Pages that link to "Item:Q4226871"

The following pages link to A YIELD‐FACTOR MODEL OF INTEREST RATES (Q4226871):

Displaying 50 items.

• A model of fiscal dominance under the ``Reinhart conjecture'' (Q1657655) (← links)
• Predicting the yield curve using forecast combinations (Q1659103) (← links)
• Scenario generation for long run interest rate risk assessment (Q1676381) (← links)
• Staying at zero with affine processes: an application to term structure modelling (Q1676383) (← links)
• Long-term factorization of affine pricing kernels (Q1687374) (← links)
• Term structure forecasting in affine framework with time-varying volatility (Q1697871) (← links)
• Optimal strategies with option compensation under mean reverting returns or volatilities (Q1722748) (← links)
• Studying term structure of SHIBOR with the two-factor Vasicek model (Q1724348) (← links)
• Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation (Q1739353) (← links)
• Macroeconomic environment, money demand and portfolio choice (Q1755268) (← links)
• A chaotic approach to interest rate modelling (Q1776025) (← links)
• Financial econometrics: Past developments and future challenges (Q1841086) (← links)
• The surprise element: Jumps in interest rates. (Q1858907) (← links)
• Estimating stochastic volatility diffusion using conditional moments of integrated volatility (Q1867730) (← links)
• Existence of invariant manifolds for stochastic equations in infinite dimension (Q1869055) (← links)
• A time-varying Markov chain model of term structure. (Q1871340) (← links)
• Markovian term structure models in discrete time (Q1872398) (← links)
• Bayesian inference in a stochastic volatility Nelson-Siegel model (Q1927156) (← links)
• The term structure of interest rates under regime shifts and jumps (Q1929464) (← links)
• A forward-backward SDE approach to affine models (Q1932521) (← links)
• Reweighted Nadaraya-Watson estimation of jump-diffusion models (Q1934471) (← links)
• Optimal investment strategies for DC pension with stochastic salary under the affine interest rate model (Q1956025) (← links)
• Optimal consumption and portfolio selection with stochastic differential utility (Q1961363) (← links)
• Term structure modeling and asymptotic long rate (Q1974033) (← links)
• Reexamining time-varying bond risk premia in the post-financial crisis era (Q2007866) (← links)
• Indifference pricing of insurance-linked securities in a multi-period model (Q2029066) (← links)
• The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration (Q2066792) (← links)
• Estimating robustness (Q2067408) (← links)
• Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate (Q2103521) (← links)
• Arbitrage-free Nelson-Siegel model for multiple yield curves (Q2120601) (← links)
• Fundamental bubbles in equity markets (Q2156535) (← links)
• Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective (Q2189908) (← links)
• A consistent stochastic model of the term structure of interest rates for multiple tenors (Q2191452) (← links)
• Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching (Q2197841) (← links)
• A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy (Q2246615) (← links)
• Saddlepoint approximations for affine jump-diffusion models (Q2271604) (← links)
• Modeling the term structure of interest rates with general diffusion processes: a moment approximation approach (Q2271607) (← links)
• A continuous-time stochastic model for the mortality surface of multiple populations (Q2273987) (← links)
• Mixed-asset portfolio allocation under mean-reverting asset returns (Q2288891) (← links)
• The effects of conventional and unconventional monetary policy on forecasting the yield curve (Q2291799) (← links)
• Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility (Q2292015) (← links)
• Unhedgeable inflation risk within pension schemes (Q2292172) (← links)
• Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation (Q2304045) (← links)
• Term structure modelling for multiple curves with stochastic discontinuities (Q2308181) (← links)
• Perturbation solutions for bond-pricing equations under a multivariate CIR model with weak dependences (Q2315839) (← links)
• Portfolio selection with inflation-linked bonds and indexation lags (Q2338519) (← links)
• Exponential moments of affine processes (Q2341630) (← links)
• Estimation of affine term structure models with spanned or unspanned stochastic volatility (Q2343761) (← links)
• Pricing with finite dimensional dependence (Q2347715) (← links)
• A unified approach to pricing and risk management of equity and credit risk (Q2349596) (← links)