1. PDE-Based Bayesian Inference of CEV Dynamics for Credit Risk in Stock Prices. (2024). Nakamura, Nobuhiro ; Kato, Kensuke.
   In: Asia-Pacific Financial Markets.
   RePEc:kap:apfinm:v:31:y:2024:i:2:d:10.1007_s10690-023-09420-z.

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2. Closed-Form Formula for the Conditional Moment-Generating Function Under a Regime-Switching, Nonlinear Drift CEV Process, with Applications to Option Pricing. (2024). Sutthimat, Phiraphat ; Chumpong, Kittisak ; Mekchay, Khamron ; Nualsri, Fukiat.
   In: Mathematics.
   RePEc:gam:jmathe:v:12:y:2024:i:17:p:2667-:d:1465337.

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3. A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks. (2023). Rodrigues, Paulo ; Seeger, Norman J ; Schlag, Christian ; Pollastri, Alessandro.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:70:y:2023:i:c:p:322-341.

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4. Closed-form formula for conditional moments of generalized nonlinear drift CEV process. (2022). Rujivan, Sanae ; Sutthimat, Phiraphat ; Mekchay, Khamron.
   In: Applied Mathematics and Computation.
   RePEc:eee:apmaco:v:428:y:2022:i:c:s0096300322002879.

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5. GMM estimation of affine term structure models. (2020). Hlouskova, Jaroslava ; Sogner, Leopold.
   In: Econometrics and Statistics.
   RePEc:eee:ecosta:v:13:y:2020:i:c:p:2-15.

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6. Risk Premia and Volatilities in a Nonlinear Term Structure Model*. (2018). Illeditsch, Philipp ; Feldhutter, Peter ; Heyerdahl-Larsen, Christian.
   In: Review of Finance.
   RePEc:oup:revfin:v:22:y:2018:i:1:p:337-380..

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7. Bank Holdings and Systemic Risk. (2018). Harris, Jeffrey ; Brunetti, Celso ; Mankad, Shawn.
   In: Finance and Economics Discussion Series.
   RePEc:fip:fedgfe:2018-63.

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8. Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise. (2017). Lee, Wooyong ; Wefelmeyer, Wolfgang ; Greenwood, Priscilla E ; Heckman, Nancy.
   In: Statistical Inference for Stochastic Processes.
   RePEc:spr:sistpr:v:20:y:2017:i:2:d:10.1007_s11203-016-9141-5.

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9. Equity index variance: Evidence from flexible parametric jump–diffusion models. (2017). Rodrigues, Paulo ; Seeger, Norman J ; Kaeck, Andreas.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:83:y:2017:i:c:p:85-103.

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10. Bayesian testing for short term interest rate models. (2017). Chen, Zhongtian ; Li, Yong ; Zhang, Yonghui.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:20:y:2017:i:c:p:146-152.

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11. Chasing volatility. (2017). Santucci de Magistris, Paolo ; Rossi, Eduardo ; Caporin, Massimiliano.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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12. SHORT RATE FORECASTING BASED ON THE INFERENCE FROM THE CIR MODEL FOR MULTIPLE YIELD CURVE DYNAMICS. (2016). Dokuchaev, Nikolai ; Hin, Lin-Yee.
    In: Annals of Financial Economics (AFE).
    RePEc:wsi:afexxx:v:11:y:2016:i:01:n:s2010495216500044.

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13. Price and volatility co-jumps. (2016). Renò, Roberto ; Reno, R ; Bandi, F M.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:119:y:2016:i:1:p:107-146.

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14. GMM Estimation of Affine Term Structure Models. (2015). Hlouskova, Jaroslava ; Sogner, Leopold.
    In: Economics Series.
    RePEc:ihs:ihsesp:315.

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15. Hysteresis bands on returns, holding period and transaction costs. (2015). Puopolo, Giovanni ; Dumas, Bernard ; Delgado, Francisco.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:57:y:2015:i:c:p:86-100.

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16. GMM Estimation of Affine Term Structure Models. (2015). Hlouskova, Jaroslava ; Sogner, Leopold.
    In: Papers.
    RePEc:arx:papers:1508.01661.

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17. Modelling the short-term interest rate with stochastic differential equation in continuous time: linear and nonlinear models. (2014). Uwilingiye, Josine ; Muteba Mwamba, John Weirstrass ; Thabo, Lethaba .
    In: MPRA Paper.
    RePEc:pra:mprapa:64386.

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18. Chasing Volatility. A Persistent Multiplicative Error Model With Jumps. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo ; Caporin, Massimiliano.
    In: Marco Fanno Working Papers.
    RePEc:pad:wpaper:0186.

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19. Are regime-shift sources of risk priced in the market?. (2014). Tzavalis, Elias ; Dendramis, Yiannis ; Chourdakis, Kyriakos.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:28:y:2014:i:c:p:151-170.

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20. Chasing volatility - A persistent multiplicative error model with jumps. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo ; Caporin, Massimiliano.
    In: CREATES Research Papers.
    RePEc:aah:create:2014-29.

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21. .

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22. Modeling the Dynamics of Chinese Spot Interest Rates. (2013). Hong, Yongmiao ; Wang, Shouyang ; Lin, Hai.
    In: Working Papers.
    RePEc:wyi:wpaper:001998.

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23. The quality of public information and the term structure of interest rates. (2013). Lundtofte, Frederik.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:40:y:2013:i:4:p:715-740.

