Nonlinear Mean Reversion in the Short-Term Interest Rate

By Christopher S. Jones. 2003

163 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0fd3e0c1f8f775137b97142b294088e6c6b721c0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Garland B. Durham
2. Pierre Collin-Dufresne
3. Richard Stanton
4. Robert S. Goldstein
5. Christopher S. Jones
6. G. Duffee
7. J. Wu
8. Drew D. Creal

In Finance

1. Pierre Collin-Dufresne
2. Garland B. Durham
3. Robert S. Goldstein
4. Christopher S. Jones
5. Richard Stanton
6. J. Wu
7. G. Duffee
8. Kenneth J. Singleton

Citations in the corpus

• The dynamics of stochastic volatility: evidence from underlying and options markets (2003, background): “Simulation results in Jones ( 2002 ) suggest that the Euler approximation is accurate even in more nonlinear models .”
• Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility (2004, methodology): “Xt+h −Xt ∼ N (( a + bXt ) h, ( Ω0 + ΩV (Vt − V ) ) h ) Econometric approach • Bayesian MCMC related to Jones (2003), Lamoureaux and Witte (2002), Bester (2004), Sanford and Martin (2003), and Polson, Stroud, and Müller (2001) • Diffusion process: dXt ∼ N ( ( a + bXt ) dt, ( Ω0 + ΩV (Vt − V ) ) dt…”
• Mutual Fund Performance with Learning Across Funds (2005, unknown): “9 Stambaugh (1997) and Jones (2003) also explore the frequentist properties of Bayesian procedures in financial contexts. application of a given prior to hypothetical data reveals properties that are inconsistent with one's intuition about how a properly specified procedure should behave, then it…”
• Estimation of Dynamic Term Structure Models (2012, background): “Efficient Method of Moments is a GMM estimator, and it is well-known that the finite-sample properties of GMM can deteriorate seriously as the number of overidentifying restrictions increases [See, for example, Tauchen (1986), Kocherlakota (1990), Ferson and Foerster (1994), and Hansen, Heaton, and ”
• Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets (2002, unknown): “…the usual problems with nonparametric density estimation: a slower convergence rate (in the number of simulations) and the curse of dimensionality.1 The SML approach relates also to the Markov chain Monte Carlo (MCMC) approach described by Jones (2000a), Elerian et al. (2001), and Eraker (2001).”
• Likelihood-based specification analysis of continuous-time models of the short-term interest rate (2003, methodology): “The econometric techniques used in this paper are closely related to the Markov Chain Monte Carlo methods used by Eraker (2001), Jones (1999), Elerian et al. ARTICLE IN PRESS (2001), and Kim et al. (1998).”