-
1
-
-
0033410115
-
A parametric nonlinear model of term structure dynamics
-
Ahn, D.H. & B. Gao (1999) A parametric nonlinear model of term structure dynamics. Review of Financial Studies 12, 721-762.
-
(1999)
Review of Financial Studies
, vol.12
, pp. 721-762
-
-
Ahn, D.H.1
Gao, B.2
-
2
-
-
0242670422
-
Testing continuous-time models of the spot interest rate
-
Aït-Sahalia, Y. (1996a) Testing continuous-time models of the spot interest rate. Review of Financial Studies 9, 385-426.
-
(1996)
Review of Financial Studies
, vol.9
, pp. 385-426
-
-
Aït-Sahalia, Y.1
-
3
-
-
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
-
4
-
-
0040843309
-
Transition densities for interest rate and other nonlinear diffusions
-
Aït-Sahalia, Y. (1999) Transition densities for interest rate and other nonlinear diffusions. Journal of Finance 54, 1361-1395.
-
(1999)
Journal of Finance
, vol.54
, pp. 1361-1395
-
-
Aït-Sahalia, Y.1
-
5
-
-
85015692260
-
The pricing of options and corporate liabilities
-
Black, F. & M. Scholes (1973) The pricing of options and corporate liabilities. Journal of Political Economy 3, 637-654.
-
(1973)
Journal of Political Economy
, vol.3
, pp. 637-654
-
-
Black, F.1
Scholes, M.2
-
6
-
-
0039372662
-
Is the short rate drift actually nonlinear?
-
Chapman, D. & N. Pearson (2000) Is the short rate drift actually nonlinear? Journal of Finance 54, 355-388.
-
(2000)
Journal of Finance
, vol.54
, pp. 355-388
-
-
Chapman, D.1
Pearson, N.2
-
7
-
-
7244224344
-
-
Working paper, Department of Statistics and Applied Probability, National University of Singapore
-
Chen, S., J. Gao, & M. Li (2001) Simultaneous Specification Tests for Nonparametric Regression with Application to Diffusion Model Testing. Working paper, Department of Statistics and Applied Probability, National University of Singapore. Available at www.stat.nus.edu.sg/~stacsx.
-
(2001)
Simultaneous Specification Tests for Nonparametric Regression with Application to Diffusion Model Testing
-
-
Chen, S.1
Gao, J.2
Li, M.3
-
8
-
-
0000334217
-
An intertemporal general equilibrium model of asset prices
-
Cox, J., E. Ingersoll, & S. Ross (1985) An intertemporal general equilibrium model of asset prices. Econometrica 53, 363-384.
-
(1985)
Econometrica
, vol.53
, pp. 363-384
-
-
Cox, J.1
Ingersoll, E.2
Ross, S.3
-
11
-
-
0037361697
-
A re-examination of Stanton's diffusion estimation with applications to financial model validation
-
Fan, J. & C. Zhang (2003) A re-examination of Stanton's diffusion estimation with applications to financial model validation. Journal of the American Statistical Association 457, 118-134.
-
(2003)
Journal of the American Statistical Association
, vol.457
, pp. 118-134
-
-
Fan, J.1
Zhang, C.2
-
12
-
-
0000003676
-
Central limit theorem for degenerate U-statistics of absolutely regular processes with applications to model specification testing
-
Fan, Y. & Q. Li (1998) Central limit theorem for degenerate U-statistics of absolutely regular processes with applications to model specification testing. Journal of Nonparametric Statistics 10, 245-271.
-
(1998)
Journal of Nonparametric Statistics
, vol.10
, pp. 245-271
-
-
Fan, Y.1
Li, Q.2
-
14
-
-
0036857532
-
Model specification tests in nonparametric stochastic regression models
-
Gao, J., H. Tong, & R. Wolff (2002) Model specification tests in nonparametric stochastic regression models. Journal of Multivariate Analysis 83, 324-359.
-
(2002)
Journal of Multivariate Analysis
, vol.83
, pp. 324-359
-
-
Gao, J.1
Tong, H.2
Wolff, R.3
-
15
-
-
7244235290
-
-
Discussion paper 60, Sonderforschungsbereich 373, Humboldt- Universität zu Berlin, Spandauerst. 1. 10178, Berlin
-
Hjellvik, V., Q. Yao, & D. Tjøstheim (1996) Linearity testing using local polynomial approximation. Discussion paper 60, Sonderforschungsbereich 373, Humboldt-Universität zu Berlin, Spandauerst. 1. 10178, Berlin.
-
(1996)
Linearity Testing Using Local Polynomial Approximation
-
-
Hjellvik, V.1
Yao, Q.2
Tjøstheim, D.3
-
16
-
-
7444233470
-
Nonparametric specification testing for continuous-time models with application to spot interest rates
-
forthcoming
-
Hong, Y. & H. Li (2004) Nonparametric specification testing for continuous-time models with application to spot interest rates. Review of Financial Studies 17, forthcoming.
-
(2004)
Review of Financial Studies
, pp. 17
-
-
Hong, Y.1
Li, H.2
-
17
-
-
0034991055
-
An adaptive, rate-optimal test of a parametric mean-regression model against a nonparametric alternative
-
Horowitz, J. & V. Spokoiny (2001) An adaptive, rate-optimal test of a parametric mean-regression model against a nonparametric alternative. Econometrica 69, 599-632.
-
(2001)
Econometrica
, vol.69
, pp. 599-632
-
-
Horowitz, J.1
Spokoiny, V.2
-
18
-
-
0031536748
-
A nonparametric approach to the estimation of diffusion processes with an application to a short-term interest rate model
-
Jiang, G. & J. Knight (1997) A nonparametric approach to the estimation of diffusion processes with an application to a short-term interest rate model. Econometric Theory 13, 615-645.
-
(1997)
Econometric Theory
, vol.13
, pp. 615-645
-
-
Jiang, G.1
Knight, J.2
-
19
-
-
0035602369
-
Nonparametric estimation in null recurrent time series
-
Karlsen, H. & D. Tjøstheim (2001) Nonparametric estimation in null recurrent time series. Annals of Statistics 29, 372-416.
-
(2001)
Annals of Statistics
, vol.29
, pp. 372-416
-
-
Karlsen, H.1
Tjøstheim, D.2
-
20
-
-
84974185463
-
Nonparametric estimation and identification of nonlinear ARCH time series
-
Masry, E. & D. Tjøstheim (1995) Nonparametric estimation and identification of nonlinear ARCH time series. Econometric Theory 11, 258-289.
-
(1995)
Econometric Theory
, vol.11
, pp. 258-289
-
-
Masry, E.1
Tjøstheim, D.2
-
21
-
-
0032357549
-
Nonparametric density estimation and tests of continuous time interest rate models
-
Pritsker, M. (1998) Nonparametric density estimation and tests of continuous time interest rate models. Review of Financial Studies 11, 449-487.
-
(1998)
Review of Financial Studies
, vol.11
, pp. 449-487
-
-
Pritsker, M.1
-
23
-
-
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
-
24
-
-
0009751460
-
Continuous-time methods in finance: A review and an assessment
-
Sundaresan, S. (2001) Continuous-time methods in finance: A review and an assessment. Journal of Finance 55, 1569-1622.
-
(2001)
Journal of Finance
, vol.55
, pp. 1569-1622
-
-
Sundaresan, S.1
|