Computing arbitrage-free yields in multi-factor Gaussian shadow rate term structure models
Year of publication: |
2023
|
---|---|
Authors: | Priebsch, Marcel A. |
Published in: |
The Quarterly Journal of Finance : QJF. - Singapore : World Scientific Publ., ISSN 2010-1406, ZDB-ID 2600942-0. - Vol. 13.2023, 4, Art.-No. 2350013, p. 1-30
|
Subject: | Asset pricing | effective lower bound | shadow rate model | term structure model | Theorie | Theory | CAPM | Zinsstruktur | Yield curve |
-
Bond risk premiums at the zero lower bound
Andreasen, Martin Møller, (2019)
-
Beauty contests and the term structure
Ellison, Martin, (2018)
-
Asset Pricing with “Buy Now, Pay Later”
Malamud, Semyon, (2022)
- More ...
-
Computing arbitrage-free yields in multi-factor Gaussian shadow-rate term structure models
Priebsch, Marcel A., (2013)
-
Are shadow rate models of the Treasury yield curve structurally stable?
Kim, Don H., (2020)
-
Computing arbitrage-free yields in multi-factor Gaussian shadow-rate term structure models
Priebsch, Marcel A., (2013)
- More ...