Chan–Karolyi–Longstaff–Sanders process (English Wikipedia)

Analysis of information sources in references of the Wikipedia article "Chan–Karolyi–Longstaff–Sanders process" in English language version.

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11doi.org

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10worldcat.org

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6sciencedirect.com

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3semanticscholar.org

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1handle.net

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1jstor.org

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1wiley.com

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1harvard.edu

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1psu.edu

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1arxiv.org

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1ssrn.com

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arxiv.org

Mishura, Yuliya; Ralchenko, Kostiantyn; Dehtiar, Olena (2022-05-01). "Parameter estimation in CKLS model by continuous observations". Statistics & Probability Letters. 184: 109391. arXiv:2105.13724. doi:10.1016/j.spl.2022.109391. ISSN 0167-7152. S2CID 235248362.

doi.org

Chan, K. C.; Karolyi, G. Andrew; Longstaff, Francis A.; Sanders, Anthony B. (July 1992). "An Empirical Comparison of Alternative Models of the Short-Term Interest Rate". The Journal of Finance. 47 (3): 1209–1227. doi:10.1111/j.1540-6261.1992.tb04011.x.
Kokabisaghi, Somayeh; Pauwels, Eric J.; Van Meulder, Katrien; Dorsman, André B. (2018-09-02). "Are These Shocks for Real? Sensitivity Analysis of the Significance of the Wavelet Response to Some CKLS Processes". International Journal of Financial Studies. 6 (3): 76. doi:10.3390/ijfs6030076. hdl:1871.1/9c8ef3ff-3780-415a-9244-6eea448e2ae6. ISSN 2227-7072.
Cai, Yujie; Wang, Shaochen (2015-03-01). "Central limit theorem and moderate deviation principle for CKLS model with small random perturbation". Statistics & Probability Letters. 98: 6–11. doi:10.1016/j.spl.2014.11.017. ISSN 0167-7152.
Dell'Aquila, Rosario; Ronchetti, Elvezio; Trojani, Fabio (2003-05-01). "Robust GMM analysis of models for the short rate process". Journal of Empirical Finance. 10 (3): 373–397. doi:10.1016/S0927-5398(02)00050-6. ISSN 0927-5398.
Nowman, K. B. (September 1997). "Gaussian Estimation of Single-Factor Continuous Time Models of The Term Structure of Interest Rates". The Journal of Finance. 52 (4): 1695–1706. doi:10.1111/j.1540-6261.1997.tb01127.x.
Tangman, D. Y.; Thakoor, N.; Dookhitram, K.; Bhuruth, M. (2011-12-01). "Fast approximations of bond option prices under CKLS models". Finance Research Letters. 8 (4): 206–212. doi:10.1016/j.frl.2011.03.002. ISSN 1544-6123.
Sikora, Grzegorz; Michalak, Anna; Bielak, Łukasz; Miśta, Paweł; Wyłomańska, Agnieszka (2019-06-01). "Stochastic modeling of currency exchange rates with novel validation techniques". Physica A: Statistical Mechanics and Its Applications. 523: 1202–1215. Bibcode:2019PhyA..523.1202S. doi:10.1016/j.physa.2019.04.098. ISSN 0378-4371. S2CID 149884892.
Nowman, K. Ben; Sorwar, Ghulam (1999-03-01). "Pricing UK and US securities within the CKLS model Further results". International Review of Financial Analysis. 8 (3): 235–245. doi:10.1016/S1057-5219(99)00019-8. ISSN 1057-5219.
Koedijk, Kees G.; Nissen, François G. J. A.; Schotman, Peter C.; Wolff, Christian C. P. (1997-04-01). "The Dynamics of Short-Term Interest Rate Volatility Reconsidered". Review of Finance. 1 (1): 105–130. doi:10.1023/A:1009714314989. ISSN 1572-3097.
Mishura, Yuliya; Ralchenko, Kostiantyn; Dehtiar, Olena (2022-05-01). "Parameter estimation in CKLS model by continuous observations". Statistics & Probability Letters. 184: 109391. arXiv:2105.13724. doi:10.1016/j.spl.2022.109391. ISSN 0167-7152. S2CID 235248362.
Nowman, K. Ben; Sorwar, Ghulam (1999-09-01). "An Evaluation of Contingent Claims Using the CKLS Interest Rate Model: An Analysis of Australia, Japan, and the United Kingdom". Asia-Pacific Financial Markets. 6 (3): 205–219. doi:10.1023/A:1010013604561. ISSN 1573-6946. S2CID 150454155.

