55 lines
1.6 KiB
BibTeX
55 lines
1.6 KiB
BibTeX
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@Article{kladivko,
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author = {Kamil Kladivko},
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title = {Maximum Likelihood Estimation of the Cox-Ingersoll-Ross Process: The MATLAB Implementation},
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journal = {Technical Computing Prague},
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year = {2007},
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OPTkey = {},
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OPTvolume = {},
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OPTnumber = {},
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OPTpages = {},
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OPTmonth = {},
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OPTnote = {},
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OPTannote = {}
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}
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@article{Newey_West_1987,
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title={A simple positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix},
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url={http://www.nber.org/papers/t0055.pdf},
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journal={Econometrica},
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publisher={National Bureau of Economic Research Cambridge, Mass., USA},
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author={Newey, W K and West, K D}, year={1987}
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}
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@book{james2000interest,
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title={Interest rate modelling},
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author={James, J. and Webber, N.},
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isbn={9780471975236},
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lccn={99087500},
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series={Wiley series in financial engineering},
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url={http://books.google.com.mx/books?id=\_KNzQgAACAAJ},
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year={2000},
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publisher={John Wiley \& Sons}
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}
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@book{lai2008statistical,
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title={Statistical models and methods for financial markets},
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author={Lai, T.L. and Xing, H.},
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isbn={9780387778266},
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lccn={2008930111},
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series={Springer texts in statistics},
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url={http://books.google.ca/books?id=DP4MrNH0rJQC},
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year={2008},
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publisher={Springer}
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}
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@article{chan1992empirical,
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title={An empirical comparison of alternative models of the short-term interest rate},
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author={Chan, K.C. and Karolyi, G.A. and Longstaff, F.A. and Sanders, A.B.},
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journal={Journal of Finance},
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pages={1209--1227},
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year={1992},
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publisher={JSTOR}
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}
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