Testing for One-Factor Models versus Stochastic Volatility Models

Meddahi, N. (2002). A Theoretical Comparison between Integrated and Realized Volatility. Jour-
nal of Applied Econometrics, 17, 475-508.

Meddahi, N. (2003). ARMA Representation of Integrated and Realized Variances. Econometrics
Journal, 6, 334-355.

Nelson, D.B. (1990). ARCH Models as Diffusion Approximations. Journal of Econometrics, 45,
7-38.

Pardoux, E. and D. Talay (1985). Discretization and Simulation of Stochastic Differential Equa-
tions, Acta Applicandae Mathematicae, 3, 23-47.

Pearson, N.D. and T.S. Sun (1994). Exploiting the Conditional Density in Estimating the Term
Structure: An Application to the Cox, Ingersoll and Ross Model. Journal of Finance, 49,
1278-1304.

Pritsker, M. (1998). Nonparametric Density Estimators and Tests of Continuous Time Interest
Rate Models. Review of Financial Studies, 11, 449-487.

Stanton, R. (1997). A Nonparametric Model of Term Structure Dynamics and the Market Price
of Interest Rate Risk. Journal of Finance, 52, 1973-2002.

Vasicek, O.A. (1977). An Equilibrium Characterization of the Term Structure. Journal of Finan-
cial Economics, 5, 177-188.

Wiggings, J.B. (1987). Options Values under Stochastic Volatility: Theory and Empirical Esti-
mates. Journal of Financial Economics, 10, 351-372.

Zhang, L., P.A. Mykland and Y. Ait-Sahalia (2003). A Tale of Two Time Scales: Determining
Integrated Volatility with Noisy High Frequency Data. Working Paper, Carnegie Mellon
University.

33

<<   32   33   34   35   36   37   38   >>

More intriguing information