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There are 18455 results for: content related to: Term-structure estimation in markets with infrequent trading

  1. Review of Synthesis of No-arbitrage Gaussian Term Structure Models

    Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l'Administration

    Volume 19, Issue 2, June 2002, Pages: 184–196, San-Lin Chung

    Version of Record online : 8 APR 2009, DOI: 10.1111/j.1936-4490.2002.tb00679.x

  2. Junp-Diffusion Interest Rate Process: An Empirical Examination

    Journal of Business Finance & Accounting

    Volume 26, Issue 7-8, September/October 1999, Pages: 967–995, Bing-Huei Lin and Shih-Kuo Yeh

    Version of Record online : 3 MAR 2003, DOI: 10.1111/1468-5957.00282

  3. Interest-Rate Modelling

    Fixed Income Markets: Management, Trading, Hedging, Second Edition

    Moorad Choudhry, David Moskovic, Max Wong, Suleman Baig, Zhuoshi Liu, Michele Lizzio, Alexandru Voicu, Pages: 89–104, 2014

    Published Online : 20 JUN 2014, DOI: 10.1002/9781118638330.ch4

  4. Short-term interest rate models: valuing interest rate derivatives using a Monte-Carlo approach

    Accounting & Finance

    Volume 43, Issue 2, July 2003, Pages: 231–259, Sirimon Treepongkaruna and Stephen Gray

    Version of Record online : 28 MAY 2003, DOI: 10.1111/1467-629X.00090

  5. Threshold Dynamics of Short-term Interest Rates: Empirical Evidence and Implications for the Term Structure

    Economic Notes

    Volume 37, Issue 1, February 2008, Pages: 75–117, Theofanis Archontakis and Wolfgang Lemke

    Version of Record online : 22 APR 2008, DOI: 10.1111/j.1468-0300.2008.00189.x

  6. A two-mean reverting-factor model of the term structure of interest rates

    Journal of Futures Markets

    Volume 23, Issue 11, November 2003, Pages: 1075–1105, Manuel Moreno

    Version of Record online : 4 SEP 2003, DOI: 10.1002/fut.10088

  7. NO-ARBITRAGE ONE-FACTOR MODELS OF THE SOUTH AFRICAN TERM STRUCTURE OF INTEREST RATES

    South African Journal of Economics

    Volume 80, Issue 3, September 2012, Pages: 301–318, PETER ALING and SHAKILL HASSAN

    Version of Record online : 10 SEP 2012, DOI: 10.1111/j.1813-6982.2011.01311.x

  8. Simple Models of the Term Structure: Vasicek and Cox-Ingersoll-Ross

    Essays in Derivatives: Risk-Transfer Tools and Topics Made Easy, Second Edition

    Don M. Chance, Pages: 285–289, 2011

    Published Online : 20 DEC 2011, DOI: 10.1002/9781118266885.ch58

  9. Credit Spreads Between German and Italian Sovereign Bonds: Do One-Factor Affine Models Work?

    Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l'Administration

    Volume 17, Issue 2, June 2000, Pages: 166–179, Klaus Düllmann and Marc Windfuhr

    Version of Record online : 8 APR 2009, DOI: 10.1111/j.1936-4490.2000.tb00217.x

  10. Pricing caps and floors with the extended CIR model

    International Journal of Finance & Economics

    Volume 13, Issue 4, October 2008, Pages: 386–400, Antonio Mannolini, Carlo Mari and Roberto Renò

    Version of Record online : 9 JUL 2008, DOI: 10.1002/ijfe.369

  11. Asset Pricing with Observable Stochastic Discount Factors

    Journal of Economic Surveys

    Volume 16, Issue 3, July 2002, Pages: 397–446, Peter Smith and Michael Wickens

    Version of Record online : 16 DEC 2002, DOI: 10.1111/1467-6419.00173

  12. A Nonlinear Model of the Term Structure of Interest Rates

    Mathematical Finance

    Volume 7, Issue 2, April 1997, Pages: 177–209, Julian Tice and Nick Webber

    Version of Record online : 5 JAN 2002, DOI: 10.1111/1467-9965.00030

  13. A Base Model for Multifactor Specifications of the Term Structure

    Economic Notes

    Volume 28, Issue 2, July 1999, Pages: 145–170, Andrea Berardi and Marcello Esposito

    Version of Record online : 2 DEC 2003, DOI: 10.1111/1468-0300.00008

  14. On Gaussian HJM framework for Eurodollar Futures

    Applied Stochastic Models in Business and Industry

    Volume 27, Issue 4, July/August 2011, Pages: 384–401, Balaji Raman and Vladimir Pozdnyakov

    Version of Record online : 12 MAY 2010, DOI: 10.1002/asmb.845

  15. A two-factor, preference-free model for interest rate sensitive claims

    Journal of Futures Markets

    Volume 15, Issue 3, May 1995, Pages: 345–372, Ren-Raw Chen

    Version of Record online : 28 AUG 2006, DOI: 10.1002/fut.3990150305

  16. Real risk, inflation risk, and the term structure

    The Economic Journal

    Volume 113, Issue 487, April 2003, Pages: 345–389, Martin D. D. Evans

    Version of Record online : 23 APR 2003, DOI: 10.1111/1468-0297.00130

  17. Fundamental and Preference-Free Single-Factor Gaussian Models

    Dynamic Term Structure Modeling: The Fixed Income Valuation Course

    Sanjay K. Nawalkha, Natalia A. Beliaeva, Gloria M. Soto, Pages: 113–186, 2015

    Published Online : 19 SEP 2015, DOI: 10.1002/9781119201571.ch4

  18. Cross-sectional Restrictions on the Spot and Forward Term Structures of Interest Rates and Panel Unit Root Tests

    Journal of Business Finance & Accounting

    Volume 30, Issue 5-6, June 2003, Pages: 799–828, Ilias Lekkos

    Version of Record online : 9 SEP 2003, DOI: 10.1111/1468-5957.05364

  19. Convergence within the EU: Evidence from Interest Rates

    Economic Notes

    Volume 29, Issue 2, July 2000, Pages: 243–266, Teresa Corzo Santamaria and E. S. Schwartz

    Version of Record online : 2 DEC 2003, DOI: 10.1111/1468-0300.00032

  20. The Dynamic Term Structure Model

    Chapter

    Encyclopedia of Financial Models

    David Audley, Richard Chin, Peter C. L. Lin and Shrikant Ramamurthy

    Published Online : 15 DEC 2012, DOI: 10.1002/9781118182635.efm0124