We estimate and compare a variety of continuous‐time models of the short‐term riskless rate
using the Generalized Method of Moments. We find that the most successful models in …

This article presents the first application in finance of recently developed methods for the
Gaussian estimation of continuous time dynamic models. A range of one factor continuous …

This paper estimates real term structures from cross-sections of British government index-
linked ('realrd) bond prices. The Cox, Ingersoll, and Ross (1985) model is then fitted to the …

The objective of this paper is to estimate and test multifactor versions of the Cox‐Ingersoll‐
Ross (CIR) model of the nominal term structure of interest rates. The proposed state‐space …

This paper analyses the effect of interest rate uncertainty on the shape of the forward rate
curve. We consider a broad class of term structure models characterized by an affine relation …

Our main goal is to investigate the question of which interest‐rate options valuation models
are better suited to support the management of interest‐rate risk. We use the German market …

This article tests the performance of a wide variety of well‐known continuous time models—
with particular emphasis on the Black, Derman, and Toy (1990; henceforth BDT) term …

The time-changing dependence in stock markets is investigated by assuming the
multifractional process with random exponent (MPRE) as model for actual log price …

The pricing of bonds and bond options with default risk is analysed in the general
equilibrium model of Cox, Ingersoll, and Ross (1985). This model is extended by means of …

We describe a simple but effective method for the estimation of the market price of risk. The
basic idea is to compare the results obtained by following two different approaches in the …