derivative securities
-
Ait-Sahalia Y. Nonparametric pricing of interest rate derivative securities. Econometrica 1996, 64:527-560.
-
(1996)
Econometrica
, vol.64
, pp. 527-560
-
-
Ait-Sahalia, Y.1
-
4
-
-
0242670422
-
Testing continuous-time models of the spot interest rate
-
Ait-Sahalia Y. Testing continuous-time models of the spot interest rate. Review of Financial Studies 1996, 9:385-426.
-
(1996)
Review of Financial Studies
, vol.9
, pp. 385-426
-
-
Ait-Sahalia, Y.1
-
5
-
-
0040843309
-
Transition densities for interest rate and other nonlinear diffusions
-
Ait-Sahalia Y. Transition densities for interest rate and other nonlinear diffusions. Journal of Finance 1999, 54:1361-1395.
-
(1999)
Journal of Finance
, vol.54
, pp. 1361-1395
-
-
Ait-Sahalia, Y.1
-
6
-
-
0036216388
-
Maximum likelihood estimation of discretely sampled diffusions: A closed-form approach
-
Ait-Sahalia Y. Maximum likelihood estimation of discretely sampled diffusions: A closed-form approach. Econometrica 2002, 70:223-262.
-
(2002)
Econometrica
, vol.70
, pp. 223-262
-
-
Ait-Sahalia, Y.1
-
9
-
-
0039505965
-
Nonparametric estimation of state-price densities implicit in financial asset prices
-
Ait-Sahalia Y., Lo A.W. Nonparametric estimation of state-price densities implicit in financial asset prices. Journal of Fiance 1998, 53:499-547.
-
(1998)
Journal of Fiance
, vol.53
, pp. 499-547
-
-
Ait-Sahalia, Y.1
Lo, A.W.2
-
10
-
-
0002804196
-
Nonparametric risk management and implied risk aversion
-
Ait-Sahalia Y., Lo A.W. Nonparametric risk management and implied risk aversion. Journal of Econometric 2000, 94:9-51.
-
(2000)
Journal of Econometric
, vol.94
, pp. 9-51
-
-
Ait-Sahalia, Y.1
Lo, A.W.2
-
11
-
-
85031218966
-
The relation between implied and realized probability density functions
-
Anagnou I., Bedendo M., Hodges S., Tompkins R. The relation between implied and realized probability density functions. Working Paper, University of Technology, Vienna 2001.
-
(2001)
Working Paper, University of Technology, Vienna
-
-
Anagnou, I.1
Bedendo, M.2
Hodges, S.3
Tompkins, R.4
-
12
-
-
0001181242
-
Improving the pricing of options: A neural network approach
-
Anders U., Korn O., Schmitt C. Improving the pricing of options: A neural network approach. Journal of Forecasting 1998, 17:369-388.
-
(1998)
Journal of Forecasting
, vol.17
, pp. 369-388
-
-
Anders, U.1
Korn, O.2
Schmitt, C.3
-
14
-
-
0002775221
-
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
-
Andersen T.G., Chung H.-J., Sorensen B.E. Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study. Journal of Econometrics 1999, 91:61-87.
-
(1999)
Journal of Econometrics
, vol.91
, pp. 61-87
-
-
Andersen, T.G.1
Chung, H.-J.2
Sorensen, B.E.3
-
15
-
-
0000309098
-
Estimating continuous-time stochastic volatility models of the short-term interest rate
-
Andersen T.G., Lund J. Estimating continuous-time stochastic volatility models of the short-term interest rate. Journal of Econometrics 1997, 77:343-377.
-
(1997)
Journal of Econometrics
, vol.77
, pp. 343-377
-
-
Andersen, T.G.1
Lund, J.2
-
19
-
-
0037273358
-
Fully nonparametric estimation of scalar diffusion models
-
Bandi F., Phillips P.C.B. Fully nonparametric estimation of scalar diffusion models. Econometrica 2003, 71:241-283.
-
(2003)
Econometrica
, vol.71
, pp. 241-283
-
-
Bandi, F.1
Phillips, P.C.B.2
-
20
-
-
84977707224
-
The Crash of '87: Was it expected? The evidence from options markets
-
Bates D.S. The Crash of '87: Was it expected? The evidence from options markets. Journal of Finance 1991, 46:44-1009.
-
(1991)
Journal of Finance
, vol.46
, pp. 44-1009
-
-
Bates, D.S.1
-
21
-
-
0000833419
-
Post-'87 crash fears in the S&P 500 futures option market
-
Bates D.S. Post-'87 crash fears in the S&P 500 futures option market. Journal of Econometrics 2000, 94:181-238.
