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