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isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"The journal of fixed income"
~subject:"Zeitreihenanalyse"
~type_genre:"Article in journal"
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Search: subject_exact:"BGM model"
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Zeitreihenanalyse
Yield curve
173
Zinsstruktur
173
Theorie
80
Theory
80
USA
50
United States
50
Estimation
29
Schätzung
29
Risikoprämie
25
Risk premium
25
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21
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CAPM
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Credit risk
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Kreditrisiko
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Option pricing theory
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Optionspreistheorie
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Interest rate derivative
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Zinsderivat
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Capital income
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Corporate bond
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Kapitaleinkommen
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Unternehmensanleihe
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Estimation theory
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Schätztheorie
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Time series analysis
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Forecasting model
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English
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Balduzzi, Pierluigi
1
Bansal, Ravi
1
Bieri, David S.
1
Chan, Kung-sik
1
Chincarni, Ludwig B.
1
Chua, Choong Tze
1
Enders, Walter
1
Granger, C. W. J.
1
Harding, Don
1
Jong, Frank de
1
Koh, Winston T. H.
1
Li, H. C.
1
Longstaff, Francis A.
1
Lütkepohl, Helmut
1
McCarthy, Joseph
1
Pagan, Adrian R.
1
Pantalone, Coleen
1
Poskitt, Donald Stephen
1
Ramaswamy, Krishna
1
Schwartz, Eduardo S.
1
Shea, Gary S.
1
Su, Fei
1
Tauchen, George Eugene
1
Zhou, Hao
1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
The journal of fixed income
Economic modelling
6
International review of financial analysis
6
Journal of banking & finance
6
Journal of econometrics
6
Journal of empirical finance
6
International journal of forecasting
5
Journal of money, credit and banking : JMCB
5
Journal of financial economics
4
Applied economics letters
3
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
3
International journal of bonds and derivatives
3
Journal of economic dynamics & control
3
Journal of economics and finance
3
Journal of international money and finance
3
Romanian journal of economic forecasting
3
Applied economics
2
Computational economics
2
Econometric reviews
2
Finance research letters
2
International journal of finance & economics : IJFE
2
International journal of theoretical and applied finance
2
Journal of applied econometrics
2
Journal of financial economic policy
2
Journal of forecasting
2
Journal of international financial markets, institutions & money
2
Journal of macroeconomics
2
Quantitative finance
2
Southern economic journal
2
The North American journal of economics and finance : a journal of financial economics studies
2
The econometrics journal
2
The empirical economics letters : a monthly international journal of economics
2
Applied economics quarterly
1
Applied financial economics
1
Applied mathematical finance
1
Asia-Pacific journal of financial studies
1
Australian economic papers
1
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
1
Brookings papers on economic activity : BPEA
1
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ECONIS (ZBW)
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1
Testing for threshold diffusion
Su, Fei
;
Chan, Kung-sik
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 218-227
Persistent link: https://www.econbiz.de/10011704178
Saved in:
2
An econometric analysis of some models for constructed binary time series
Harding, Don
;
Pagan, Adrian R.
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
1
,
pp. 86-95
Persistent link: https://www.econbiz.de/10009159112
Saved in:
3
Investigating long memory in yield spreads
McCarthy, Joseph
;
Pantalone, Coleen
;
Li, H. C.
- In:
The journal of fixed income
19
(
2009/10
)
1
,
pp. 73-81
Persistent link: https://www.econbiz.de/10003875981
Saved in:
4
Profit from mean-reverting yield curve trading strategies
Chua, Choong Tze
;
Koh, Winston T. H.
;
Ramaswamy, Krishna
- In:
The journal of fixed income
15
(
2006
)
4
,
pp. 20-33
Persistent link: https://www.econbiz.de/10003339377
Saved in:
5
Riding the yield curve : a variety of strategies
Bieri, David S.
;
Chincarni, Ludwig B.
- In:
The journal of fixed income
15
(
2005
)
2
,
pp. 6-35
Persistent link: https://www.econbiz.de/10003229842
Saved in:
6
Regime shifts, risk premiums in the term structure, and the business cycle
Bansal, Ravi
;
Tauchen, George Eugene
;
Zhou, Hao
- In:
Journal of business & economic statistics : JBES ; a …
22
(
2004
)
4
,
pp. 396-409
Persistent link: https://www.econbiz.de/10002372889
Saved in:
7
Time series and cross-section information in affine term-structure models
Jong, Frank de
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
3
,
pp. 300-314
Persistent link: https://www.econbiz.de/10001493859
Saved in:
8
Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates
Enders, Walter
- In:
Journal of business & economic statistics : JBES ; a …
16
(
1998
)
3
,
pp. 304-311
Persistent link: https://www.econbiz.de/10001246510
Saved in:
9
A simple approach to three-factor affine term structure models
Balduzzi, Pierluigi
(
contributor
)
- In:
The journal of fixed income
6
(
1996
)
3
,
pp. 43-53
Persistent link: https://www.econbiz.de/10001214258
Saved in:
10
Specification of echelon-form VARMA models
Lütkepohl, Helmut
- In:
Journal of business & economic statistics : JBES ; a …
14
(
1996
)
1
,
pp. 69-79
Persistent link: https://www.econbiz.de/10001203177
Saved in:
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