-
(2000)
Journal of Econometrics
, vol.94
, pp. 181-238
-
-
Bates, D.S.1
-
22
-
-
0001908429
-
A one-factor model of interest rates and its application to treasury bond options
-
Black F., Derman E., Toy W. A one-factor model of interest rates and its application to treasury bond options. Financial Analysts Journal 1990, 46:33-39.
-
(1990)
Financial Analysts Journal
, vol.46
, pp. 33-39
-
-
Black, F.1
Derman, E.2
Toy, W.3
-
23
-
-
0001877032
-
Bond and option pricing when short rates are log-normal
-
Black F., Karasinski P. Bond and option pricing when short rates are log-normal. Financial Analysts Journal 1991, 47:52-59.
-
(1991)
Financial Analysts Journal
, vol.47
, pp. 52-59
-
-
Black, F.1
Karasinski, P.2
-
24
-
-
85015692260
-
The pricing of options and corporate liabilities
-
Black F., Scholes M. The pricing of options and corporate liabilities. Journal of Political Economy 1973, 71:637-654.
-
(1973)
Journal of Political Economy
, vol.71
, pp. 637-654
-
-
Black, F.1
Scholes, M.2
-
25
-
-
0013143593
-
The elasticity of interest rate volatility: Chan, Karolyi, Longstaff, and Sanders revisited
-
Bliss R.R., Smith D. The elasticity of interest rate volatility: Chan, Karolyi, Longstaff, and Sanders revisited. Journal of Risk 1998, 1:21-46.
-
(1998)
Journal of Risk
, vol.1
, pp. 21-46
-
-
Bliss, R.R.1
Smith, D.2
-
27
-
-
0000516158
-
Prices of state-contingent claims implicit in option prices
-
Breeden D.T., Litzenberger R.H. Prices of state-contingent claims implicit in option prices. Journal of Business 1978, 51:51-621.
-
(1978)
Journal of Business
, vol.51
, pp. 51-621
-
-
Breeden, D.T.1
Litzenberger, R.H.2
-
28
-
-
0038718616
-
Weighted Nadaraya-Watson regression estimation
-
Cai Z. Weighted Nadaraya-Watson regression estimation. Statistics and Probability Letters 2001, 51:307-318.
-
(2001)
Statistics and Probability Letters
, vol.51
, pp. 307-318
-
-
Cai, Z.1
-
29
-
-
84977707412
-
An empirical comparison of alternative models of the short-term interest rate
-
Chan K.C., Karolyi G.A., Longstaff F.A., Sanders A.B. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 1992, 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
-
30
-
-
0039372662
-
Is the short rate drift actually nonlinear?
-
Chapman D., Pearson N. Is the short rate drift actually nonlinear?. Journal of Finance 2000, 55:355-388.
-
(2000)
Journal of Finance
, vol.55
, pp. 355-388
-
-
Chapman, D.1
Pearson, N.2
-
31
-
-
85031213763
-
An empirical likelihood goodness-of-fit test for time series
-
Chen S.X., Härdle W., Kleinow T. An empirical likelihood goodness-of-fit test for time series. Working paper, Institute of Statistics and Economics, Humboldt University, Germany 2001.
-
(2001)
Working paper, Institute of Statistics and Economics, Humboldt University, Germany
-
-
Chen, S.X.1
Härdle, W.2
Kleinow, T.3
-
32
-
-
85031212595
-
A new class of stochastic volatility models with jumps: Theory and estimation
-
Chernov M., Gallant A.R., Ghysels E., Tauchen G. A new class of stochastic volatility models with jumps: Theory and estimation. Working Paper, Department of Economics, University of North Carolina at Chapel Hill 2002.
-
(2002)
Working Paper, Department of Economics, University of North Carolina at Chapel Hill
-
-
Chernov, M.1
Gallant, A.R.2
Ghysels, E.3
Tauchen, G.4
-
34
-
-
0004291281
-
-
Princeton University Press, New Jersey
-
Cochrane J.H. Asset Pricing 2001, Princeton University Press, New Jersey.
-
(2001)
Asset Pricing
-
-
Cochrane, J.H.1
-
35
-
-
0031502658
-
Short-term interest rates as subordinated diffusions
-
Conley T.G., Hansen L.P., Luttmer E.G.J., Scheinkman J.A. Short-term interest rates as subordinated diffusions. Review of Financial Studies 1997, 10:525-577.
