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2. Bond and option prices with permanent shocks. (2019). Al-Zoubi, Haitham A.
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3. Local Lagged Adapted Generalized Method of Moments: An Innovative Estimation and Forecasting Approach and its Applications. (2019). Olusegun, Otunuga ; Nathan, Ladde ; Gangaram, Ladde.
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4. Numerical and analytical methods for bond pricing in short rate convergence models of interest rates. (2016). Buckova, Zuzana ; Sevcovic, Daniel ; Stehlikova, Beata.
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5. Through the looking glass: Indirect inference via simple equilibria. (2015). Calvet, Laurent ; Czellar, Veronika.
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6. Modeling the Dynamics of Chinese Spot Interest Rates. (2013). Hong, Yongmiao ; Wang, Shouyang ; Lin, Hai.
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7. Indirect Inference in fractional short-term interest rate diffusions. (2013). Laurini, Márcio ; Hotta, Luiz.
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8. Optimal risk transfer under quantile-based risk measurers. (2013). Verdonck, Tim ; Asimit, Alexandru V. ; Badescu, Alexandru M..
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9. On the Choice of the Unit Period in Time Series Models. (2011). Fuleky, Peter.
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11. Modelling and forecasting short-term interest rate volatility: A semiparametric approach. (2011). Suardi, Sandy ; Hou, Ai Jun.
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12. state-observation sampling and the econometrics of learning models. (2011). Calvet, Laurent ; Czellar, Veronika.
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14. Generalized Methods of Trimmed Moments. (2009). Cizek, Pavel.
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17. Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates. (2008). Christiansen, Charlotte.
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1. Forecasts of U.S. short-term interest rates: a flexible forecast combination approach. (2007). Guidolin, Massimo ; Timmerman, Allan.
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2. Affine Macroeconomic Models of the Term Structure of Interest Rates: The US Treasury Market 1961-99. (2006). Spencer, Peter.
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3. Are feedback factors important in modelling financial data?. (2006). Veiga, Helena.
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4. The Dynamics of the Short-Term Interest Rate in the UK. (2005). Bernales, Alejandro ; Beuermann, Diether ; Antoniou, Antonios.
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5. ESTIMATING SINGLE FACTOR JUMP DIFFUSION INTEREST RATE MODELS. (2005). Sorwar, Ghulam.
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6. Discounting the distant future: How much does model selection affect the certainty equivalent rate?. (2005). Pantelidis, Theologos ; Panopoulou, Ekaterini ; Koundouri, Phoebe ; Groom, Ben.
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7. A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions. (2005). Phillips, Peter ; Bandi, Federico M..
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8. Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates. (2004). Fendel, Ralf.
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9. Calibration of Interest Rate Models - Transition Market Case. (2004). Vojtek, Martin.
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10. On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates. (2004). Rodrigues, Paulo ; Rubia, Antonio.
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11. Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications. (2004). Wagner, Niklas ; Junker, Markus ; Szimayer, Alexander.
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12. Does the Term Spread Play a Role in the Feds Reaction Function? An Empirical Investigation. (2004). Vázquez, Jesús.
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13. Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC. (2004). Zhang, Xibin ; King, Maxwell ; Hyndman, Rob.
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14. Bayesian Analysis of Continuous Time Models of the Australian Short Rate. (2004). Martin, Gael ; Sanford, Andrew D..
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15. The term structure of real rates and expected inflation. (2004). Bekaert, Geert ; Ang, Andrew.
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16. Regime shifts in a dynamic term structure model of U.S. Treasury bond yields. (2004). Singleton, Kenneth ; Yang, Wei ; Dai, Qiang.
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17. Does the Term Spread play a role in the FEDs reaction function? An Empirical Investigation. (2004). .
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18. Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC. (2004). King, Maxwell ; Hyndman, Rob ; Zhang, Xibin.
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19. Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?. (2004). Vázquez, Jesús.
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20. Market Valuation and Risk Assessment of Canadian Banks. (2004). Yuan, Mingwei ; Liu, Ying ; Papakirykos, Eli .
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21. Inference With Non-Gaussian Ornstein-Uhlenbeck Processes for Stochastic Volatility. (2003). Steel, Mark ; Griffin, James E..
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22. Exchange Rate Regimes and Volatility: Comparison of the Snake and Visegrad. (2003). Valachy, Juraj ; Kočenda, Evžen.
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23. A two-factor model of the German term structure of interest rates. (2003). Luis, Jorge ; Cassola, Nuno.
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24. Quasi-maximum likelihood estimates of Kiwi short-term interest rate. (2003). Treepongkaruna, Sirimon.
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25. Bootstrap Specification Tests for Diffusion Processes. (2003). Swanson, Norman ; Corradi, Valentina.
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26. Does the Black-Scholes formula work for electricity markets? A nonparametric approach. (2003). Hjalmarsson, Erik.
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27. Itô conditional moment generator and the estimation of short rate processes. (2003). Zhou, Hao.
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28. Nonparametric specification tests for conditional duration models. (2003). Grammig, Joachim ; Fernandes, Marcelo.
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29. Asset Pricing Under The Quadratic Class. (2002). Wu, Liuren ; Leippold, Markus.
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30. Which Model for the Italian Interest Rates?. (2002). Renò, Roberto ; M. Gentile, R. Reno, ; Dosi, Giovanni ; Castaldi, Carolina.
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31. Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries. (2002). Vahid, Farshid ; Athanasopoulos, George ; Anderson, Heather.
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32. Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?. (2002). .
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33. A Non-Parametric Dimension Test of the Term Structure. (2002). Rubio, Gonzalo.
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34. An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices. (2001). Jagannathan, Ravi ; Sun, Steve Guoqiang ; Kaplin, Andrew.
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35. Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate. (2001). Yu, Jun ; Phillips, Peter.
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36. A nonparametric dimension test of the term structure. (2001). Gil-Bazo, Javier ; Rubio, Gonzalo.
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37. An Asset Allocation Puzzle: Comment. (2001). Portait, Roland ; Jordan, James V. ; Bajeux-Besnainou, Isabelle.
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38. On identification of continuous time stochastic processes. (2000). Berkowitz, Jeremy.
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39. Accelerated Asymptotics for Diffusion Model Estimation. (2000). Phillips, Peter ; Bandi, Federico.
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40. Structural Breaks in the Cointegrated Vector Autoregressive Model. (2000). Hansen, Peter.
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41. Strong Rules for Detecting the Number of Breaks in a Time Series. (2000). Corradi, Valentina ; Altissimo, Filippo.
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42. Structural Changes in the Cointegrated Vector Autoregressive Model. (2000). Hansen, Peter.
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43. Nonparametric Estimation of Multifactor Continuous Time Interest-Rate Models. (1999). Downing, Christopher T..
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44. A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility. (1999). Richardson, Matthew ; Boudoukh, Jacob.
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45. A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility. (1999). Whitelaw, Robert ; Stanton, Richard ; Richardson, Matthew ; Boudoukh, Jacob.
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46. Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets. (1999). Remolona, Eli ; Fung, Ben.
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47. Regime Switches in Interest Rates. (1998). Bekaert, Geert ; Ang, Andrew.
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48. A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure. (1998). Ng, Serena ; Ghysels, Eric.
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49. A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure. (1997). Ng, Serena ; Ghysels, Eric.
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50. Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models. (). Zhang, Harold ; Liu, Ming.
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