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Statistics for Finance by Erik Lindström, Henrik Madsen, Jan Nygaard Nielsen

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Bibliography

Yacine Aït-Sahalia. Transition densities for interest rate and other nonlinear diffusions. The Journal of Finance, 54(4):1361–1395 2002.

Yacine Aït-Sahalia. Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach. Econometrica, 70 (1):223–262 2003.

Yacine Aït-Sahalia. Closed-form likelihood expansions for multivariate diffusions. The Annals of Statistics, 36(2):906–937 2008.

Torben G. Andersen and J. Lund. Estimating continuous time stochastic volatility models of the short term interest rate. Journal of Econometrics, 77:343–377 1997.

Jan Annaert, Anouk G.P. Claes, Marc J.K. De Ceuster, and Hairui Zhang. Estimating the spot rate curve using the Nelson-Siegel model: A ridge regression approach. ...

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