-
(1997)
Review of Financial Studies
, vol.10
, pp. 525-577
-
-
Conley, T.G.1
Hansen, L.P.2
Luttmer, E.G.J.3
Scheinkman, J.A.4
-
36
-
-
0001205798
-
A theory of the term structure of interest rates
-
Cox J.C., Ingersoll J.E., Ross S.A. A theory of the term structure of interest rates. Econometrica 1985, 53:385-407.
-
(1985)
Econometrica
, vol.53
, pp. 385-407
-
-
Cox, J.C.1
Ingersoll, J.E.2
Ross, S.A.3
-
37
-
-
0008766361
-
Specification analysis of affine term structure models
-
Dai Q., Singleton K.J. Specification analysis of affine term structure models. Journal of Finance 2000, 55:1943-1978.
-
(2000)
Journal of Finance
, vol.55
, pp. 1943-1978
-
-
Dai, Q.1
Singleton, K.J.2
-
38
-
-
0001324512
-
Analytical value-at-risk with jumps and credit risk
-
Duffie D., Pan J. Analytical value-at-risk with jumps and credit risk. Finance and Stochastics 2001, 5:15-180.
-
(2001)
Finance and Stochastics
, vol.5
, pp. 15-180
-
-
Duffie, D.1
Pan, J.2
-
39
-
-
0001668150
-
Transform analysis and asset pricing for affine jump-diffusions
-
Duffie D., Pan J., Singleton K.J. Transform analysis and asset pricing for affine jump-diffusions. Econometrica 2000, 68:1343-1376.
-
(2000)
Econometrica
, vol.68
, pp. 1343-1376
-
-
Duffie, D.1
Pan, J.2
Singleton, K.J.3
-
40
-
-
0000593389
-
Simulated moments estimation of Markov models of asset prices
-
Duffie D., Singleton K.J. Simulated moments estimation of Markov models of asset prices. Econometrica 1993, 61:929-952.
-
(1993)
Econometrica
, vol.61
, pp. 929-952
-
-
Duffie, D.1
Singleton, K.J.2
-
41
-
-
85031228332
-
Evaluation of out-of-sample density forecasts of multifactor diffusion models with application to affine models of term structures
-
Egorov A., Hong Y., Li H. Evaluation of out-of-sample density forecasts of multifactor diffusion models with application to affine models of term structures. Working Paper, Department of Economies, Cornell University 2003.
-
(2003)
Working Paper, Department of Economies, Cornell University
-
-
Egorov, A.1
Hong, Y.2
Li, H.3
-
42
-
-
0347985219
-
Maximum likelihood estimation of time-inhomogeneous diffusions
-
press
-
Egorov A., Li H., Xu Y. Maximum likelihood estimation of time-inhomogeneous diffusions. Journal of Econometrics 2003, in press.
-
(2003)
Journal of Econometrics
-
-
Egorov, A.1
Li, H.2
Xu, Y.3
-
45
-
-
85031221838
-
Time-dependent diffusion models for term structure dynamics and the stock price volatility
-
Fan J., Jiang J., Zhang C., Zhou Z. Time-dependent diffusion models for term structure dynamics and the stock price volatility. Working Paper, Department of Statistics, University of North Carolina at Chapel Hill 2001.
-
(2001)
Working Paper, Department of Statistics, University of North Carolina at Chapel Hill
-
-
Fan, J.1
Jiang, J.2
Zhang, C.3
Zhou, Z.4
-
46
-
-
84902234536
-
A re-examination of diffusion estimators with applications to financial model validation
-
press
-
Fan J., Zhang C. A re-examination of diffusion estimators with applications to financial model validation. Journal of the American Statistical Association 2001, in press.
-
(2001)
Journal of the American Statistical Association
-
-
Fan, J.1
Zhang, C.2
-
47
-
-
0035633948
-
Generalized likelihood ratio statistics and Wilks phenomenon
-
Fan J., Zhang C., Zhang J. Generalized likelihood ratio statistics and Wilks phenomenon. The Annals of Statistics 2001, 29:153-193.
-
(2001)
The Annals of Statistics
, vol.29
, pp. 153-193
-
-
Fan, J.1
Zhang, C.2
Zhang, J.3
-
51
-
-
0004373755
-
Neural networks versus Black-Scholes: An empirical comparison of the pricing accuracy of two fundamentally different option pricing methods
-
Hanke M. Neural networks versus Black-Scholes: An empirical comparison of the pricing accuracy of two fundamentally different option pricing methods. Journal of Computational Finance 1999, 5:26-34.
