scientific article; zbMATH DE number 797362

MaRDI QIDQ4848522zbMATH OpenFDO

Authors Carlo Bianchi, R. Cesari, Lorenzo Panattoni

Publication date 17 September 1995

zbMATH Keywords

Cox-Ingersoll-Ross single-factor diffusion model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Recommendations

• Estimating the Cox, ingersoll and Ross model of the term structure: a multivariate approach
• scientific article; zbMATH DE number 1772498
• A Monte Carlo filtering approach for estimating the term structure of interest rates
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• The use of Bayes factors to compare interest rate term structure models

Cited in

(11)

• Small sample properties of ML estimator in Vasicek and CIR models: a simulation experiment
• Monte Carlo improvement of estimates of the mean-reverting constant elasticity of variance interest rate diffusion
• Missing data and interpolation in dynamic term structure models
• Parameter uncertainty in Kalman-Filter estimation of the CIR term-structure model
• The effects of different parameterizations of Markov-switching in a CIR model of bond pricing
• Estimating the Cox, ingersoll and Ross model of the term structure: a multivariate approach
• Estimation of unknown parameters in diffusion models of interest rates of the prices of bonds
• The use of Bayes factors to compare interest rate term structure models
• A Monte Carlo filtering approach for estimating the term structure of interest rates
• Simulation-based Bayesian estimation of an affine term structure model
• Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4848522)