Estimating continuous-time stochastic volatility models of the short-term interest rate

DOI10.1016/S0304-4076(96)01819-2MaRDI QIDQ1362071zbMATH OpenOpenAlexFDO

Authors Torben G. Andersen, Jesper Lund

Publication date 12 August 1997

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4076(96)01819-2

zbMATH Keywords

stochastic volatilitycontinuous-time estimationshort-term interest rate

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES
• The Dynamics of Short-Term Interest Rate Volatility Reconsidered
• A Gaussian approach for continuous time models of the short-term interest rate

Cites work

• scientific article; zbMATH DE number 5010687 (Why is no real title available?)
• scientific article; zbMATH DE number 51202 (Why is no real title available?)
• scientific article; zbMATH DE number 88834 (Why is no real title available?)
• scientific article; zbMATH DE number 1222811 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A theory of the term structure of interest rates
• ARCH modeling in finance. A review of the theory and empirical evidence
• An equilibrium characterization of the term structure
• Analysis of time series subject to changes in regime
• Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
• Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models
• Asymptotic normality and consistency of semi-nonparametric regression estimators using an upwards \(F\) test truncation rule
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• Common Persistence in Conditional Variances
• Computer Generation of Random Variables Using the Ratio of Uniform Deviates
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• ERA's: A New Approach to Small Sample Theory
• ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES
• Encompassing and indirect inference
• Estimating stochastic differential equations efficiently by minimum chi-squared
• Generalized autoregressive conditional heteroscedasticity
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Large Sample Properties of Generalized Method of Moments Estimators
• Nonparametric Pricing of Interest Rate Derivative Securities
• Nonparametric estimation of structural models for high-frequency currency market data
• On the asymptotic normality of Fourier flexible form estimates
• Qualitative and asymptotic performance of SNP density estimators
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Semi-Nonparametric Maximum Likelihood Estimation
• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• Simulated Moments Estimation of Markov Models of Asset Prices
• The Dynamics of Short-Term Interest Rate Volatility Reconsidered

Cited in

(92)

• Simulated Likelihood Approximations for Stochastic Volatility Models
• Testing for the Markov property in time series
• Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump
• Stochastic Volatility Corrections for Interest Rate Derivatives
• Doubly penalized likelihood estimator in heteroscedastic regression
• A Note on Non-Negative Continuous Time Processes
• Approximating volatility diffusions with CEV-ARCH models
• A unified approach to validating univariate and multivariate conditional distribution models in time series
• Parametric and nonparametric models and methods in financial econometrics
• A finite element approach to the pricing of discrete lookbacks with stochastic volatility
• Impact analysis of mean reverting function to short term rate model with stochastic volatilities
• Estimation of stochastic volatility models with diagnostics
• Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility
• Goodness-of-fit test for stochastic volatility models
• A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity
• Consistent estimation in regression models for the drift function in some continuous time models
• The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship
• Regime-switching univariate diffusion models of the short-term interest rate
• A multifactor, nonlinear, continuous-time model of interest rate votality
• Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance
• The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
• The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model
• Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview
• A statistical comparison of the short-term interest rate models for Japan, U.S., and Germany
• On the applicability of stochastic volatility models
• An empirical comparison of GARCH option pricing models
• Indirect estimation of ARFIMA and VARFIMA models
• Estimation of stochastic volatility models by nonparametric filtering
• scientific article; zbMATH DE number 1538072 (Why is no real title available?)
• Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck stochastic volatility models
• Designing minimum guaranteed return funds
• Purebred or hybrid?: Reproducing the volatility in term structure dynamics.
• A Gaussian approach for continuous time models of the short-term interest rate
• Nonparametric filtering of the realized spot volatility: a kernel-based approach
• ESTIMATES OF THE SHORT-TERM RATE PROCESS IN AN ARBITRAGE-FREE FRAMEWORK
• Designing minimum guaranteed return funds
• Catalytic discrete state branching models and related limit theorems
• An extension of Heston's SV model to stochastic interest rates
• Using discrete-time techniques to test continuous-time models for nonlinearity in drift
• HJM-based short rate model with stochastic volatilities
• The Dynamics of Short-Term Interest Rate Volatility Reconsidered
• Threshold estimation of Markov models with jumps and interest rate modeling
• Nonparametric estimation of stochastic volatility models
• Estimating the long rate and its volatility
• Estimating the Short Rate from the Term Structures in the Vasicek Model
• When to refinance a mortgage: a dynamic programming approach
• Notes on financial econometrics
• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
• Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model
• The relative efficiency of method of moments estimators
• Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility models
• Inference for stochastic volatility models using time change transformations
• Conservative delta hedging.
• Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions
• Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models
• Processes with volatility‐induced stationarity: an application for interest rates
• Direct estimation of the risk neutral factor dynamics of Gaussian term structure models
• Local \(M\)-estimation for conditional variance function with dependent data
• Exit dynamics of start-up firms: structural estimation using indirect inference
• Econometric estimation in long-range dependent volatility models: theory and practice
• Overparameterization in the seminonparametric density estimation
• Nonparametric estimation of the conditional variance function with correlated errors
• Markov chain Monte Carlo methods for stochastic volatility models.
• Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law
• Swap rate variance swaps
• Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
• A simple measure for examining the proxy problem of the short-rate
• Nonlinear continuous time modeling approaches in panel research
• Consistent dynamic affine mortality models for longevity risk applications
• scientific article; zbMATH DE number 5926129 (Why is no real title available?)
• Stochastic interest rate volatility modeling with a continuous-time GARCH(1,1) model
• Monte Carlo improvement of estimates of the mean-reverting constant elasticity of variance interest rate diffusion
• Detecting level shifts in ARMA-GARCH (1,1) Models
• The estimations of yields and volatility for short-term interest rate dynamic models
• Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1
• A New Class of Bivariate Threshold Cointegration Models
• Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
• A LATTICE-BASED MODEL FOR EVALUATING BONDS AND INTEREST-SENSITIVE CLAIMS UNDER STOCHASTIC VOLATILITY
• Conditional median absolute deviation
• An affine model for short rates when monetary policy is path dependent
• Combination of transition probability distribution and stable Lorentz distribution in stock markets
• The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach
• The adaptivity of thresholding wavelet estimators in heteroscedastic nonparametric model with negatively super-additive dependent errors
• Modeling the term structure of interest rates with general diffusion processes: a moment approximation approach
• Asymptotic normality of the MLE in the level-effect ARCH model
• Estimating dynamic equilibrium models using mixed frequency macro and financial data
• Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model
• Parametric inference for diffusion processes observed at discrete points in time: a survey
• Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution
• Variance function estimation in regression model via aggregation procedures
• Decision-making for stock trading based on trading probability by considering whole market movement
• Universal regimes for rates and inflation: the effect of local elasticity on market and counterparty risk

This page was built for publication: Estimating continuous-time stochastic volatility models of the short-term interest rate

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1362071)