Johannes is with the Finance and Economics Division, Graduate School of Business, Columbia University. This is a revised version of my Ph.D. dissertation at the University of Chicago. I thank Torben Andersen, Federico Bandi, John Cook, Pete Kyle, Nick Polson, Pietro Veronesi, Brian Viard, and seminar participants at Cirano/University of Montreal, Columbia, Duke, Northwestern, Chicago, and the Board of Governors of the Federal Reserve for their comments. I would especially like to thank my dissertation committee: Lars Hansen, John Cochrane, and José Scheinkman. The comments of the Editor and the anonymous referees led to significant improvements. All errors are mine.
The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models
Version of Record online: 27 NOV 2005
© 2004 the American Finance Association
The Journal of Finance
Volume 59, Issue 1, pages 227–260, February 2004
How to Cite
Johannes, M. (2004), The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models. The Journal of Finance, 59: 227–260. doi: 10.1111/j.1540-6321.2004.00632.x
- Issue online: 27 NOV 2005
- Version of Record online: 27 NOV 2005
Options for accessing this content:
- If you are a society or association member and require assistance with obtaining online access instructions please contact our Journal Customer Services team.
- If your institution does not currently subscribe to this content, please recommend the title to your librarian.
- Login via other institutional login options http://onlinelibrary.wiley.com/login-options.
- You can purchase online access to this Article for a 24-hour period (price varies by title)
- If you already have a Wiley Online Library or Wiley InterScience user account: login above and proceed to purchase the article.
- New Users: Please register, then proceed to purchase the article.
Login via OpenAthens
Search for your institution's name below to login via Shibboleth.
Registered Users please login:
- Access your saved publications, articles and searches
- Manage your email alerts, orders and subscriptions
- Change your contact information, including your password
Please register to:
- Save publications, articles and searches
- Get email alerts
- Get all the benefits mentioned below!