References
- FORC, 97/80 Kalman Filtering of Generalized Vasicek Term Structure Models Babbs,S.;K.B.Nowman
- FORC, 94/49 A Theory of the Term Structure with an Official Short Rate Babbs,S.;N.Webber
- FORC 95/61 Term Structure Modelling Under Alternative Official Regimes Babbs,S.;N.Webber
- NBER Working paper, 4347.4 A Model of Target Changes and the Term Structure of Interest Rates Balduzzi,P.;G.Bertola;S.Foresi
- Journal of Financial and Quantitative Analysis v.18 A Simplified Jump Process for Common Stock Returns Ball,C.A.;W.N.Torous https://doi.org/10.2307/2330804
- Journal of Finance v.XL On Jumps in Comon Stock Prices and Their Impact on Call Option Pricing Ball,C.A.;W.N.Torous
- Review of Financial Studies v.9 Jumps and Stochastic Volatility : Exchange Rate Processes Implicit in Deusche Mark Options Bates,D.S. https://doi.org/10.1093/rfs/9.1.69
- Journal of Fixed Income Analytical Approximations of the Term Structure for Jump-Diffusion Processes : A Numerical Analysis Baz,J.;S.R.Das
- Journal of Financial and Quantitative Analysis v.XVI A Note on Estimating the Parameters of the Diffusion-Jump Model of Stock Returns Becker,S.
- Ecometrica v.53 A Theory of the Term Structure of Interest Rate Cox,J.;J.Ingersoll;S.Ross
- Journal of Banking and Finance v.20 On alternative Interest Rate Processes Dahlquist,M.
- Mathematical Finance A Yield Factor Model of Interest Rates Duffie,D.;R.Kan
- Journal of Econometrics v.35 Forecasting and Testing in Cointegrated System Engle,R.;S.Yoo https://doi.org/10.1016/0304-4076(87)90085-6
- Journal of Economic Dynamics and Control v.12 Rational Expectations Econometric Analysis of Changes in Regime: An Investigation of the Term Structure of Interest Rates Hamilton,J.D. https://doi.org/10.1016/0165-1889(88)90047-4
- Time Series Analysis Hamilton,J.D.
- Interest Rate Modelling James,J.;N.Webber
- FORC, 94/48 A Model of UK LIBOR as a Jump-Diffusion Process Veruete,L.;N.Webber