Purebred or hybrid?: Reproducing the volatility in term structure dynamics.

DOI10.1016/S0304-4076(03)00106-4zbMath1045.62108OpenAlexW2116739845MaRDI QIDQ1398977

A. Ronald Gallant, Bin Gao, Robert F. Dittmar, Dong-Hyun Ahn

Publication date: 7 August 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00106-4

zbMATH Keywords

Yield curveTerm structure modelsAffine modelsEfficient method of momentsInverted square root modelsQuadratic modelsSimulation estimators

Mathematics Subject Classification ID

Related Items (10)

ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS ⋮ THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS ⋮ Empirical option pricing: A retrospection ⋮ Early exercise boundary and option prices in Lévy driven models ⋮ PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS ⋮ Discrete time Wishart term structure models ⋮ Pitfalls of the Fourier Transform Method in Affine Models, and Remedies ⋮ ARMA representation of integrated and realized variances ⋮ Unnamed Item ⋮ Testing affine term structure models in case of transaction costs

Cites Work

• The relative efficiency of method of moments estimators
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• A Theory of the Term Structure of Interest Rates
• Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Estimating stochastic differential equations efficiently by minimum chi-squared
• Design and Estimation of Quadratic Term Structure Models *
• An Intertemporal Capital Asset Pricing Model
• Nonparametric Pricing of Interest Rate Derivative Securities
• An equilibrium characterization of the term structure

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