handle.net

hdl.handle.net

Kokabisaghi, Somayeh; Pauwels, Eric J.; Van Meulder, Katrien; Dorsman, André B. (2018-09-02). "Are These Shocks for Real? Sensitivity Analysis of the Significance of the Wavelet Response to Some CKLS Processes". International Journal of Financial Studies. 6 (3): 76. doi:10.3390/ijfs6030076. hdl:1871.1/9c8ef3ff-3780-415a-9244-6eea448e2ae6. ISSN 2227-7072.

harvard.edu

ui.adsabs.harvard.edu

Sikora, Grzegorz; Michalak, Anna; Bielak, Łukasz; Miśta, Paweł; Wyłomańska, Agnieszka (2019-06-01). "Stochastic modeling of currency exchange rates with novel validation techniques". Physica A: Statistical Mechanics and Its Applications. 523: 1202–1215. Bibcode:2019PhyA..523.1202S. doi:10.1016/j.physa.2019.04.098. ISSN 0378-4371. S2CID 149884892.

jstor.org

Fan, Jianqing; Jiang, Jiancheng; Zhang, Chunming; Zhou, Zhenwei (2003). "Time-Dependent Diffusion Models for Term Structure Dynamics". Statistica Sinica. 13 (4): 965–992. ISSN 1017-0405. JSTOR 24307157.

psu.edu

citeseerx.ist.psu.edu

Dinenis, E.; Allegretto, W.; Sorwar, G.; N, Quaderno; Barone-adesi, Giovanni; Dinenis, Elias; Sorwar, Ghulam, Valuation of Derivatives Based on CKLS Interest Rate Models, CiteSeerX 10.1.1.24.6963

sciencedirect.com

Cai, Yujie; Wang, Shaochen (2015-03-01). "Central limit theorem and moderate deviation principle for CKLS model with small random perturbation". Statistics & Probability Letters. 98: 6–11. doi:10.1016/j.spl.2014.11.017. ISSN 0167-7152.
Dell'Aquila, Rosario; Ronchetti, Elvezio; Trojani, Fabio (2003-05-01). "Robust GMM analysis of models for the short rate process". Journal of Empirical Finance. 10 (3): 373–397. doi:10.1016/S0927-5398(02)00050-6. ISSN 0927-5398.
Tangman, D. Y.; Thakoor, N.; Dookhitram, K.; Bhuruth, M. (2011-12-01). "Fast approximations of bond option prices under CKLS models". Finance Research Letters. 8 (4): 206–212. doi:10.1016/j.frl.2011.03.002. ISSN 1544-6123.
Sikora, Grzegorz; Michalak, Anna; Bielak, Łukasz; Miśta, Paweł; Wyłomańska, Agnieszka (2019-06-01). "Stochastic modeling of currency exchange rates with novel validation techniques". Physica A: Statistical Mechanics and Its Applications. 523: 1202–1215. Bibcode:2019PhyA..523.1202S. doi:10.1016/j.physa.2019.04.098. ISSN 0378-4371. S2CID 149884892.
Nowman, K. Ben; Sorwar, Ghulam (1999-03-01). "Pricing UK and US securities within the CKLS model Further results". International Review of Financial Analysis. 8 (3): 235–245. doi:10.1016/S1057-5219(99)00019-8. ISSN 1057-5219.
Mishura, Yuliya; Ralchenko, Kostiantyn; Dehtiar, Olena (2022-05-01). "Parameter estimation in CKLS model by continuous observations". Statistics & Probability Letters. 184: 109391. arXiv:2105.13724. doi:10.1016/j.spl.2022.109391. ISSN 0167-7152. S2CID 235248362.

semanticscholar.org

api.semanticscholar.org

Sikora, Grzegorz; Michalak, Anna; Bielak, Łukasz; Miśta, Paweł; Wyłomańska, Agnieszka (2019-06-01). "Stochastic modeling of currency exchange rates with novel validation techniques". Physica A: Statistical Mechanics and Its Applications. 523: 1202–1215. Bibcode:2019PhyA..523.1202S. doi:10.1016/j.physa.2019.04.098. ISSN 0378-4371. S2CID 149884892.
Mishura, Yuliya; Ralchenko, Kostiantyn; Dehtiar, Olena (2022-05-01). "Parameter estimation in CKLS model by continuous observations". Statistics & Probability Letters. 184: 109391. arXiv:2105.13724. doi:10.1016/j.spl.2022.109391. ISSN 0167-7152. S2CID 235248362.
Nowman, K. Ben; Sorwar, Ghulam (1999-09-01). "An Evaluation of Contingent Claims Using the CKLS Interest Rate Model: An Analysis of Australia, Japan, and the United Kingdom". Asia-Pacific Financial Markets. 6 (3): 205–219. doi:10.1023/A:1010013604561. ISSN 1573-6946. S2CID 150454155.

