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There are 7243183 results for: content related to: An Examination of Affine Term Structure Models *

  1. Term Premia and Interest Rate Forecasts in Affine Models

    The Journal of Finance

    Volume 57, Issue 1, February 2002, Pages: 405–443, Gregory R. Duffee

    Version of Record online : 17 DEC 2002, DOI: 10.1111/1540-6261.00426

  2. Bond Pricing with a Time-Varying Price of Risk in an Estimated Medium-Scale Bayesian DSGE Model

    Journal of Money, Credit and Banking

    Volume 46, Issue 5, August 2014, Pages: 837–888, IAN DEW-BECKER

    Version of Record online : 24 JUL 2014, DOI: 10.1111/jmcb.12130

  3. 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

  4. 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

  5. Forecasting the Term Structure when Short-Term Rates are Near Zero

    Journal of Forecasting

    Volume 33, Issue 5, August 2014, Pages: 350–363, James M. Steeley

    Version of Record online : 9 MAY 2014, DOI: 10.1002/for.2292

  6. 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

  7. The Role of Credit Spreads and Structural Breaks in Forecasting the Term Structure of Korean Government Bond Yields

    Asia-Pacific Journal of Financial Studies

    Volume 44, Issue 3, June 2015, Pages: 353–386, Chang Hoon Lee and Kyu Ho Kang

    Version of Record online : 15 JUN 2015, DOI: 10.1111/ajfs.12093

  8. Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields

    Journal of Money, Credit and Banking

    Volume 42, Issue s1, September 2010, Pages: 143–178, JENS H. E. CHRISTENSEN, JOSE A. LOPEZ and GLENN D. RUDEBUSCH

    Version of Record online : 18 AUG 2010, DOI: 10.1111/j.1538-4616.2010.00332.x

  9. 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

  10. Modelling the Term Structure of Interest Rates: An Application of Gaussian Affine Models to the German Yield Curve

    Applied Quantitative Methods for Trading and Investment

    Nuno Cassola, Jorge Barros Luís, Pages: 71–128, 2005

    Published Online : 28 JAN 2005, DOI: 10.1002/0470013265.ch3

  11. 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

  12. 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

  13. 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

  14. The Term Structure of VIX

    Journal of Futures Markets

    Volume 32, Issue 12, December 2012, Pages: 1092–1123, Xingguo Luo and Jin E. Zhang

    Version of Record online : 16 AUG 2012, DOI: 10.1002/fut.21572

  15. Estimating the Term Structure of Credit Spreads on Euro-denominated Corporate Bonds

    Economic Notes

    Volume 35, Issue 3, November 2006, Pages: 355–375, Ombretta Terazzan

    Version of Record online : 20 MAR 2007, DOI: 10.1111/j.1468-0300.2006.00170.x

  16. 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

  17. Identification of Maximal Affine Term Structure Models

    The Journal of Finance

    Volume 63, Issue 2, April 2008, Pages: 743–795, PIERRE COLLIN-DUFRESNE, ROBERT S. GOLDSTEIN and CHRISTOPHER S. JONES

    Version of Record online : 1 APR 2008, DOI: 10.1111/j.1540-6261.2008.01331.x

  18. 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

  19. What Does the Yield Curve Tell Us about the Federal Reserve’s Implicit Inflation Target?

    Journal of Money, Credit and Banking

    Volume 44, Issue 2-3, March-April 2012, Pages: 469–486, TAEYOUNG DOH

    Version of Record online : 27 MAR 2012, DOI: 10.1111/j.1538-4616.2011.00496.x

  20. 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