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Schätzung von Zinsstrukturen für den SFr.-Kapitalmarkt unter Berücksichtigung von Friktionen

Tobler, Jürg - 1996

Persistent link: https://www.econbiz.de/10013418022

Testing the parametric specification of the diffusion function in a diffusion process

Li, Fuchun - In: Econometric theory 23 (2007) 2, pp. 221-250

Persistent link: https://www.econbiz.de/10003429710

Testing for the diffusion matrix in a continuous-time markov process model with applications to the term structure of interest rates

Li, Fuchun - In: Journal of financial econometrics 19 (2021) 5, pp. 789-822

Persistent link: https://www.econbiz.de/10012799048

Endogenous thresholds ad tests for asymmetry in US prime rate movements

Tkacz, Greg - In: Economics letters 73 (2001) 2, pp. 207-211

Persistent link: https://www.econbiz.de/10001613721

Estimating the fractional order of integration of interest rates using a wavelet OLS estimator

Tkacz, Greg (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 5 (2001) 2, pp. 19-32

Persistent link: https://www.econbiz.de/10001769739

Inflation changes, yield spreads, and threshold effects

Tkacz, Greg - In: International review of economics & finance : IREF 13 (2004) 2, pp. 187-199

Persistent link: https://www.econbiz.de/10002030582

Testing the parametric specification of the diffusion function in a diffusion process

Li, Fuchun - 2005

Persistent link: https://www.econbiz.de/10003205504

Testing for the diffusion matrix in a continuous-time Markov process model with applications to the term structure of interest rates

Li, Fuchun - 2015

The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal...

Persistent link: https://www.econbiz.de/10010531070

Estimating the fractional order of integration of interest rates using a wavelet OLS estimator

Tkacz, Greg - 2000

Persistent link: https://www.econbiz.de/10001453451

Inflation changes, yield spreads, and threshold effects

Tkacz, Greg - 2002

Persistent link: https://www.econbiz.de/10001721026