Indirect robust estimation of the short-term interest rate process

Ahn, 1999, A parametric nonlinear model of term structure dynamics, Review of Financial Studies, 12, 721, 10.1093/rfs/12.4.721 Aït-Sahalia, 1996, Testing continuous-time models of the spot interest rate, Review of Financial Studies, 9, 385, 10.1093/rfs/9.2.385 Aït-Sahalia, 1999, Transition densities for interest rate and other nonlinear diffusions, Journal of Finance, 54, 1361, 10.1111/0022-1082.00149 Aït-Sahalia, 2002, Maximum likelihood estimation of discretely sampled diffusions: a closed-form approximation approach, Econometrica, 70, 223, 10.1111/1468-0262.00274 Andersen, 1997, Estimating continuous time stochastic volatility models of the short term interest rate, Journal of Econometrics, 77, 343, 10.1016/S0304-4076(96)01819-2 Beskos, 2006, Exact and computationally efficient likelihood-based estimation for discretely observed diffusion processes, Journal of the Royal Statistical Society, 68, 1 Brennan, 1977, Savings bonds, retractable bonds, and callable bonds, Journal of Financial Economics, 3, 133 Brenner, 1996, Another look at models of the short-term interest rate, Journal of Financial and Quantitative Analysis, 31, 85, 10.2307/2331388 Broze, 1995, Testing for continuous-time models of the short-term interest rate, Journal of Empirical Finance, 2, 199, 10.1016/0927-5398(95)00003-D Chan, 1992, An empirical comparison of alternative models of the short-term interest rate, Journal of Finance, 47, 1209, 10.2307/2328983 Chapman, 2000, Is the short rate drift actually nonlinear?, Journal of Finance, 55, 355, 10.1111/0022-1082.00208 Chapman, 1999, Using proxies for the short-rate: when are three months like an instant?, Review of Financial Studies, 12, 763, 10.1093/rfs/12.4.763 Cox, 1981, A re-examination of traditional hypotheses about the term structure of interest rates, Journal of Finance, 36, 769, 10.2307/2327547 Cox, 1985, A theory of the term structure of interest rates, Econometrica, 53, 385, 10.2307/1911242 Dell'Aquila, 2003, Robust GMM analysis of models for the short rate process, Journal of Empirical Finance, 10, 373, 10.1016/S0927-5398(02)00050-6 Dothan, 1978, On the term structure of interest rates, Journal of Financial Economics, 6, 59, 10.1016/0304-405X(78)90020-X Durham, 2003, Likelihood-based specification analysis of continuous-time models of the short-term interest rate, Journal of Financial Economics, 70, 463, 10.1016/S0304-405X(03)00207-1 Durham, 2002, Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes, Journal of Business and Economic Statistics, 20, 279, 10.1198/073500102288618397 Elerian, 2001, Likelihood inference for discretely observed nonlinear diffusions, Econometrica, 69, 959, 10.1111/1468-0262.00226 Eraker, 2001, MCMC analysis of diffusion models with application to finance, Journal of Business and Economic Statistics, 19, 177, 10.1198/073500101316970403 Gallant, 1996, Which moments to match?, Econometric Theory, 12, 657, 10.1017/S0266466600006976 Genton, 2003, Robust indirect inference, Journal of the American Statistical Association, 98, 67, 10.1198/016214503388619102 Gouriéroux, 1996 Gouriéroux, 1993, Indirect inference, Journal of Applied Econometrics, 8, S85, 10.1002/jae.3950080507 Hong, 2005, Nonparametric specification testing for continuous-time models with applications to term structure of interest rates, Review of Financial Studies, 18, 37, 10.1093/rfs/hhh006 Johannes, 2004, The statistical and economic role of jumps in interest rates, Journal of Finance, 59, 227, 10.1111/j.1540-6321.2004.00632.x Ortelli, 2005, Robust efficient method of moments, Journal of Econometrics, 128, 69, 10.1016/j.jeconom.2004.08.008 Pritsker, 1998, Nonparametric density estimation and tests of continuous time interest rate models, Review of Financial Studies, 11, 449, 10.1093/rfs/11.3.449 Ronchetti, 2001, Robust inference with GMM estimators, Journal of Econometrics, 101, 37, 10.1016/S0304-4076(00)00073-7 Stanton, 1997, A nonparametric model of term structure dynamics and the market price of interest rate risk, Journal of Finance, 52, 1973, 10.2307/2329471 Vasicek, 1977, An equilibrium characterization of the term structure, Journal of Financial Economics, 5, 177, 10.1016/0304-405X(77)90016-2