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 50 items.

• Local \(M\)-estimation for conditional variance function with dependent data (Q289728) (← links)
• Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility (Q291114) (← links)
• Econometric estimation in long-range dependent volatility models: theory and practice (Q299258) (← links)
• The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model (Q356137) (← links)
• Estimating the long rate and its volatility (Q500503) (← links)
• Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law (Q734413) (← links)
• Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance (Q736698) (← links)
• Threshold estimation of Markov models with jumps and interest rate modeling (Q737264) (← links)
• A simple measure for examining the proxy problem of the short-rate (Q841846) (← links)
• Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview (Q862564) (← links)
• An empirical comparison of GARCH option pricing models (Q867119) (← links)
• A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity (Q946272) (← links)
• Approximating volatility diffusions with CEV-ARCH models (Q956536) (← links)
• Catalytic discrete state branching models and related limit theorems (Q960182) (← links)
• Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
• A statistical comparison of the short-term interest rate models for Japan, U.S., and Germany (Q1000416) (← links)
• On the applicability of stochastic volatility models (Q1010565) (← links)
• Consistent estimation in regression models for the drift function in some continuous time models (Q1023597) (← links)
• Overparameterization in the seminonparametric density estimation (Q1274179) (← links)
• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study (Q1298478) (← links)
• The relative efficiency of method of moments estimators (Q1302762) (← links)
• Estimation of stochastic volatility models with diagnostics (Q1372927) (← links)
• How sensitive is short-term Japanese interest rate volatility to the level of the interest rate? (Q1389482) (← links)
• Purebred or hybrid?: Reproducing the volatility in term structure dynamics. (Q1398977) (← links)
• Direct estimation of the risk neutral factor dynamics of Gaussian term structure models (Q1410572) (← links)
• Using discrete-time techniques to test continuous-time models for nonlinearity in drift (Q1418613) (← links)
• Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility models (Q1591488) (← links)
• Exit dynamics of start-up firms: structural estimation using indirect inference (Q1754522) (← links)
• Doubly penalized likelihood estimator in heteroscedastic regression (Q1771433) (← links)
• When to refinance a mortgage: a dynamic programming approach (Q1779558) (← links)
• Indirect estimation of ARFIMA and VARFIMA models (Q1808561) (← links)
• Notes on financial econometrics (Q1841088) (← links)
• Markov chain Monte Carlo methods for stochastic volatility models. (Q1867723) (← links)
• Decision-making for stock trading based on trading probability by considering whole market movement (Q1877038) (← links)
• Conservative delta hedging. (Q1884835) (← links)
• Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes (Q1927109) (← links)
• Nonparametric estimation of stochastic volatility models (Q1929062) (← links)
• Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1 (Q2032212) (← links)
• Asymptotic normality of the MLE in the level-effect ARCH model (Q2066488) (← links)
• Combination of transition probability distribution and stable Lorentz distribution in stock markets (Q2072272) (← links)
• The adaptivity of thresholding wavelet estimators in heteroscedastic nonparametric model with negatively super-additive dependent errors (Q2131961) (← links)
• The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions (Q2271413) (← links)
• Modeling the term structure of interest rates with general diffusion processes: a moment approximation approach (Q2271607) (← links)
• Stochastic interest rate volatility modeling with a continuous-time GARCH(1,1) model (Q2349619) (← links)
• Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump (Q2379076) (← links)
• Inference for stochastic volatility models using time change transformations (Q2380088) (← links)
• An extension of Heston's SV model to stochastic interest rates (Q2423541) (← links)
• Consistent dynamic affine mortality models for longevity risk applications (Q2445991) (← links)
• Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models (Q2463649) (← links)
• Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions (Q2480221) (← links)