Likelihood-based specification analysis of continuous-time models of the short-term interest rate

By Garland B. Durham. 2003

117 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/96205fadaf2b85118c547a6d6916ef1f1c1b1718

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Citations in the corpus

Estimation of Continuous-Time Models with an Application to Equity Volatility Dynamics (2006, methodology): “(28) Following the convention in Durham (2003), this general process is labeled as GEN4 and, under appropriate restrictions, subsumes several theoretically appealing models: GEN4: dXt = ( α0 + α1 Xt + α2 X 2 t + α3X −1 t ) dt + √ β0 + β1 Xt + β2 X β3 t dWt. GEN2: dXt = (α0 + α1 Xt) dt + √ β0 + β1…”
Nonlinear Mean Reversion in the Short-Term Interest Rate (2003, unknown): “Examples include Duffie and Singleton (1993), Gourieroux, Monfort, and Renault (1993), Pedersen (1995), Gallant and Tauchen (1996), and Brandt and Santa-Clara (2002).”
Risk factors in oil and gas industry returns: International evidence (2011, methodology): “This method of estimation is typically used when the first two conditional moments are evaluated (see Bansal and Zhou, 2002; Doran and Ronn, 2008; Durham, 2003).”
Stochastic Volatility: Origins and Overview (2008, methodology): “This strategy was implemented for diffusion estimation by Jones (1998), Eraker (2001), Elerian, Chib, and Shephard (2001), and Roberts and Stramer (2001). The MCMC approach works effectively under quite general circumstances, although it is dependent on the ability to generate appropriate and effici”
On Simulated Likelihood of Discretely Observed Diffusion Processes and Comparison to Closed-Form Approximation (2007, methodology): “Two models are fitted: a full model (4.5) of Aït-Sahalia (1996) and a constrained model of (4.5) with α1 = α2 = α3 = 0, denoted by GEN4 and GEN1, respectively (Durham 2003).”
Testing the assumptions behind importance sampling (2009, background): “…sampling include Danielsson (1994), Shephard and Pitt (1997), Durbin and Koopman (1997), Sandmann and Koopman (1998), Durham and Gallant (2002), Durham (2003), Liesenfeld and Richard (2003), Brandt and Kang (2004), Durham (2006), Asai and McAleer (2006), Richard and Zhang (2007), and…”