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1. Diagnosing affine models of options pricing: Evidence from VIX. (2013). Li, Gang ; Zhang, Chu.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:107:y:2013:i:1:p:199-219.

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2. Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes. (2012). Zhou, Qiankun ; Yu, Jun.
   In: Working Papers.
   RePEc:siu:wpaper:11-2012.

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3. What Drives Short Rate Dynamics? A Functional Gradient Descent Approach. (2012). Audrino, Francesco.
   In: Computational Economics.
   RePEc:kap:compec:v:39:y:2012:i:3:p:315-335.

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4. Local GMM estimation of time series models with conditional moment restrictions. (2012). Otsu, Taisuke ; Gospodinov, Nikolay.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:170:y:2012:i:2:p:476-490.

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5. Stationarity-based specification tests for diffusions when the process is nonstationary. (2012). Ait-Sahalia, Yacine ; Park, Joon Y..
   In: Journal of Econometrics.
   RePEc:eee:econom:v:169:y:2012:i:2:p:279-292.

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6. A martingale approach for testing diffusion models based on infinitesimal operator. (2011). SONG, ZHAOGANG.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:162:y:2011:i:2:p:189-212.

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7. Threshold estimation of Markov models with jumps and interest rate modeling. (2011). Renò, Roberto ; Reno, Roberto ; Mancini, Cecilia.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:160:y:2011:i:1:p:77-92.

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8. 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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9. 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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10. 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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11. Mean reversion in US and international short rates. (2010). Christiansen, Charlotte.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:21:y:2010:i:3:p:286-296.

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12. A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation. (2010). Li, Minqiang.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:2:p:132-157.

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13. Nonparametric density estimation for positive time series. (2010). Rombouts, Jeroen ; Bouezmarni, Taoufik ; Rombouts, Jeroen V. K., .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:54:y:2010:i:2:p:245-261.

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14. REWEIGHTED FUNCTIONAL ESTIMATION OF DIFFUSION MODELS. (2010). Xu, Ke-Li.
    In: Econometric Theory.
    RePEc:cup:etheor:v:26:y:2010:i:02:p:541-563_10.

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15. Short-term spot rate models with nonparametric deterministic drift. (2009). Al-Zoubi, Haitham.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:49:y:2009:i:3:p:731-747.

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16. Empirical likelihood-based inference for nonparametric recurrent diffusions. (2009). Xu, Ke-Li.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:153:y:2009:i:1:p:65-82.

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17. Unstable volatility functions: the break preserving local linear estimator. (2009). Casas, Isabel ; Gijbels, Irene.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-48.

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18. Modelling the term structure of interest rates: An efficient nonparametric approach. (2008). Gomez-Valle, Lourdes ; Martinez-Rodriguez, Julia.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:4:p:614-623.

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19. Indirect robust estimation of the short-term interest rate process. (2007). Karolyi, G. ; Czellar, Veronika ; Ronchetti, Elvezio.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:4:p:546-563.

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20. Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates. (2007). LI, HAITAO ; Hong, Yongmiao ; Zhao, Feng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:2:p:736-776.

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21. Practitioners Corner. (2006). Canopius, Adam.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:4:y:2006:i:2:p:346-351.

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22. A Semiparametric Two-Factor Term Structure Model. (2006). Yuan, Mingwei ; Li, Fuchun.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:4:y:2006:i:2:p:204-237.

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23. A comprehensive analysis of the short-term interest-rate dynamics. (2006). Wu, Liuren ; Bali, Turan G..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:4:p:1269-1290.

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24. On the estimation and comparison of short-rate models using the generalised method of moments. (2006). faff, robert ; Gray, Philip.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:11:p:3131-3146.

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25. Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?. (2006). LI, HAITAO ; Hong, Yongmiao ; Egorov, Alexei.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:135:y:2006:i:1-2:p:255-284.

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26. Multivariate Jacobi process with application to smooth transitions. (2006). Jasiak, Joann ; gourieroux, christian.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:131:y:2006:i:1-2:p:475-505.