-
(1999)
Journal of Computational Finance
, vol.5
, pp. 26-34
-
-
Hanke, M.1
-
52
-
-
0010274340
-
Assessing specification errors in stochastic discount factor models
-
Hansen L.P., Janaganan R. Assessing specification errors in stochastic discount factor models. Journal of Finance 1997, 52:557-590.
-
(1997)
Journal of Finance
, vol.52
, pp. 557-590
-
-
Hansen, L.P.1
Janaganan, R.2
-
53
-
-
0029182376
-
Back to the future: Generating moment implications for continuous time Markov processes
-
Hansen L.P., Scheinkman J.A. Back to the future: Generating moment implications for continuous time Markov processes. Econometrica 1995, 63:767-804.
-
(1995)
Econometrica
, vol.63
, pp. 767-804
-
-
Hansen, L.P.1
Scheinkman, J.A.2
-
55
-
-
84944829853
-
Term structure movements and pricing interest rate contingent claims
-
Ho T.S.Y., Lee S.B. Term structure movements and pricing interest rate contingent claims. Journal of Finance 1986, 41:1011-1029.
-
(1986)
Journal of Finance
, vol.41
, pp. 1011-1029
-
-
Ho, T.S.Y.1
Lee, S.B.2
-
56
-
-
0242509855
-
Diagnostic checking for nonlinear time series models
-
press
-
Hong Y., Lee T.H. Diagnostic checking for nonlinear time series models. Econometric Theory 2003, in press.
-
(2003)
Econometric Theory
-
-
Hong, Y.1
Lee, T.H.2
-
57
-
-
7444233470
-
Nonparametric specification testing for continuous-time models with applications to interest rate term structures
-
Submitted to
-
Hong Y., Li H. Nonparametric specification testing for continuous-time models with applications to interest rate term structures. Review of Financial Studies 2002, Submitted to.
-
(2002)
Review of Financial Studies
-
-
Hong, Y.1
Li, H.2
-
58
-
-
0000520090
-
Pricing interest-rate derivative securities
-
Hull J., White H. Pricing interest-rate derivative securities. Review of Financial Studies 1990, 3:573-592.
-
(1990)
Review of Financial Studies
, vol.3
, pp. 573-592
-
-
Hull, J.1
White, H.2
-
59
-
-
84993911657
-
A nonparametric approach to pricing and hedging derivative securities via learning networks
-
Hutchinson J., Lo A.W., Poggio T. A nonparametric approach to pricing and hedging derivative securities via learning networks. Journal of Finance 1994, 49:851-889.
-
(1994)
Journal of Finance
, vol.49
, pp. 851-889
-
-
Hutchinson, J.1
Lo, A.W.2
Poggio, T.3
-
60
-
-
0038139238
-
Recovering probability distributions from contemporary security prices
-
Jackwerth J.C., Rubinstein M. Recovering probability distributions from contemporary security prices. Journal of Finance 1996, 51:1611-1631.
-
(1996)
Journal of Finance
, vol.51
, pp. 1611-1631
-
-
Jackwerth, J.C.1
Rubinstein, M.2
-
62
-
-
0031536748
-
A nonparametric approach to the estimation of diffusion processes, with an application to a short-term interest rate model
-
Jiang G.J., Knight J.L. A nonparametric approach to the estimation of diffusion processes, with an application to a short-term interest rate model. Econometric Theory 1997, 13:615-645.
-
(1997)
Econometric Theory
, vol.13
, pp. 615-645
-
-
Jiang, G.J.1
Knight, J.L.2
-
63
-
-
0036005156
-
Estimation of continuous-time processes via the empirical characteristic function
-
Jiang G.J., Knight J.L. Estimation of continuous-time processes via the empirical characteristic function. Journal of Business and Economic Statistics 2002, 20:198-212.
-
(2002)
Journal of Business and Economic Statistics
, vol.20
, pp. 198-212
-
-
Jiang, G.J.1
Knight, J.L.2
-
64
-
-
84882495947
-
Option pricing with the efficient method of moments
-
MIT Press, Cambridge, Y.S. Abu-Mostafa, B. LeBaron, A.W. Lo, A.S. Weigend (Eds.)
-
Jiang G.J., van der Sluis P.J. Option pricing with the efficient method of moments. Computational Finance 2000, MIT Press, Cambridge. Y.S. Abu-Mostafa, B. LeBaron, A.W. Lo, A.S. Weigend (Eds.).
