Funding shortages, expectations, and forward rate risk premium

DOI10.1080/14697688.2022.2057352zbMath1497.91318OpenAlexW4226306411MaRDI QIDQ5092646

Sujan Lamichhane, Robert A. Jarrow

Publication date: 22 July 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2057352

zbMATH Keywords

expectations hypothesisforward ratesfinancial intermediary leverage ratiosfunding shortagesinverted yield curvesterm risk premium

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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• Determining the Number of Factors in Approximate Factor Models

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