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27. Nonparametric estimation of stochastic volatility models. (2006). Renò, Roberto ; Reno, Roberto.
    In: Economics Letters.
    RePEc:eee:ecolet:v:90:y:2006:i:3:p:390-395.

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28. Nonparametric estimation of diffusion process: a closer look. (2005). Di Miscia, Orazio.
    In: Finance.
    RePEc:wpa:wuwpfi:0504016.

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29. Regime shifts in interest rate volatility. (2005). Sun, Licheng.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:12:y:2005:i:3:p:418-434.

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30. Threshold nonlinear interest rates. (2005). Shively, Philip A..
    In: Economics Letters.
    RePEc:eee:ecolet:v:88:y:2005:i:3:p:313-317.

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31. Drift and diffusion function specification for short-term interest rates. (2005). Lee, Myoung-jae ; Li, Wen-Juan.
    In: Economics Letters.
    RePEc:eee:ecolet:v:86:y:2005:i:3:p:339-346.

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32. An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate. (2005). Lo, Ingrid.
    In: Staff Working Papers.
    RePEc:bca:bocawp:05-45.

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33. 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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34. Nonparametric Estimation of the Diffusion Coefficient via Fourier Analysis, with Aplication to Short Rate Modeling. (2004). Renò, Roberto ; Reno, Roberto.
    In: Department of Economics University of Siena.
    RePEc:usi:wpaper:440.

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35. ON THE SMALL SAMPLE PROPERTIES OF DICKEY FULLER AND MAXIMUM LIKELIHOOD UNIT ROOT TESTS ON DISCRETE-SAMPLED SHORT-TERM INTEREST RATES. (2004). Rodrigues, Paulo ; Paulo M. M. Rodrigues, ; Rubia, Antonio.
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36. Regime shifts in a dynamic term structure model of U.S. Treasury bond yields. (2004). Singleton, Kenneth ; Yang, Wei ; Dai, Qiang.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2004:i:mar:x:11.

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37. Conditional estimation of diffusion processes. (2004). Li, Minqiang ; Pearson, Neil D. ; Poteshman, Allen M..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:74:y:2004:i:1:p:31-66.

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38. General equilibrium real and nominal interest rates. (2004). lioui, abraham ; Poncet, Patrice.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:7:p:1569-1595.

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39. A selective overview of nonparametric methods in financial econometrics. (2004). Fan, Jianqing.
    In: Papers.
    RePEc:arx:papers:math/0411034.

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40. Nonparametric Methods in Continuous-Time Finance: A Selective Review. (2003). Hong, Yongmiao ; CAI, ZONGWU.
    In: SFB 373 Discussion Papers.
    RePEc:zbw:sfb373:200315.

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41. Quasi-maximum likelihood estimates of Kiwi short-term interest rate. (2003). Treepongkaruna, Sirimon.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:10:y:2003:i:15:p:937-942.

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42. Asset Pricing Under The Quadratic Class. (2002). Wu, Liuren ; Leippold, Markus.
    In: Finance.
    RePEc:wpa:wuwpfi:0207015.

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43. 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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44. A Non-Parametric Dimension Test of the Term Structure. (2002). Rubio, Gonzalo.
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200201.

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45. Short-term interest rate dynamics: a spatial approach. (2002). Bandi Federico M., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:65:y:2002:i:1:p:73-110.

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46. Nonparametric tests of conditional mean-variance efficiency of a benchmark portfolio. (2002). Wang, Kevin Q..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:2:p:133-169.

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47. The surprise element: jumps in interest rates. (2002). Das, Sanjiv.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:106:y:2002:i:1:p:27-65.

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48. Short rate nonlinearities and regime switches. (2002). Bekaert, Geert ; Ang, Andrew.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:26:y:2002:i:7-8:p:1243-1274.

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49. Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate. (2001). Yu, Jun ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1309.

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50. A nonparametric dimension test of the term structure. (2001). Gil-Bazo, Javier ; Rubio, Gonzalo.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb012106.

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