Pages that link to "Item:Q1362071"

The following pages link to Estimating continuous-time stochastic volatility models of the short-term interest rate (Q1362071):

Displaying 38 items.

• The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach (Q2507934) (← links)
• A unified approach to validating univariate and multivariate conditional distribution models in time series (Q2512595) (← links)
• Estimating dynamic equilibrium models using mixed frequency macro and financial data (Q2630354) (← links)
• Monte Carlo improvement of estimates of the mean-reverting constant elasticity of variance interest rate diffusion (Q2724985) (← links)
• Estimation of stochastic volatility models by nonparametric filtering (Q2826006) (← links)
• Swap rate variance swaps (Q2893208) (← links)
• HJM-based short rate model with stochastic volatilities (Q2951283) (← links)
• (Q3014324) (← links)
• Detecting level shifts in ARMA-GARCH (1,1) Models (Q3184487) (← links)
• The estimations of yields and volatility for short-term interest rate dynamic models (Q3193941) (← links)
• TESTING FOR THE MARKOV PROPERTY IN TIME SERIES (Q3224040) (← links)
• Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution (Q3424331) (← links)
• Nonparametric estimation of the conditional variance function with correlated errors (Q3426257) (← links)
• Nonlinear continuous time modeling approaches in panel research (Q3525702) (← links)
• Designing minimum guaranteed return funds (Q3593608) (← links)
• A TEST OF A GENERAL EQUILIBRIUM STOCK OPTION PRICING MODEL (Q4372018) (← links)
• Interest rate futures: estimation of volatility parameters in an arbitrage-free framework (Q4541546) (← links)
• A finite element approach to the pricing of discrete lookbacks with stochastic volatility (Q4541570) (← links)
• A Gaussian approach for continuous time models of the short-term interest rate (Q4549735) (← links)
• A LATTICE-BASED MODEL FOR EVALUATING BONDS AND INTEREST-SENSITIVE CLAIMS UNDER STOCHASTIC VOLATILITY (Q4571700) (← links)
• Goodness–of–Fit Test for Stochastic Volatility Models (Q4609014) (← links)
• Designing Minimum Guaranteed Return Funds (Q4613809) (← links)
• Stochastic Volatility Corrections for Interest Rate Derivatives (Q4827310) (← links)
• Simulated Likelihood Approximations for Stochastic Volatility Models (Q4828198) (← links)
• Estimating the Short Rate from the Term Structures in the Vasicek Model (Q5176892) (← links)
• NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH (Q5187622) (← links)
• Universal regimes for rates and inflation: the effect of local elasticity on market and counterparty risk (Q5215442) (← links)
• Conditional median absolute deviation (Q5220850) (← links)
• Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck stochastic volatility models (Q5245899) (← links)
• Impact analysis of mean reverting function to short term rate model with stochastic volatilities (Q5382035) (← links)
• Processes with volatility‐induced stationarity: an application for interest rates (Q5438539) (← links)
• Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model (Q5460680) (← links)
• A Note on Non-Negative Continuous Time Processes (Q5473056) (← links)
• The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship (Q5746767) (← links)
• Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model (Q6101076) (← links)
• An affine model for short rates when monetary policy is path dependent (Q6594916) (← links)
• A New Class of Bivariate Threshold Cointegration Models (Q6616613) (← links)
• Parametric inference for diffusion processes observed at discrete points in time: a survey (Q6657951) (← links)