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

DOI10.1016/S0304-4076(96)01819-2zbMATH Open0925.62529OpenAlexW2038509694MaRDI QIDQ1362071FDOQ1362071

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

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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)

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Cited In (85)

• Monte Carlo improvement of estimates of the mean-reverting constant elasticity of variance interest rate diffusion
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• Conditional median absolute deviation
• Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution
• The adaptivity of thresholding wavelet estimators in heteroscedastic nonparametric model with negatively super-additive dependent errors
• Stochastic interest rate volatility modeling with a continuous-time GARCH(1,1) model
• An affine model for short rates when monetary policy is path dependent
• 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
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• Variance function estimation in regression model via aggregation procedures
• Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
• Asymptotic normality of the MLE in the level-effect ARCH model
• Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model
• Estimating dynamic equilibrium models using mixed frequency macro and financial data
• Detecting level shifts in ARMA-GARCH (1,1) Models
• A LATTICE-BASED MODEL FOR EVALUATING BONDS AND INTEREST-SENSITIVE CLAIMS UNDER STOCHASTIC VOLATILITY
• Combination of transition probability distribution and stable Lorentz distribution in stock markets
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