Nonparametric Specification Testing for Continuous-Time Models with Application to Spot Interest Rates

SSRN Electronic Journal ◽

10.2139/ssrn.302310 ◽

2002 ◽

Cited By ~ 2

Author(s):

Haitao Li ◽

Yongmiao Hong

Keyword(s):

Interest Rates ◽

Continuous Time ◽

Specification Testing ◽

Continuous Time Models

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Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates

Review of Financial Studies ◽

10.1093/rfs/hhh006 ◽

2004 ◽

Vol 18 (1) ◽

pp. 37-84 ◽

Cited By ~ 196

Author(s):

Yongmiao Hong ◽

Haitao Li

Keyword(s):

Interest Rates ◽

Term Structure ◽

Continuous Time ◽

Specification Testing ◽

Continuous Time Models

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Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’

Econometrics Journal ◽

10.1111/j.1368-423x.2010.00326.x ◽

2011 ◽

Vol 14 (1) ◽

pp. 126-129 ◽

Cited By ~ 4

Author(s):

Peter C. B. Phillips ◽

Jun Yu

Keyword(s):

Interest Rates ◽

Continuous Time ◽

Short Term ◽

Continuous Time Models

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A survey of stochastic continuous time models of the term structure of interest rates

Insurance Mathematics and Economics ◽

10.1016/0167-6687(94)00009-3 ◽

1994 ◽

Vol 14 (2) ◽

pp. 139-161 ◽

Cited By ~ 11

Author(s):

Kenneth R. Vetzal

Keyword(s):

Interest Rates ◽

Term Structure ◽

Continuous Time ◽

Continuous Time Models

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Gaussian Estimation of Single-Factor Continuous Time Models of The Term Structure of Interest Rates

The Journal of Finance ◽

10.1111/j.1540-6261.1997.tb01127.x ◽

1997 ◽

Vol 52 (4) ◽

pp. 1695-1706 ◽

Cited By ~ 87

Author(s):

K. B. NOWMAN

Keyword(s):

Interest Rates ◽

Term Structure ◽

Continuous Time ◽

Single Factor ◽

Gaussian Estimation ◽

Continuous Time Models

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Estimation of Continuous Time Models for Stock Returns and Interest Rates

SSRN Electronic Journal ◽

10.2139/ssrn.41018 ◽

1997 ◽

Cited By ~ 3

Author(s):

A. Ronald Gallant ◽

George E. Tauchen

Keyword(s):

Interest Rates ◽

Stock Returns ◽

Continuous Time ◽

Continuous Time Models

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Diagnosing Multivariate Continuous-Time Models with Application to Affine Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.858724 ◽

2005 ◽

Cited By ~ 2

Author(s):

Bin Chen ◽

Yongmiao Hong

Keyword(s):

Term Structure ◽

Continuous Time ◽

Affine Term Structure ◽

Affine Term Structure Models ◽

Term Structure Models ◽

Continuous Time Models

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Continuous-Time Models in Corporate Finance, Banking, and Insurance

10.2307/j.ctvc774r0 ◽

2018 ◽

Cited By ~ 1

Author(s):

Santiago Moreno-Bromberg ◽

Jean-Charles Rochet

Keyword(s):

Corporate Finance ◽

Continuous Time ◽

Continuous Time Models

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Identification of MIMO Continuous-Time Models Using Simultaneous Step Inputs

Industrial & Engineering Chemistry Research ◽

10.1021/acs.iecr.5b00481 ◽

2015 ◽

Vol 54 (29) ◽

pp. 7251-7260 ◽

Cited By ~ 1

Author(s):

Salim Ahmed ◽

Syed A. Imtiaz

Keyword(s):

Continuous Time ◽

Continuous Time Models

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Reliable safety analysis with continuous-time models

PAMM ◽

10.1002/pamm.200700381 ◽

2007 ◽

Vol 7 (1) ◽

pp. 1022903-1022904

Author(s):

Youdong Lin ◽

Mark A. Stadtherr

Keyword(s):

Continuous Time ◽

Safety Analysis ◽

Continuous Time Models

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A comparative study of continuous-time models for scheduling of crude oil operations in inland refineries

Computers & Chemical Engineering ◽

10.1016/j.compchemeng.2012.05.009 ◽

2012 ◽

Vol 44 ◽

pp. 141-167 ◽

Cited By ~ 34

Author(s):

Xuan Chen ◽

Ignacio Grossmann ◽

Li Zheng

Keyword(s):

Comparative Study ◽

Crude Oil ◽

Continuous Time ◽

Continuous Time Models

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