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1. Estimating Parameters of Short-Term Real Interest Rate Models. (2013). Khramov, Vadim.
   In: IMF Working Papers.
   RePEc:imf:imfwpa:2013/212.

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2. The dynamics of bank loans short-term interest rates in the Euro area: what lessons can we draw from the current crisis?. (2013). SEVESTRE, Patrick ; Horny, Guillaume ; Avouyi-Dovi, Sanvi ; Avouyi-Dovi, S. Patrick Sevestre., .
   In: Working papers.
   RePEc:bfr:banfra:462.

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3. Simulated Maximum Likelihood Estimation for Latent Diffusion Models. (2012). Yu, Jun ; Kleppe, Tore ; Skaug, Hans J..
   In: Working Papers.
   RePEc:siu:wpaper:12-2012.

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4. Simulated Maximum Likelihood Estimation for Latent Diffusion Models. (2011). Yu, Jun ; Kleppe, Tore ; Skaug, Hans J..
   In: Working Papers.
   RePEc:siu:wpaper:10-2011.

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5. Predicting Short-Term Interest Rates: Does Bayesian Model Averaging Provide Forecast Improvement?. (2011). Tsiaplias, Sarantis ; Suardi, Sandy ; Chua, Chew.
   In: Melbourne Institute Working Paper Series.
   RePEc:iae:iaewps:wp2011n01.

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6. Multifractal modeling of short-term interest rates. (2011). Lovsletten, O. ; Rypdal, M..
   In: Papers.
   RePEc:arx:papers:1111.5265.

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7. Continuous time modeling of interest rates: An empirical study on the Turkish short rate. (2010). Bayracı, Selçuk ; Bayraci, Selcuk ; Unal, Gazanfer.
   In: MPRA Paper.
   RePEc:pra:mprapa:28091.

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8. Improving the term structure of interest rates: two-factor models. (2010). Gomez-Valle, Lourdes ; Julia Martínez-Rodríguez, .
   In: International Journal of Finance & Economics.
   RePEc:ijf:ijfiec:v:15:y:2010:i:3:p:275-287.

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9. Modeling the dynamics of Chinese spot interest rates. (2010). Lin, Hai ; Hong, Yongmiao ; Wang, Shouyang.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:34:y:2010:i:5:p:1047-1061.

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10. Swap Rate Variance Swaps. (2009). Merener, Nicolas.
    In: Business School Working Papers.
    RePEc:udt:wpbsdt:2009-02.

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11. Bayesian estimation of stochastic volatility models based on OU processes with marginal Gamma law. (2009). Fruhwirth-Schnatter, Sylvia ; Sogner, Leopold.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:61:y:2009:i:1:p:159-179.

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12. Estimating continuous-time stochastic volatility models of the short-term interest rate: a comparison of the generalized method of moments and the Kalman filter. (2009). Sapp, Travis .
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:33:y:2009:i:4:p:303-326.

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13. The limiting properties of the QMLE in a general class of asymmetric volatility models. (2008). Iglesias, Emma ; Dahl, Christian.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-38.

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14. FIEGARCH-M and and International Crises: A Cross-Country Analysis. (2008). Zhu, Jie.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-16.

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15. Pricing Volatility of Stock Returns with Volatile and Persistent Components. (2008). Zhu, Jie.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-14.

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16. Econometric estimation in long-range dependent volatility models: Theory and practice. (2007). GAO, Jiti ; Casas, Isabel.
    In: MPRA Paper.
    RePEc:pra:mprapa:11981.

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17. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models. (2007). Benzoni, Luca ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12962.

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18. A Simple Measure for Examining the Proxy Problem of the Short-Rate. (2007). Takamizawa, Hideyuki.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:14:y:2007:i:4:p:341-361.

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19. Term-structure estimation in markets with infrequent trading. (2007). Naranjo, Lorenzo F. ; Cortazar, Gonzalo ; Schwartz, Eduardo S..
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:12:y:2007:i:4:p:353-369.

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20. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models. (2007). Benzoni, Luca ; Andersen, Torben.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-25.

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21. Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates. (2007). Christiansen, Charlotte.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-05.

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22. Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach. (2007). Kristensen, Dennis.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-02.

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23. Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models. (2006). Singer, Hermann.
    In: Computational Statistics.
    RePEc:spr:compst:v:21:y:2006:i:3:p:385-397.

