1 |
Ait-Sahalia, Y. 1996. "Testing Continuous-Time Models of the Spot Interest Rate," Review of Financial Studies, vol. 9, no. 2, pp. 385-426.
DOI
|
2 |
Ait-Sahalia, Y. 1999. "Transition Densities for Interest Rate and Other Nonlinear Diffusions," Journal of Finance, vol. 54, no. 4, pp. 1361-1395.
DOI
|
3 |
Ait-Sahalia, Y. 2002. "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach," Econometrica, vol. 70, no. 1, pp. 223-262.
DOI
|
4 |
Ait-Sahalia, Y. 2008. "Closed-Form Likelihood Expansions for Multivariate Diffusions," Annals of Statistics, vol. 36, no. 2, pp. 906-937.
DOI
|
5 |
Ait-Sahalia, Y. and R. Kimmel. 2007. "Maximum Likelihood Estimation of Stochastic Volatility Models," Journal of Financial Economics, vol. 83, no. 2, pp. 413-452.
DOI
|
6 |
Ait-Sahalia, Y. and R. Kimmel. 2010. "Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions," Journal of Financial Economics, vol. 98, no. 1, pp. 113-144.
DOI
|
7 |
Akaike, H. 1973. "Information Theory and an Extension of the Maximum Likelihood Principle, In Petrov, B. N. and F. Csaki. (eds.) Second International Symposium on Information Theory. Budapest: Akademiai Kiado. pp. 267-281.
|
8 |
Akgiray, V. and G. G. Booth. 1988. "Mixed Diffusion-Jump Process Modeling of Exchange Rate Movements," Review of Economics and Statistics, vol. 70, no. 4, pp. 631-637.
DOI
|
9 |
Bakshi, G. and N. Ju. 2005. "A Refinement to Ait-Sahaliais. 2000. Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach," Journal of Business, vol. 78, no. 5, pp. 2037-2052.
DOI
|
10 |
Bakshi, G., Ju, N. and H. Ou-Yang. 2006. "Estimation of Continuous-time Models with an Application to Equity Volatility," Journal of Financial Economics, vol. 82, no. 1, pp. 227-249.
DOI
|
11 |
Bollerslev, T. and H. Zhou. 2002. "Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility," Journal of Econometrics, vol. 109, no. 1, pp. 33-65.
DOI
|
12 |
Baldeaux, J., Grasselli, M. and E. Platen. 2015. "Pricing Currency Derivatives under the Benchmark Approach," Journal of Banking and Finance, vol. 53, pp. 34-48.
DOI
|
13 |
Bates, D. S. 1996. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options," Review of Financial Studies, vol. 9, no. 1, pp. 69-107.
DOI
|
14 |
Black, F. and M. Scholes. 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, vol. 81, no. 3, pp. 637-654.
DOI
|
15 |
Chan, K., Karolyi, G. A., Longstaff, F. and A. Sanders. 1992. "An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, vol. 47, no. 3, pp. 1209-1227.
DOI
|
16 |
Chang, J. and S. X. Chen. 2011. "On the Approximate Maximum Likelihood Estimation For Diffusion Processes," Annals of Statistics, vol. 39, no. 6, pp. 2820-2851.
DOI
|
17 |
Choi, S. 2009. "Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate," Studies in Nonlinear Dynamics & Econometrics, vol. 13, no. 1, Article 4. (accessed January 21, 2020)
|
18 |
Choi, S. 2013. "Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions," Journal of Econometrics, vol. 174, no. 2, pp. 45-65.
DOI
|
19 |
Choi, S. 2015. "Explicit Form of Approximate Transition Probability Density Functions of Diffusion Processes," Journal of Econometrics, vol. 187, no. 1, pp. 57-73.
DOI
|
20 |
Choi, S. 2019. Approximate Transition Probability Density Function of a Multivariate Time-inhomogeneous Jump Diffusion Process in a Closed-Form Expression, Working paper, University of Seoul.
|
21 |
Cox, J. C., Ingersoll, J. E. and S. A. Ross. 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, vol. 53, no. 2, pp. 385-407.
DOI
|
22 |
Egorov, A. V., Li, H. and Y. Xu. 2003. "Maximum Likelihood Estimation of Time Inhomogeneous Diffusions," Journal of Econometrics, vol. 114, no.1, pp. 107-139.
DOI
|
23 |
Froot, K. A. and M. Obstfeld. 1991a. "Exchange-Rate Dynamics under Stochastic Regime Shifts: A Unified Approach," Journal of International Economics, vol. 31, no. 3-4, pp. 203-229.
DOI
|
24 |
Garman, M. B. and S. Kohlhagen.1983. "Foreign Currency Option Values," Journal of International Money and Finance, vol. 2, no. 3, pp. 231-237.
DOI
|
25 |
Goutte, S. and B. Zou. 2013. "ContinuousTime Regime-Switching Model Applied to Foreign Exchange Rate," Mathematical Finance Letters, Article ID 8.
|
26 |
Grabbe, J. O. 1983. "The Pricing of Call and Put Options on Foreign Exchange," Journal of International Money and Finance, vol. 2, no. 3, pp. 239-253.
DOI
|
27 |
Krugman, P. R. 1991. "Target Zones and Exchange Rate Dynamics," Quarterly Journal of Economics, vol. 106, no. 3, pp. 669-682.
DOI
|
28 |
Larsen, K. S. and M. Sorensen. 2007. "Diffusion Models for Exchange Rates in a Target Zone," Mathematical Finance, vol. 17, no. 2, pp. 285-306.
DOI
|
29 |
Li, M. 2010. "A Damped Diffusion Framework for Financial Modelingand Closed-Form Maximum Likelihood Estimation," Journal of Economic Dynamics and Control, vol. 34, no. 2, pp. 132-157.
DOI
|
30 |
Merton, R. C. 1973. "Theory of Rational Option Pricing," Bell Journal of Economics and Management Science, vol. 4, no. 1, pp. 141-183.
DOI
|
31 |
Schwarz, G. 1978. "Estimating the Dimension of a Model," Annals of Statistics, vol. 6, no. 2, pp. 461-464.
DOI
|
32 |
Froot, K. A. and M. Obstfeld. 1991b. "Stochastic Process Switching: Some Simple Solutions," Econometrica, vol. 59, no. 1, pp. 241-250.
DOI
|
33 |
Swishchuk, A., Tertychnyi, M. and W. Hoang. 2014. "Currency Derivatives Pricing for Markov-Modulated Merton Jump-Diffusion Spot Forex Rate," Journal of Mathematical Finance, vol. 4, no. 4, pp. 265-278.
DOI
|
34 |
Tucker, A. L. and E. Scott. 1987. "A Study of Diffusion Processes for Foreign Exchange Rates," Journal of International Money and Finance, vol. 6, no. 4, pp. 465-478.
DOI
|
35 |
Vasicek, O. 1977. "An Equilibrium Characterization of the Term Structure," Journal of Financial Economics, vol. 5, no. 2, pp. 177-188.
DOI
|
36 |
Yu, J. 2007. "Closed-Form Likelihood Approximation and Estimation of Jump-Diffusions with an Applicaiton to the Realignment Risk of the Chinese Yuan," Journal of Econometrics, vol. 141, no. 2, pp. 1245-1280.
DOI
|