Enhancing Estimation for Interest Rate Diffusion Models With Bond Prices

DOI10.1080/07350015.2015.1089773MaRDI QIDQ6616626zbMATH OpenFDO

Authors Tao Zou, Song Xi Chen

Publication date 9 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A test for model specification of diffusion processes
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Estimators of diffusions with randomly spaced discrete observations: a general theory
• Interest rate models -- theory and practice. With smile, inflation and credit
• Large Sample Properties of Generalized Method of Moments Estimators
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Measure theory and probability theory.
• On the approximate maximum likelihood estimation for diffusion processes
• Parameter estimation and bias correction for diffusion processes
• Positive definite estimators of large covariance matrices
• Term-structure models. A graduate course
• Testable implications of affine term structure models
• Two singular diffusion problems

This page was built for publication: Enhancing Estimation for Interest Rate Diffusion Models With Bond Prices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6616626)