Pages that link to "Item:Q2343761"
From MaRDI portal
The following pages link to Estimation of affine term structure models with spanned or unspanned stochastic volatility (Q2343761):
Displaying 13 items.
- Identification and estimation of Gaussian affine term structure models (Q527947) (← links)
- Staying at zero with affine processes: an application to term structure modelling (Q1676383) (← links)
- How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models? (Q2033711) (← links)
- The SR approach: a new estimation procedure for non-linear and non-Gaussian dynamic term structure models (Q2343755) (← links)
- Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options (Q3117847) (← links)
- Resolving the Spanning Puzzle in Macro-Finance Term Structure Models* (Q4555650) (← links)
- Unspanned stochastic volatility in the multifactor CIR model (Q5241564) (← links)
- Pricing the Excess Volatility in Foreign Exchange Risk Premium and Forward Rate Bias (Q5879349) (← links)
- Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations (Q6196292) (← links)
- Maximum likelihood estimation of latent Markov models using closed-form approximations (Q6199638) (← links)
- Risks and risk premia in the US Treasury market (Q6556142) (← links)
- A Class of Non-Gaussian State Space Models With Exact Likelihood Inference (Q6616634) (← links)
- Restrictions on Risk Prices in Dynamic Term Structure Models (Q6623174) (← links)
