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Pricing with finite dimensional dependence
Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 187 (2015) 2, pp. 408-417
Persistent link: https://www.econbiz.de/10011499694
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Threshold estimation of Markov models with jumps and interest rate modeling
Mancini, Cecilia; Renò, Roberto - In: Journal of econometrics 160 (2011) 1, pp. 77-92
Persistent link: https://www.econbiz.de/10009242541
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Staying at zero with affine processes : an application to term structure modelling
Monfort, Alain; Pegoraro, Fulvio; Renne, Jean-Paul; … - In: Journal of econometrics 201 (2017) 2, pp. 348-366
Persistent link: https://www.econbiz.de/10011920515
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Infinite Markov pooling of predictive distributions
Jin, Xin; Maheu, John M.; Yang, Qiao - In: Journal of econometrics 228 (2022) 2, pp. 302-321
Persistent link: https://www.econbiz.de/10013441752
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Purebred or hybrid? : reproducing the volatility in term structure dynamics
Ahn, Dong-Hyun; Dittmar, Robert F.; Gallant, A. Ronald; … - In: Journal of econometrics 116 (2003) 1/2, pp. 147-180
Persistent link: https://www.econbiz.de/10001772146
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The surprise element: jumps in interest rates
Das, Sanjiv R. - In: Journal of econometrics 106 (2002) 1, pp. 27-65
Persistent link: https://www.econbiz.de/10001633688
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Realized jumps on financial markets and predicting credit spreads
Tauchen, George Eugene; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 102-118
Persistent link: https://www.econbiz.de/10009242533
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An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
Choi, Hwan-sik; Jeong, Minsoo; Park, Joon Y. - In: Journal of econometrics 178 (2014) 1, pp. 539-557
Persistent link: https://www.econbiz.de/10010256867
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Market-based estimation of stochastic volatility models
Aït-Sahalia, Yacine; Amengual, Dante; Manresa, Elena - In: Journal of econometrics 187 (2015) 2, pp. 418-435
Persistent link: https://www.econbiz.de/10011499700
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Estimation of affine term structure models with spanned or unspanned stochastic volatility
Creal, Drew; Wu, Jing Cynthia - In: Journal of econometrics 185 (2015) 1, pp. 60-81
Persistent link: https://www.econbiz.de/10011339903