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Testing for continuous-time models of the short-term interest rate. (1995). Zakoian, Jean-Michel ; Scaillet, Olivier ; Broze, Laurence.
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:2:y:1995:i:3:p:199-223.

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  2. Further Results on Pseudo?Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model. (2020). Iglesias, Emma.
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  3. Forecasting Interest Rates Using Geostatistical Techniques. (2015). arbia, giuseppe ; di Marcantonio, Michele .
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  4. A semi-Markov modulated interest rate model. (2013). Salvi, Giovanni ; Manca, Raimondo ; Damico, Guglielmo.
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  5. Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels. (2012). Gospodinov, Nikolay ; Hirukawa, Masayuki.
    In: Journal of Empirical Finance.
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  6. Analytic valuation formulas for range notes and an affine term structure model with jump risks. (2010). Jang, Bong-Gyu ; Yoon, Jihee.
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  7. Indirect inference in structural econometric models. (2010). Li, Tong.
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  8. A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity. (2008). Rodrigues, Paulo ; Rubia, Antonio.
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  9. Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels. (2008). Gospodinov, Nikolay ; Hirukawa, Masayuki.
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  10. Application of the Generalized Method of Moments for Estimating Continuous-Time Models of U.S. Short-Term Interest Rates. (2008). Cserna, Balazs.
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  11. Term-structure estimation in markets with infrequent trading. (2007). Schwartz, Eduardo S. ; Naranjo, Lorenzo F. ; Cortazar, Gonzalo.
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  12. Indirect robust estimation of the short-term interest rate process. (2007). Karolyi, G. ; Ronchetti, Elvezio ; Czellar, Veronika .
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  15. Estimation of threshold time series models using efficient jump MCMC. (2005). Agbeyegbe, Temisan ; Goldman, Elena.
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  16. The performance of unit root tests under level-dependent heteroskedasticity. (2005). Rodrigues, Paulo ; Rubia, Antonio.
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  17. Indirect Robust Estimation of the Short-term Interest Rate Process. (2005). Karolyi, G. ; Czellar, Veronika ; Ronchetti, Elvezio .
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  18. Modelling conditional heteroscedasticity and jumps in Australian short-term interest rates. (2005). Chan, Kam Fong.
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  19. On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates. (2004). Rodrigues, Paulo ; Rubia, Antonio.
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  21. Modeling the stochastic behavior of short-term interest rates: Pricing implications for discount bonds. (2003). Bali, Turan G..
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  22. Robust GMM analysis of models for the short rate process. (2003). Trojani, Fabio ; Dell'Aquila, Rosario, ; Ronchetti, Elvezio .
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  26. A nonparametric dimension test of the term structure. (2001). Gil-Bazo, Javier ; Rubio, Gonzalo.
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  27. Monte Carlo Improvement of Estimates of the Mean-Reverting Constant Elasticity of Variance Interest Rate Diffusion. (2001). Christensen, Bent Jesper ; Rolf, Poulsen ; Jesper, Christensen Bent .
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  28. An Empirical Estimation in Credit Spread Indices. (2000). Scaillet, Olivier ; Prigent, Jean-Luc ; Renault, O..
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  29. Further evidence on alternative continuous time models of the short-term interest rate. (2000). Episcopos, Athanasios.
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  30. Estimating the implied distribution of the future short term interest rate using the Longstaff-Schwartz model. (2000). Hördahl, Peter ; Hordahl, Peter.
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  31. ARCH Models and Option Pricing: the Continuous-Time Connection. (1999). Mele, Antonio ; Fornari, Fabio.
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  43. Control variates for variance reduction in indirect inference: interest rate models in continuous time. (1996). Fiorentini, Gabriele ; Di Iorio, Francesca ; Calzolari, Giorgio.
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  45. Testing Continuous-Time Models of the Spot Interest Rate. (1995). Ait-Sahalia, Yacine.
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