Pages that link to "Item:Q4226871"

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

Displaying 50 items.

• Forecasting the term structure of government bond yields (Q94953) (← links)
• Estimation of a nonparametric model for bond prices from cross-section and time series information (Q104342) (← links)
• Testing affine term structure models in case of transaction costs (Q262758) (← links)
• Affine realizations with affine state processes for stochastic partial differential equations (Q271881) (← links)
• The macroeconomy and the yield curve: a dynamic latent factor approach (Q292022) (← links)
• What does the yield curve tell us about GDP growth? (Q292029) (← links)
• A joint econometric model of macroeconomic and term-structure dynamics (Q292033) (← links)
• Multivariate Jacobi process with application to smooth transitions (Q292036) (← links)
• A cyclical square-root model for the term structure of interest rates (Q299796) (← links)
• Local-momentum autoregression and the modeling of interest rate term structure (Q308389) (← links)
• Interest rates risk-premium and shape of the yield curve (Q316908) (← links)
• Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model (Q340669) (← links)
• A joint stock and bond market based on the hyperbolic Gaussian model (Q362053) (← links)
• A tractable yield-curve model that guarantees positive interest rates (Q375261) (← links)
• Stock index dynamics and derivatives pricing with stochastic interest rates (Q375371) (← links)
• Interest rate derivatives in a Duffie and Kan model with stochastic volatility: an Arrow-Debreu pricing approach (Q375469) (← links)
• Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\) (Q402407) (← links)
• A numerical approach to obtain the yield curves with different risk-neutral drifts (Q409791) (← links)
• The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts (Q413330) (← links)
• Maximum likelihood estimation of partially observed diffusion models (Q469573) (← links)
• Robust portfolio choice with stochastic interest rates (Q470730) (← links)
• Pricing of discount bonds with a Markov switching regime (Q481375) (← links)
• Liquidity risk, price impacts and the replication problem (Q483927) (← links)
• On matching diffusions, Laplace transforms and partial differential equations (Q492943) (← links)
• Prediction bias correction for dynamic term structure models (Q500507) (← links)
• Bond pricing under mixed generalized CIR model with mixed Wishart volatility process (Q515757) (← links)
• Identification and estimation of Gaussian affine term structure models (Q527947) (← links)
• Bias in the estimation of the mean reversion parameter in continuous time models (Q527981) (← links)
• Term structure models and the zero bound: an empirical investigation of Japanese yields (Q528018) (← links)
• Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach (Q528171) (← links)
• Bias in estimating multivariate and univariate diffusions (Q530603) (← links)
• Discrete time Wishart term structure models (Q543795) (← links)
• Interest rate theory and geometry (Q604623) (← links)
• Shape factors and cross-sectional risk (Q609842) (← links)
• A Markov regime-switching marked point process for short-rate analysis with credit risk (Q611051) (← links)
• American options and callable bonds under stochastic interest rates and endogenous bankruptcy (Q660162) (← links)
• Consistency conditions for affine term structure models II. Option pricing under diffusions with embdded jumps (Q665718) (← links)
• On the equivalence of a class of affine term structure models (Q666298) (← links)
• A model of the convenience yields in on-the-run treasuries (Q704008) (← links)
• Credit risk analysis of mortgage loans: An application to the Italian market (Q704063) (← links)
• Functional dynamic factor models with application to yield curve forecasting (Q714342) (← links)
• Long-term yield in an affine HJM framework on \(S_{d}^{+}\) (Q722068) (← links)
• Intelligible factors for the yield curve (Q736543) (← links)
• A tale of two yield curves: modeling the joint term structure of dollar and euro interest rates (Q737878) (← links)
• The affine arbitrage-free class of Nelson-Siegel term structure models (Q737987) (← links)
• How useful are no-arbitrage restrictions for forecasting the term structure of interest rates? (Q737988) (← links)
• Do interest rate options contain information about excess returns? (Q737991) (← links)
• Generalized spectral testing for multivariate continuous-time models (Q738028) (← links)
• Sup-convolutions of HARA utilities in the affine term structure (Q816443) (← links)
• A class of jump-diffusion bond pricing models within the HJM framework (Q816765) (← links)