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type_genre:"Amtsdruckschrift"
~person:"Chiarella, Carl"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Aufsatzsammlung"
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Search: subject_exact:"Expectations hypothesis of the term structure"
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14
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Chiarella, Carl
Rudebusch, Glenn D.
31
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23
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19
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19
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18
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13
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13
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13
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13
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12
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12
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12
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12
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12
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12
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12
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11
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11
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ECONIS (ZBW)
14
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1
Stochastic correlation and risk premia in term structure models
Chiarella, Carl
;
Hsiao, Chih-ying
;
Tô, Thuy-Duong
- In:
Journal of empirical finance
37
(
2016
),
pp. 59-78
Persistent link: https://www.econbiz.de/10011662911
Saved in:
2
Pricing range notes within Wishart affine models
Chiarella, Carl
;
De Fonseca, José
;
Grasselli, Martino
- In:
Insurance / Mathematics & economics
58
(
2014
),
pp. 193-203
Persistent link: https://www.econbiz.de/10010437564
Saved in:
3
Heterogeneous expectations and exchange rate dynamics
Chiarella, Carl
;
He, Xue-zhong
;
Zheng, Min
- In:
The European journal of finance
19
(
2013
)
5/6
,
pp. 392-419
Persistent link: https://www.econbiz.de/10010243607
Saved in:
4
Credit derivatives pricing with stochastic volatility models
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10009779780
Saved in:
5
Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
- In:
European journal of operational research : EJOR
208
(
2011
)
2
,
pp. 95-108
Persistent link: https://www.econbiz.de/10008779603
Saved in:
6
A Markovian defaultable term structure model with state dependent volatilities
Chiarella, Carl
;
Nikitopoulos, Christina Sklibosios
; …
- In:
International journal of theoretical and applied finance
10
(
2007
)
1
,
pp. 155-202
Persistent link: https://www.econbiz.de/10003415746
Saved in:
7
A class of jump-diffusion bond pricing models within the HJM framework
Chiarella, Carl
;
Nikitopoulos, Christina Sklibosios
- In:
Asia-Pacific financial markets
10
(
2003
)
2/3
,
pp. 87-127
Persistent link: https://www.econbiz.de/10002762516
Saved in:
8
Finite dimensional affine realisations of HJM models in terms of forward rates and yields
Chiarella, Carl
;
Kwon, Oh Kang
- In:
Review of derivatives research
6
(
2003
)
2
,
pp. 129-155
Persistent link: https://www.econbiz.de/10001857662
Saved in:
9
Classes of interest rate models under the HJM framework
Chiarella, Carl
;
Kwon, Oh Kang
- In:
Asia-Pacific financial markets
8
(
2001
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10001601026
Saved in:
10
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
Chiarella, Carl
;
Kwon, Oh Kang
- In:
Finance and stochastics
5
(
2001
)
2
,
pp. 237-257
Persistent link: https://www.econbiz.de/10001571502
Saved in:
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