Term structure models and the zero bound: an empirical investigation of Japanese yields

DOI10.1016/j.jeconom.2011.12.005zbMath1443.62358OpenAlexW3125524825MaRDI QIDQ528018

Don H. Kim, Kenneth J. Singleton

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001352

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites Work

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• Asymptotic nonequivalence of GARCH models and diffusions
• Reconsidering the continuous time limit of the GARCH(1,1) process
• A Theory of the Term Structure of Interest Rates
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
• Design and Estimation of Multi-Currency Quadratic Models*

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