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24. Predicting short-term interest rates using Bayesian model averaging: Evidence from weekly and high frequency data. (2013). Tsiaplias, Sarantis ; Suardi, Sandy ; Chua, Chew.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:29:y:2013:i:3:p:442-455.

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25. An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil. (2013). Li, Minqiang.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:22:y:2013:i:c:p:128-139.

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26. Stock Market Asymmetries: A Copula Diffusion. (2012). Stefanova, Denitsa.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20120125.

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27. Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels. (2012). Gospodinov, Nikolay ; Hirukawa, Masayuki.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:4:p:595-609.

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28. In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008. (2011). Swanson, Norman ; Cai, Lili.
    In: Departmental Working Papers.
    RePEc:rut:rutres:201102.

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29. Interest rate dynamics in Kenya. (2011). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Gil-Alaa, Luis Alberiko.
    In: NCID Working Papers.
    RePEc:nva:unnvaa:wp10-2011.

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30. 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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31. In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008. (2011). Swanson, Norman ; Cai, Lili.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:4:p:743-764.

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32. Modelling and forecasting short-term interest rate volatility: A semiparametric approach. (2011). Suardi, Sandy ; Hou, Ai Jun.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:4:p:692-710.

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33. 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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34. Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions. (2011). Choi, Seungmoon.
    In: School of Economics Working Papers.
    RePEc:adl:wpaper:2011-26.

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35. Un modelo de tres factores con un parámetro de sensibilidad de mercado para estimar la dinámica de la tasa corta: Una aplicación para la tasa de fondeo gubernamental de México. (2010). Ruiz-Porras, Antonio ; Perez-Sicairos, Rene Benjamin .
    In: MPRA Paper.
    RePEc:pra:mprapa:26631.

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36. Inference for stochastic volatility models using time change transformations. (2010). Kalogeropoulos, Konstantinos ; Dellaportas, Petros ; Roberts, Gareth O..
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:31421.

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37. 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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38. 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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39. 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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40. Can interest rate volatility be extracted from the cross section of bond yields?. (2009). GOLDSTEIN, ROBERT S. ; Collin-Dufresne, Pierre ; Jones, Christopher S..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:94:y:2009:i:1:p:47-66.

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41. Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate. (2009). Choi, Seungmoon.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:13:y:2009:i:1:n:4.

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42. Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes. (2008). Gospodinov, Nikolay ; Hirukawa, Masayuki.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2008cf573.

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43. A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation. (2008). Li, Minqiang.
    In: MPRA Paper.
    RePEc:pra:mprapa:11185.

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44. A minimum Hellinger distance estimator for stochastic differential equations: An application to statistical inference for continuous time interest rate models. (2008). Lubrano, Michel ; Giet, Ludovic.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:52:y:2008:i:6:p:2945-2965.

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45. Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels. (2008). Gospodinov, Nikolay ; Hirukawa, Masayuki.
    In: Working Papers.
    RePEc:crd:wpaper:08011.

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46. Mean Reversion in US and International Short Rates. (2008). Christiansen, Charlotte.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-47.

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47. A positive interest rate model with sticky barrier. (2007). Кабанов, Юрий ; Kabanov, Yuri ; Rinaz, Sofiane ; Kijima, Masaaki.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:7:y:2007:i:3:p:269-284.

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48. Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions. (2007). Bali, Turan .
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:151:y:2007:i:1:p:151-178:10.1007/s10479-006-0116-6.

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49. Timing Decisions in a Multinational Context: Implementing the Amin/Bodurtha Framework. (2007). Schneider, Paul ; Schwaiger, Markus S. ; Fruhwirth, Manfred.
    In: Multinational Finance Journal.
    RePEc:mfj:journl:v:11:y:2007:i:3-4:p:157-178.

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50. 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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51. Likelihood-based inference for a class of multivariate diffusions with unobserved paths. (2007). Kalogeropoulos, Konstantinos.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:31423.

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52. Inference for stochastic volatility models using time change transformations. (2007). Kalogeropoulos, Konstantinos ; Dellaportas, Petros ; Roberts, Gareth O..
    In: Papers.
    RePEc:arx:papers:0711.1594.

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53. 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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54. 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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55. Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility. (2006). Steel, Mark ; Griffin, Jim.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:134:y:2006:i:2:p:605-644.

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56. The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment. (2006). Siklos, Pierre ; Haug, Alfred.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:10:y:2006:i:4:n:6.

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57. Bayesian comparison of several continuous time models of the Australian short rate. (2006). Martin, Gael ; Sanford, Andrew D..
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:46:y:2006:i:2:p:309-326.

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58. Do Financial Planners Take Financial Crashes In Their Advice: Dynamic Asset Allocation Under Thick Tails And Fast Volatility Updating. (2006). Telfah, Ahmad.
    In: API-Working Paper Series.
    RePEc:api:apiwps:0604.

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59. Mutual fund performance with learning across funds. (2005). Shanken, Jay ; Jones, Christopher S..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:78:y:2005:i:3:p:507-552.

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60. Simulation-based Bayesian estimation of an affine term structure model. (2005). Martin, Gael ; Sanford, Andrew D..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:49:y:2005:i:2:p:527-554.

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61. The Term Spread International Evidence of Non-Linear Adjustment. (2004). Siklos, Pierre ; Haug, Alfred.
    In: Working Papers.
    RePEc:yca:wpaper:2002_08.

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62. 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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63. 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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64. 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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65. A semiparametric single-factor model of the term structure. (2004). Kristensen, Dennis.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24741.

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66. 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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67. .

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