Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a Kalman Filter Model
By Ren‐Raw Chen, Louis O. Scott. 2003
184 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/4dd8c98450d1347ffa3f03bb25b517ce532cc7a5
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
- Anders B. Trolle
- Damir Filipovi'c
- Jan Kallsen
- Martino Grasselli
- Claudio Tebaldi
- Nina Lange
- Ales Cerný
In Finance
- Anders B. Trolle
- Damir Filipovi'c
- Jan Kallsen
- Jens H. E. Christensen
- Glenn D. Rudebusch
- Martino Grasselli
- Claudio Tebaldi
- Eberhard Mayerhofer
Citations in the corpus
- The Term Structure of Interbank Risk (2012, background): “This solution appears to be fairly standard in the empirical term structure literature and is discussed in detail in Chen and Scott (2003).”
- Is Default Event Risk Priced in Corporate Bonds (2003, unknown): “Similar to Chen and Scott (1995), De Jong (2000), Duan and Simonato (1999), and Duffee (1999), we use Quasi Maximum Likelihood (QML) based on the Kalman Filter to estimate our model for the risk-neutral intensity in equations (4)-(7).”
- Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models (2006, unknown): “As in Chen and Scott (2003) , Duffee (1999) and”