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person:"Campbell, John Y."
~person:"Gouriéroux, Christian"
~person:"Meldrum, Andrew"
~subject:"Credit risk"
~subject:"Financial market"
~subject:"Zinsstruktur"
~type:"article"
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Search: subject_exact:"Internationale Zinsdifferenz"
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Credit risk
Financial market
Zinsstruktur
Yield curve
26
Theorie
13
Theory
13
Anleihe
6
Bond
6
USA
6
United States
6
Risikoprämie
5
Risk premium
5
Derivat
4
Derivative
4
Estimation
4
Geldpolitik
4
Kreditrisiko
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Monetary policy
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Schätzung
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Markov chain
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Markov-Kette
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Option pricing theory
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Optionspreistheorie
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Stochastic process
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Stochastischer Prozess
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term structure
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1959-1983
2
CAPM
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Capital income
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Finite dimensional dependence
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Insolvency
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Kapitaleinkommen
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26
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Campbell, John Y.
Gouriéroux, Christian
Meldrum, Andrew
Rudebusch, Glenn D.
33
Fabozzi, Frank J.
25
Jarrow, Robert A.
23
Christensen, Jens H. E.
20
Batten, Jonathan A.
18
Akram, Tanweer
17
Monfort, Alain
17
Singleton, Kenneth J.
17
Gupta, Rangan
16
Wohar, Mark E.
16
Wu, Liuren
16
Favero, Carlo A.
15
Umar, Zaghum
15
Wright, Jonathan H.
15
Chen, Ren-Raw
14
Chiarella, Carl
14
Kugler, Peter
14
Nowman, Kalid Ben
14
Rebonato, Riccardo
14
Thornton, Daniel L.
14
Almeida, Caio
13
Chen, Son-nan
13
Goldstein, Robert S.
13
Ito, Takayasu
13
Schwartz, Eduardo S.
13
Artus, Patrick
12
Bauer, Michael D.
12
Cebula, Richard J.
12
Collin-Dufresne, Pierre
12
Filipović, Damir
12
MacDonald, Ronald
12
Sarno, Lucio
12
Spencer, Peter D.
12
Steeley, James M.
12
Wu, Chunchi
12
Caporale, Guglielmo Maria
11
Chernov, Mikhail
11
Guidolin, Massimo
11
Li, Haitao
11
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Journal of banking & finance
2
Journal of econometrics
2
Journal of international money and finance
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Annales d'économie et de statistique
1
Annals of economics and statistics
1
Dynamique des marchés financiers et prévisions
1
Finance : revue de l'Association Française de Finance
1
International journal of finance & economics : IJFE
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial economics
1
Journal of monetary economics
1
Journal of political economy
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
The American economic review
1
The journal of economic perspectives : EP ; a journal of the American Economic Association
1
The journal of finance : the journal of the American Finance Association
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The review of economic studies
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ECONIS (ZBW)
26
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1
Noncausal affine processes with applications to derivative pricing
Gouriéroux, Christian
;
Lu, Yang
- In:
Mathematical finance : an international journal of …
33
(
2023
)
3
,
pp. 766-796
Persistent link: https://www.econbiz.de/10014329912
Saved in:
2
The information in joint term structures of bond yields
Meldrum, Andrew
;
Raczko, Marek
;
Spencer, Peter D.
- In:
Journal of international money and finance
134
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014304808
Saved in:
3
No-arbitrage pricing of GDP-linked bonds
Eguren Martin, Fernando
;
Meldrum, Andrew
;
Yan, Wen
- In:
Journal of banking & finance
126
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012820248
Saved in:
4
A shadow rate or a quadratic policy rule? : the best way to enforce the zero lower bound in the United States
Andreasen, Martin Møller
;
Meldrum, Andrew
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
5
,
pp. 2261-2292
Persistent link: https://www.econbiz.de/10012140079
Saved in:
5
Spread term structure and default correlation
Gagliardini, Patrick
;
Gouriéroux, Christian
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 175-223
Persistent link: https://www.econbiz.de/10011592744
Saved in:
6
Evaluating the robustness of UK term structure decompositions using linear regression methods
Malik, Sheheryar
;
Meldrum, Andrew
- In:
Journal of banking & finance
67
(
2016
),
pp. 85-102
Persistent link: https://www.econbiz.de/10011634653
Saved in:
7
Pricing with finite dimensional dependence
Gouriéroux, Christian
;
Monfort, Alain
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 408-417
Persistent link: https://www.econbiz.de/10011499694
Saved in:
8
Pricing default events : surprise, exogeneity and contagion
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
Journal of econometrics
182
(
2014
)
2
,
pp. 397-411
Persistent link: https://www.econbiz.de/10010497742
Saved in:
9
Regime switching and bond pricing
Gouriéroux, Christian
;
Monfort, Alain
;
Pegoraro, Fulvio
; …
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
2
,
pp. 237-277
Persistent link: https://www.econbiz.de/10010351547
Saved in:
10
A global model of international yield curves : no-arbitrage term structure approach
Kaminska, Iryna
;
Meldrum, Andrew
;
Smith, James
- In:
International journal of finance & economics : IJFE
18
(
2013
)
4
,
pp. 352-374
Persistent link: https://www.econbiz.de/10010355970
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