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A tale of two yield curves : modeling the joint term structure of dollar and euro interest rates
Egorov, Alexej V.; Li, Haitao; Ng, David Tat-chee - In: Journal of econometrics 162 (2011) 1, pp. 55-70
Persistent link: https://www.econbiz.de/10009270706
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Validating forecasts of the joint probability density of bond yields : can affine models beat random walk?
Egorov, Alexej V.; Hong, Yongmiao; Li, Haitao - In: Journal of econometrics 135 (2006) 1/2, pp. 255-284
Persistent link: https://www.econbiz.de/10003376084
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Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?
Egorov, Alexei V.; Hong, Yongmiao; Li, Haitao - In: Journal of econometrics 135 (2006) 1, pp. 255-284
Persistent link: https://www.econbiz.de/10007279938
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Maximum likelihood estimation of time-inhomogeneous diffusions
Egorov, Alexej V.; Li, Haitao; Xu, Yuewu - In: Journal of econometrics 114 (2003) 1, pp. 107-139
Persistent link: https://www.econbiz.de/10001738921
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Maximum likelihood estimation of time-inhomogeneous diffusions
Egorov, Alexei V.; Li, Haitao; Xu, Yuewu - In: Journal of econometrics 114 (2003) 1, pp. 107-140
Persistent link: https://www.econbiz.de/10006763313
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Can the random walk model be beaten in out-of-sample density forecasts? : Evidence form intraday foreign exchange rates
Hong, Yongmiao; Li, Haitao; Zhao, Feng - In: Journal of econometrics 141 (2007) 2, pp. 736-776
Persistent link: https://www.econbiz.de/10003571349
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Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
Hong, Yongmiao; Li, Haitao; Zhao, Feng - In: Journal of econometrics 141 (2007) 2, pp. 736-776
Persistent link: https://www.econbiz.de/10007859771