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Frontiers of financial econometrics and financial engineering. Papers of a conference, Durham. NC, USA. (English) Zbl 1026.00508

The articles of this volume will be reviewed individually.

MSC:

00B25 Proceedings of conferences of miscellaneous specific interest
90-06 Proceedings, conferences, collections, etc. pertaining to operations research and mathematical programming
62-06 Proceedings, conferences, collections, etc. pertaining to statistics
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[1] Ahn, D.-H., Dittmar, R.F., Gallant, A.R., 2001. Quadratic term structure models: theory and evidence. The Review of Financial Studies, forthcoming.; Ahn, D.-H., Dittmar, R.F., Gallant, A.R., 2001. Quadratic term structure models: theory and evidence. The Review of Financial Studies, forthcoming.
[2] Bates, D., 1996. Testing option pricing models. In: Maddala, G.S., Rao, C.R. (Eds.), Handbook of Statistics, Vol. 14, Statistical Methods in Finance, 567-661.; Bates, D., 1996. Testing option pricing models. In: Maddala, G.S., Rao, C.R. (Eds.), Handbook of Statistics, Vol. 14, Statistical Methods in Finance, 567-661.
[3] Carrasco, M., Chernov, M., Florens, J.P., Ghysels, E., 2002. Efficient estimation of jump diffusions and general dynamic models with a continuum of moment conditions. Discussion Paper Rochester, Columbia and UNC.; Carrasco, M., Chernov, M., Florens, J.P., Ghysels, E., 2002. Efficient estimation of jump diffusions and general dynamic models with a continuum of moment conditions. Discussion Paper Rochester, Columbia and UNC. · Zbl 1247.91116
[4] Dai, Q.; Singleton, K., Specification analysis of affine term structure models, Journal of Finance, 55, 1943-1978 (2000)
[5] Duffie, D.; Singleton, K., Modeling term structures of defaultable bonds, Review of Financial Studies, 12, 687-720 (1999)
[6] Garcia, R., Ghysels, E., Renault, E. (2002). The econometrics of option pricing. In: Ait-Sahalia, Y., Hansen, L.P. (Eds.), Handbook of Financial Econometrics. North-Holland, Amsterdam, forthcoming.; Garcia, R., Ghysels, E., Renault, E. (2002). The econometrics of option pricing. In: Ait-Sahalia, Y., Hansen, L.P. (Eds.), Handbook of Financial Econometrics. North-Holland, Amsterdam, forthcoming.
[7] Jiang, G., Knight, J., 2001. Efficient estimation of the continuous time stochastic volatility model via the empirical characteristic function. Journal of Business and Economic Studies, forthcoming.; Jiang, G., Knight, J., 2001. Efficient estimation of the continuous time stochastic volatility model via the empirical characteristic function. Journal of Business and Economic Studies, forthcoming.
[8] Longstaff, F.; Santa-Clara, P.; Schwartz, E., The relative valuation of caps and swaptionstheory and empirical evidence, Journal of Finance, 56, 2067-2109 (2000)
[9] Singleton, K., Estimation of affine asset pricing models using the empirical characteristic function, Journal of Econometrics, 102, 111-141 (2001) · Zbl 0973.62096
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