A comprehensive analysis of the short-term interest-rate dynamics

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, Nonparametric pricing of interest rate derivatives, Econometrica, 64, 527, 10.2307/2171860 Aït-Sahalia, 1996, Testing continuous-time models of the spot interest rate, Review of Financial Studies, 9, 385, 10.1093/rfs/9.2.385 Alexander, C., Lazar, E., 2005. The continuous time limit of GARCH processes. ISMA Centre Discussion Papers in Finance 2005-02, University of Reading. Andersen, 1997, Estimating continuous-time stochastic models of the short-term interest rate, Journal of Econometrics, 77, 343, 10.1016/S0304-4076(96)01819-2 Bali, 2000, Testing the empirical performance of stochastic volatility models of the short term interest rates, Journal of Financial and Quantitative Analysis, 35, 191, 10.2307/2676190 Ball, 1999, The stochastic volatility of short-term interest rates: Some international evidence, Journal of Finance, 54, 2339, 10.1111/0022-1082.00191 Box, 1962, A further look at robustness via Bayes theorem, Biometrika, 49, 419, 10.2307/2333976 Brenner, 1996, Another look at models of the short term interest rate, Journal of Financial and Quantitative Analysis, 31, 85, 10.2307/2331388 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 Christiansen, 2005, Multivariate term structure models with level and heteroskedasticity effects, Journal of Banking and Finance, 29, 1037, 10.1016/j.jbankfin.2003.11.004 Conley, 1997, Short-term interest rates as subordinated diffusions, Review of Financial Studies, 10, 525, 10.1093/rfs/10.3.525 Das, 2001, The surprise element: Jumps in interest rates, Journal of Econometrics, 106, 27, 10.1016/S0304-4076(01)00085-9 Duffee, 1996, Idiosyncratic variation of treasury bill yields, Journal of Finance, 51, 527, 10.2307/2329370 Duffie, 1996, A yield-factor model of interest rates, Mathematical Finance, 6, 379, 10.1111/j.1467-9965.1996.tb00123.x Durham, 2003, Likelihood-based specification analysis of continuous-time models of the short term interest rates, Journal of Financial Economics, 70, 463, 10.1016/S0304-405X(03)00207-1 Hamilton, 1996, The daily markets for federal funds, Journal of Political Economy, 104, 26, 10.1086/262016 Harvey, 1989 Hong, 2004, Out-of-sample performance of spot interest rate models, Journal of Business and Economic Statistics, 22, 457, 10.1198/073500104000000433 Hong, 2005, Nonparametric specification testing for continuous-time models with applications to spot interest rates, Review of Financial Studies, 18, 37, 10.1093/rfs/hhh006 Jiang, 1998, Nonparametric modeling of US interest rate term structure dynamics and implications on the prices of derivative securities, Journal of Financial and Quantitative Analysis, 33, 465, 10.2307/2331128 Johannes, 2004, The statistical and economic role of jumps in continuous-time interest rate models, Journal of Finance, 59, 227, 10.1111/j.1540-6321.2004.00632.x Jones, 2003, Nonlinear mean reversion in the short-term interest rate, Review of Financial Studies, 16, 793, 10.1093/rfs/hhg014 Kim, 1998, Stochastic volatility: Likelihood inference and comparison with ARCH models, Review of Economic Studies, 65, 361, 10.1111/1467-937X.00050 Koedijk, 1997, The dynamics of short-term interest rate volatility revisited, European Finance Review, 1, 105, 10.1023/A:1009714314989 Longstaff, 1992, Interest-rate volatility and the term structure: A two factor general equilibrium model, Journal of Finance, 47, 1259, 10.2307/2328939 Nelson, 1990, Stationarity and persistence in the GARCH(1,1) model, Econometric Theory, 6, 318, 10.1017/S0266466600005296 Nelson, 1991, Conditional heteroskedasticity in asset returns: A new approach, Econometrica, 59, 347, 10.2307/2938260 Piazzesi, 2005, Bond yields and the federal reserve, Journal of Politicial Economy, 113, 311, 10.1086/427466 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 Spencer, 1999, An arbitrage-free model of the yield gap, The Manchester School Supplement, 116, 10.1111/1467-9957.67.s1.6 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 Subbotin, 1923, On the law of frequency of error, Matematicheskii Sbornik, 31, 296