Indirect robust estimation of the short-term interest rate process

Journal of Empirical Finance

Volumn 14, Issue 4, 2007, Pages 546-563

  Czellar, Veronika ^a   Karolyi, G Andrew ^b   Ronchetti, Elvezio ^a  

^a UNIVERSITY OF GENEVA   (Switzerland)

^b OHIO STATE UNIVERSITY   (United States)

Author keywords

GMM and RGMM estimators; Indirect inference

Indexed keywords

EID: 34547829570     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2006.09.004     Document Type: Article

References (31)

1. Ahn D.H., and Gao B. A parametric nonlinear model of term structure dynamics. Review of Financial Studies 12 (1999) 721-762
2. Aït-Sahalia Y. Testing continuous-time models of the spot interest rate. Review of Financial Studies 9 (1996) 385-426
3. Aït-Sahalia Y. Transition densities for interest rate and other nonlinear diffusions. Journal of Finance 54 (1999) 1361-1395
4. Aït-Sahalia Y. Maximum likelihood estimation of discretely sampled diffusions: a closed-form approximation approach. Econometrica 70 (2002) 223-262
5. Andersen T.G., and Lund J. Estimating continuous time stochastic volatility models of the short term interest rate. Journal of Econometrics 77 (1997) 343-377
6. Beskos A., Papaspiliopoulos O., Roberts G.O., and Fearnhead P. Exact and computationally efficient likelihood-based estimation for discretely observed diffusion processes. Journal of the Royal Statistical Society 68 (2006) 1-29
7. Brennan M.J., and Schwartz E.S. Savings bonds, retractable bonds, and callable bonds. Journal of Financial Economics 3 (1977) 133-155
8. Brenner R.J., Harjes R.H., and Kroner K.F. Another look at models of the short-term interest rate. Journal of Financial and Quantitative Analysis 31 (1996) 85-107
9. Broze L., Scaillet O., and Zakoïan J.-M. Testing for continuous-time models of the short-term interest rate. Journal of Empirical Finance 2 (1995) 199-223
10. Chan K.C., Karolyi G.A., Longstaff F.A., and Sanders A.B. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47 (1992) 1209-1227
11. Chapman D.A., and Pearson N.D. Is the short rate drift actually nonlinear?. Journal of Finance 55 (2000) 355-388
12. Chapman D., Long J., and Pearson N.D. Using proxies for the short-rate: when are three months like an instant?. Review of Financial Studies 12 (1999) 763-806
13. Cox J.C., Ingersoll J.E., and Ross S.A. A re-examination of traditional hypotheses about the term structure of interest rates. Journal of Finance 36 (1981) 769-799
14. Cox J.C., Ingersoll J.E., and Ross S.A. A theory of the term structure of interest rates. Econometrica 53 (1985) 385-407
15. Dell'Aquila R., Ronchetti E., and Trojani F. Robust GMM analysis of models for the short rate process. Journal of Empirical Finance 10 (2003) 373-397
16. Dothan U.L. On the term structure of interest rates. Journal of Financial Economics 6 (1978) 59-69
17. Durham G.B. Likelihood-based specification analysis of continuous-time models of the short-term interest rate. Journal of Financial Economics 70 (2003) 463-487
18. Durham G.B., and Gallant A.R. Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes. Journal of Business and Economic Statistics 20 (2002) 279-316
19. Elerian O., Chib S., and Shephard N. Likelihood inference for discretely observed nonlinear diffusions. Econometrica 69 (2001) 959-994
20. Eraker B. MCMC analysis of diffusion models with application to finance. Journal of Business and Economic Statistics 19 (2001) 177-191
21. Gallant R., and Tauchen G. Which moments to match?. Econometric Theory 12 (1996) 657-681
22. Genton M.G., and Ronchetti E. Robust indirect inference. Journal of the American Statistical Association 98 (2003) 67-76
23. Gouriéroux C., and Monfort A. Simulation-Based Econometric Methods (1996), Oxford University Press
24. Gouriéroux C., Monfort A., and Renault E. Indirect inference. Journal of Applied Econometrics 8 (1993) S85-S118
25. Hong Y., and Li H. Nonparametric specification testing for continuous-time models with applications to term structure of interest rates. Review of Financial Studies 18 (2005) 37-84
26. Johannes M. The statistical and economic role of jumps in interest rates. Journal of Finance 59 (2004) 227-260
27. Ortelli C., and Trojani F. Robust efficient method of moments. Journal of Econometrics 128 (2005) 69-97
28. Pritsker M. Nonparametric density estimation and tests of continuous time interest rate models. Review of Financial Studies 11 (1998) 449-487
29. Ronchetti E., and Trojani F. Robust inference with GMM estimators. Journal of Econometrics 101 (2001) 37-69
30. Stanton R. A nonparametric model of term structure dynamics and the market price of interest rate risk. Journal of Finance 52 (1997) 1973-2002
31. Vasicek O. An equilibrium characterization of the term structure. Journal of Financial Economics 5 (1977) 177-188