ssrn.com

papers.ssrn.com

Bliss, Robert R.; Smith, David C. (1998-03-01). "The Elasticity of Interest Rate Volatility: Chan, Karolyi, Longstaff, and Sanders Revisited". SSRN 99894.

wiley.com

onlinelibrary.wiley.com

Nowman, K. B. (September 1997). "Gaussian Estimation of Single-Factor Continuous Time Models of The Term Structure of Interest Rates". The Journal of Finance. 52 (4): 1695–1706. doi:10.1111/j.1540-6261.1997.tb01127.x.

worldcat.org

search.worldcat.org

Kokabisaghi, Somayeh; Pauwels, Eric J.; Van Meulder, Katrien; Dorsman, André B. (2018-09-02). "Are These Shocks for Real? Sensitivity Analysis of the Significance of the Wavelet Response to Some CKLS Processes". International Journal of Financial Studies. 6 (3): 76. doi:10.3390/ijfs6030076. hdl:1871.1/9c8ef3ff-3780-415a-9244-6eea448e2ae6. ISSN 2227-7072.
Cai, Yujie; Wang, Shaochen (2015-03-01). "Central limit theorem and moderate deviation principle for CKLS model with small random perturbation". Statistics & Probability Letters. 98: 6–11. doi:10.1016/j.spl.2014.11.017. ISSN 0167-7152.
Fan, Jianqing; Jiang, Jiancheng; Zhang, Chunming; Zhou, Zhenwei (2003). "Time-Dependent Diffusion Models for Term Structure Dynamics". Statistica Sinica. 13 (4): 965–992. ISSN 1017-0405. JSTOR 24307157.
Dell'Aquila, Rosario; Ronchetti, Elvezio; Trojani, Fabio (2003-05-01). "Robust GMM analysis of models for the short rate process". Journal of Empirical Finance. 10 (3): 373–397. doi:10.1016/S0927-5398(02)00050-6. ISSN 0927-5398.
Tangman, D. Y.; Thakoor, N.; Dookhitram, K.; Bhuruth, M. (2011-12-01). "Fast approximations of bond option prices under CKLS models". Finance Research Letters. 8 (4): 206–212. doi:10.1016/j.frl.2011.03.002. ISSN 1544-6123.
Sikora, Grzegorz; Michalak, Anna; Bielak, Łukasz; Miśta, Paweł; Wyłomańska, Agnieszka (2019-06-01). "Stochastic modeling of currency exchange rates with novel validation techniques". Physica A: Statistical Mechanics and Its Applications. 523: 1202–1215. Bibcode:2019PhyA..523.1202S. doi:10.1016/j.physa.2019.04.098. ISSN 0378-4371. S2CID 149884892.
Nowman, K. Ben; Sorwar, Ghulam (1999-03-01). "Pricing UK and US securities within the CKLS model Further results". International Review of Financial Analysis. 8 (3): 235–245. doi:10.1016/S1057-5219(99)00019-8. ISSN 1057-5219.
Koedijk, Kees G.; Nissen, François G. J. A.; Schotman, Peter C.; Wolff, Christian C. P. (1997-04-01). "The Dynamics of Short-Term Interest Rate Volatility Reconsidered". Review of Finance. 1 (1): 105–130. doi:10.1023/A:1009714314989. ISSN 1572-3097.
Mishura, Yuliya; Ralchenko, Kostiantyn; Dehtiar, Olena (2022-05-01). "Parameter estimation in CKLS model by continuous observations". Statistics & Probability Letters. 184: 109391. arXiv:2105.13724. doi:10.1016/j.spl.2022.109391. ISSN 0167-7152. S2CID 235248362.
Nowman, K. Ben; Sorwar, Ghulam (1999-09-01). "An Evaluation of Contingent Claims Using the CKLS Interest Rate Model: An Analysis of Australia, Japan, and the United Kingdom". Asia-Pacific Financial Markets. 6 (3): 205–219. doi:10.1023/A:1010013604561. ISSN 1573-6946. S2CID 150454155.