Concepedia

Modelling the dynamics of the term structure of interest rates

James M. Steeley

Trinity's Access to Research Output (TARA) (Trinity College Dublin) · 1990 · 59 citations · 12 references

Open access

Abstract

Available from British Library Document Supply Centre- DSC:9350.122(KU-DEMS-WP--90-4) / BLDSC - British Library Document Supply Centre

References

12

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

Halbert White · Econometrica · 1980 · 25.8K citations

Empirical Finance, Econometric Model, Volatility Modeling +13

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 21.9K citations

Economics, Volatility Modeling, Asset Pricing +4

An Introduction to Bayesian Inference in Econometrics.

J. D. Sargan, Arnold Zellner · Journal of the Royal Statistical Society Series A (General) · 1974 · 2K citations

Econometric Model, Bayesian Statistics, Economics +8

ARCH models as diffusion approximations

Daniel B. Nelson · Journal of Econometrics · 1990 · 955 citations

Diffusion Process, Diffusion-based Modeling, Anomalous Diffusion +1

Approximation Theory and Methods.

Lars B. Wahlbin, M. J. D. Powell · Mathematics of Computation · 1982 · 821 citations

Numerical Analysis, Pade Approximation, Pade Approximant +10