-
(2000)
Computational Finance
-
-
Jiang, G.J.1
van der Sluis, P.J.2
-
69
-
-
0000891973
-
Modeling long memory in stock market volatility
-
Liu M. Modeling long memory in stock market volatility. Journal of Econometrics 2000, 99:139-171.
-
(2000)
Journal of Econometrics
, vol.99
, pp. 139-171
-
-
Liu, M.1
-
71
-
-
84974325324
-
Maximum likelihood estimation of generalized Ito processes with discretely sampled data
-
Lo A.W. Maximum likelihood estimation of generalized Ito processes with discretely sampled data. Econometric Theory 1988, 4:231-247.
-
(1988)
Econometric Theory
, vol.4
, pp. 231-247
-
-
Lo, A.W.1
-
72
-
-
0032622565
-
Jump risk in the U.S. stock market: Evidence using political information
-
Lobo B.J. Jump risk in the U.S. stock market: Evidence using political information. Review of Financial Economics 1999, 8:149-163.
-
(1999)
Review of Financial Economics
, vol.8
, pp. 149-163
-
-
Lobo, B.J.1
-
73
-
-
38249008650
-
Multiple equilibria and term structure models
-
Longstaff F.A. Multiple equilibria and term structure models. Journal of Financial Economics 1992, 32:333-344.
-
(1992)
Journal of Financial Economics
, vol.32
, pp. 333-344
-
-
Longstaff, F.A.1
-
74
-
-
21844512316
-
Option pricing and the martingale restriction
-
Longstaff F.A. Option pricing and the martingale restriction. Review of Financial Studies 1995, 8:1091-1124.
-
(1995)
Review of Financial Studies
, vol.8
, pp. 1091-1124
-
-
Longstaff, F.A.1
-
75
-
-
0031516243
-
Recovering an asset's implied PDF from option prices: An application to crude oil during the Gulf crisis
-
Melick W.R., Thomas C.P. Recovering an asset's implied PDF from option prices: An application to crude oil during the Gulf crisis. Journal of Financial and Quantitative Analysis 1997, 32:91-115.
-
(1997)
Journal of Financial and Quantitative Analysis
, vol.32
, pp. 91-115
-
-
Melick, W.R.1
Thomas, C.P.2
-
79
-
-
0032357549
-
Nonparametric density estimation and tests of continuous time interest rate models
-
Pritsker M. Nonparametric density estimation and tests of continuous time interest rate models. Review of Financial Studies 1998, 11:449-487.
-
(1998)
Review of Financial Studies
, vol.11
, pp. 449-487
-
-
Pritsker, M.1
-
80
-
-
84993899427
-
Implied binomial trees
-
Rubinstein M. Implied binomial trees. Journal of Finance 1994, 49:771-818.
-
(1994)
Journal of Finance
, vol.49
, pp. 771-818
-
-
Rubinstein, M.1
-
81
-
-
0002672430
-
Bounds of probability
-
Shimko D. Bounds of probability. Risk 1993, 6:33-37.
-
(1993)
Risk
, vol.6
, pp. 33-37
-
-
Shimko, D.1
-
82
-
-
0000807050
-
Estimation of affine asset pricing models using the empirical characteristic function
-
Singleton K.J. Estimation of affine asset pricing models using the empirical characteristic function. Journal of Econometrics 2001, 102:111-141.
-
(2001)
Journal of Econometrics
, vol.102
, pp. 111-141
-
-
Singleton, K.J.1
-
83
-
-
0011815682
-
A nonparametric model of term structure dynamics and the market price of interest rate risk
-
Stanton R. A nonparametric model of term structure dynamics and the market price of interest rate risk. Journal of Finance 1997, 52:1973-2002.
-
(1997)
Journal of Finance
, vol.52
, pp. 1973-2002
-
-
Stanton, R.1
-
84
-
-
0347078538
-
An equilibrium characterization of the term structure
-
Vasicek O. An equilibrium characterization of the term structure. Journal of Financial Economics 1977, 5:177-188.
-
(1977)
Journal of Financial Economics
, vol.5
, pp. 177-188
-
-
Vasicek, O.1
-
85
-
-
0142188071
-
Asset pricing with conditioning information: A new test
-
Wang K. Asset pricing with conditioning information: A new test. Journal of Finance 2002, 58:161-196.
-
(2002)
Journal of Finance
, vol.58
, pp. 161-196
-
-
Wang, K.1
|