Enhancing Estimation for Interest Rate Diffusion Models With Bond Prices
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Publication:6616626
DOI10.1080/07350015.2015.1089773zbMATH Open1546.62993MaRDI QIDQ6616626FDOQ6616626
Authors: Tao Zou, Song Xi Chen 
Publication date: 9 October 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- Two singular diffusion problems
- A theory of the term structure of interest rates
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- An equilibrium characterization of the term structure
- Positive definite estimators of large covariance matrices
- Title not available (Why is that?)
- Title not available (Why is that?)
- Testable implications of affine term structure models
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Interest rate models -- theory and practice. With smile, inflation and credit
- Parameter estimation and bias correction for diffusion processes
- A test for model specification of diffusion processes
- Estimators of diffusions with randomly spaced discrete observations: a general theory
- Term-structure models. A graduate course
- On the approximate maximum likelihood estimation for diffusion processes
- Measure theory and probability theory.
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