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There are 14377 results for: content related to: A YIELD-FACTOR MODEL OF INTEREST RATES

  1. The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market

    European Financial Management

    Volume 16, Issue 4, September 2010, Pages: 658–685, Manfred Frühwirth, Paul Schneider and Leopold Sögner

    Version of Record online : 19 AUG 2010, DOI: 10.1111/j.1468-036X.2009.00503.x

  2. Transform Analysis and Asset Pricing for Affine Jump-diffusions

    Econometrica

    Volume 68, Issue 6, November 2000, Pages: 1343–1376, Darrell Duffie, Jun Pan and Kenneth Singleton

    Version of Record online : 10 DEC 2003, DOI: 10.1111/1468-0262.00164

  3. PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS

    Mathematical Finance

    Volume 12, Issue 4, October 2002, Pages: 427–446, Kenneth J. Singleton and Len Umantsev

    Version of Record online : 8 JAN 2007, DOI: 10.1111/j.1467-9965.2002.tb00132.x

  4. Term structure surprises: the predictive content of curvature, level, and slope

    Journal of Applied Econometrics

    Volume 27, Issue 4, June/July 2012, Pages: 574–602, Emanuel Moench

    Version of Record online : 22 NOV 2010, DOI: 10.1002/jae.1220

  5. BILINEAR TERM STRUCTURE MODEL

    Mathematical Finance

    Volume 21, Issue 1, January 2011, Pages: 1–19, C. Gourieroux and A. Monfort

    Version of Record online : 14 SEP 2010, DOI: 10.1111/j.1467-9965.2010.00424.x

  6. 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

  7. Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives

    The Journal of Finance

    Volume 61, Issue 1, February 2006, Pages: 341–378, HAITAO LI and FENG ZHAO

    Version of Record online : 20 JAN 2006, DOI: 10.1111/j.1540-6261.2006.00838.x

  8. Nominal Interest Rates and the News

    Journal of Money, Credit and Banking

    Volume 47, Issue 2-3, March-April 2015, Pages: 295–332, MICHAEL D. BAUER

    Version of Record online : 27 MAR 2015, DOI: 10.1111/jmcb.12177

  9. Stochastic Volatilities and Correlations of Bond Yields

    The Journal of Finance

    Volume 62, Issue 3, June 2007, Pages: 1491–1524, BING HAN

    Version of Record online : 8 MAY 2007, DOI: 10.1111/j.1540-6261.2007.01242.x

  10. A NOTE ON THE DAI–SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS

    Mathematical Finance

    Volume 20, Issue 3, July 2010, Pages: 509–519, Patrick Cheridito, Damir Filipović and Robert L. Kimmel

    Version of Record online : 7 JUN 2010, DOI: 10.1111/j.1467-9965.2010.00408.x

  11. You have free access to this content
    Linear-Rational Term Structure Models

    The Journal of Finance

    Accepted manuscript online: 16 DEC 2016, DAMIR FILIPOVIĆ, MARTIN LARSSON and ANDERS B. TROLLE

    DOI: 10.1111/jofi.12488

  12. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

    The Journal of Finance

    Volume 65, Issue 2, April 2010, Pages: 603–653, TORBEN G. ANDERSEN and LUCA BENZONI

    Version of Record online : 19 MAR 2010, DOI: 10.1111/j.1540-6261.2009.01546.x

  13. Term Structure Forecasting: No-Arbitrage Restrictions versus Large Information Set

    Journal of Forecasting

    Volume 31, Issue 2, March 2012, Pages: 124–156, Carlo A. Favero, Linlin Niu and Luca Sala

    Version of Record online : 21 JUN 2010, DOI: 10.1002/for.1181

  14. ESTIMATING A RISKY TERM STRUCTURE OF BRADY BONDS

    The Manchester School

    Volume 73, Issue s1, September 2005, Pages: 99–127, ANEEL KESWANI

    Version of Record online : 5 AUG 2005, DOI: 10.1111/j.1467-9957.2005.00463.x

  15. Risk aversion, intertemporal substitution, and the term structure of interest rates

    Journal of Applied Econometrics

    Volume 27, Issue 6, September/October 2012, Pages: 1013–1036, René Garcia and Richard Luger

    Version of Record online : 26 APR 2011, DOI: 10.1002/jae.1247

  16. A Decomposition of Korean Sovereign Bond Yields: Joint Estimation Using Sovereign CDS and Bond Data

    Asia-Pacific Journal of Financial Studies

    Volume 43, Issue 6, December 2014, Pages: 918–947, Jungmu Kim and Changjun Lee

    Version of Record online : 8 JAN 2015, DOI: 10.1111/ajfs.12077

  17. Continuous-Time Methods in Finance: A Review and an Assessment

    The Journal of Finance

    Volume 55, Issue 4, August 2000, Pages: 1569–1622, Suresh M. Sundaresan

    Version of Record online : 17 DEC 2002, DOI: 10.1111/0022-1082.00261

  18. 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

  19. PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS

    Mathematical Finance

    Volume 24, Issue 4, October 2014, Pages: 762–789, João Pedro Vidal Nunes and Pedro Miguel Silva Prazeres

    Version of Record online : 7 FEB 2013, DOI: 10.1111/mafi.12019

  20. Term-structure estimation in markets with infrequent trading

    International Journal of Finance & Economics

    Volume 12, Issue 4, October 2007, Pages: 353–369, Gonzalo Cortazar, Eduardo S. Schwartz and Lorenzo F. Naranjo

    Version of Record online : 9 MAR 2007, DOI: 10.1002/ijfe.317