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24. The Dynamics of the Short-Term Interest Rate in the UK. (2005). Bernales, Alejandro ; Beuermann, Diether ; Antoniou, Antonios.
    In: Finance.
    RePEc:wpa:wuwpfi:0512029.

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25. ESTIMATING SINGLE FACTOR JUMP DIFFUSION INTEREST RATE MODELS. (2005). Sorwar, Ghulam.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:56.

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26. Estimation of an Adaptive Stock Market Model with Heterogeneous Agents. (2005). Amilon, Henrik.
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0177.

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27. Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates.. (2005). Christiansen, Charlotte.
    In: Finance Research Group Working Papers.
    RePEc:hhb:aarbfi:2005-03.

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28. Money market integration. (2005). Hilton, Spence.
    In: Staff Reports.
    RePEc:fip:fednsr:227.

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29. Indirect Robust Estimation of the Short-term Interest Rate Process. (2005). Karolyi, G. ; Czellar, Veronika ; Ronchetti, Elvezio.
    In: Working Paper Series.
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30. The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach. (2004). Runggaldier, Wolfgang ; Bhar, Ram ; Hung, Hing.
    In: Finance.
    RePEc:wpa:wuwpfi:0409002.

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31. A Comparison of Alternative Nonparametric Estimators of the Short Rate Diffusion Coefficient. (2004). Renò, Roberto ; Schaefer, Stephen ; Reno, Roberto ; Roma, Antonio.
    In: Department of Economics University of Siena.
    RePEc:usi:wpaper:445.

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32. Nonparametric Estimation of Convergence of Interest Rates: Effects on Bond Pricing. (2004). Gómez Biscarri, Javier ; Corzo, Teresa ; Santamaria, Teresa Corzo.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0304.

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33. Bayesian Analysis of Continuous Time Models of the Australian Short Rate. (2004). Martin, Gael ; Sanford, Andrew D..
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-11.

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34. On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts. (2004). Spagnolo, Fabio ; Sola, Martin ; Kenc, Turalay ; Driffill, Edward.
    In: CEPR Discussion Papers.
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35. Estimation of an Adaptive Stock Market Model with Heterogeneous Agents. (2003). Amilon, Henrik.
    In: Research Paper Series.
    RePEc:uts:rpaper:107.

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36. Cross-country differences in monetary policy execution and money market rates volatility. (2003). .
    In: Staff Reports.
    RePEc:fip:fednsr:175.

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37. The execution of monetary policy: a tale of two central banks. (2003). .
    In: Staff Reports.
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38. The overnight interbank market: Evidence from the G-7 and the Euro zone. (2003). Bertola, Giuseppe.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:27:y:2003:i:10:p:2045-2083.

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39. Which Model for the Italian Interest Rates?. (2002). Renò, Roberto ; M. Gentile, R. Reno, ; Dosi, Giovanni ; Castaldi, Carolina.
    In: LEM Papers Series.
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40. Disturbing Extremal Behavior of Spot Rate Dynamics. (2002). Bali, Turan G. ; Neftci, Salih N..
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2002-03.

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41. The Overnight Interbank Market: Evidence from the G7 and the Euro Zone. (2002). Bertola, Giuseppe.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3090.

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42. Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm. (2001). Runggaldier, Wolfgang ; Bhar, Ram.
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43. Jump-diffusion term structure and Ito conditional moment generator. (2001). Zhou, Hao.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2001-28.

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44. Short and Long Memory in Equilibrium Interest Rate Dynamics. (2001). Jacobs, Kris ; Duan, Jin-Chuan.
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45. Moments of the ARMA-EGARCH Model. (2000). Karanasos, Menelaos ; Kim, J..
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46. A multivariate latent factor decomposition of international bond yield spreads. (2000). pagan, adrian ; Martin, Vance.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:15:y:2000:i:6:p:697-715.

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47. Day-to-day monetary policy and the volatility of the federal funds interest rate. (2000). Bertola, Giuseppe.
    In: Staff Reports.
    RePEc:fip:fednsr:110.

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48. On identification of continuous time stochastic processes. (2000). Berkowitz, Jeremy.
    In: Finance and Economics Discussion Series.
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49. Fundamental Properties of Bond Prices in Models of the Short-Term Rate. (2000). Mele, Antonio.
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50. Time-series and Cross-section Information in Affine Term Structure Models. (1999). de Jong, Frank.
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