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forward rates
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subject:"Forward rate"
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1
Estimates of the US shadow-rate
Alfaro, Rodrigo
;
Piña, Marco
- In:
Latin American journal of central banking : LAJCB
4
(
2023
)
1
,
pp. 1-17
maximal models with two and three Gaussian factors, and we use
forward
rates
to estimate the model's parameters. Based on that …
Persistent link: https://www.econbiz.de/10014382809
Saved in:
2
The Q-measure dynamics of
forward
rates
Rebonato, Riccardo
- In:
Annual review of financial economics
15
(
2023
),
pp. 493-522
Persistent link: https://www.econbiz.de/10014426352
Saved in:
3
Funding shortages, expectations, and forward rate risk premium
Jarrow, Robert A.
;
Lamichhane, Sujan
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1321-1341
Persistent link: https://www.econbiz.de/10013367902
Saved in:
4
Mind the (convergence) gap: bond predictability strikes back!
Berardi, Andrea
;
Markovich, Michael
;
Plazzi, Alberto
; …
-
2019
-
This version: August 29, 2019
that is otherwise missed by
forward
rates
. Consistent with the argument that CG captures the effect of real imbalances on …
Persistent link: https://www.econbiz.de/10012134247
Saved in:
5
Zero-coupon interest rates : evaluating three alternative datasets
Díaz Pérez, Antonio
;
Jareño, Francisco
;
Navarro …
-
2018
The zero-coupon yield curve is a common input for most financial purposes. The authors consider three popular yield curve datasets, and explore the extent to which the decision as to what dataset to use for an application may have implications on the results. The paper illustrates why such...
Persistent link: https://www.econbiz.de/10011901875
Saved in:
6
Mind the (convergence) gap : bond predictability strikes back!
Berardi, Andrea
;
Markovich, Michael
;
Plazzi, Alberto
; …
- In:
Management science : journal of the Institute for …
67
(
2021
)
12
,
pp. 7888-7911
Persistent link: https://www.econbiz.de/10012815790
Saved in:
7
Yield curves from different bond data sets
Díaz Pérez, Antonio
;
Jareño, Francisco
;
Navarro …
- In:
Review of derivatives research
23
(
2020
)
2
,
pp. 191-226
Persistent link: https://www.econbiz.de/10012229792
Saved in:
8
A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
Saved in:
9
Modelling interest payments for macroeconomic assessment
Girón, Celestino
;
Morano, Marta
;
Quilis, Enrique M.
; …
-
2016
Persistent link: https://www.econbiz.de/10011799259
Saved in:
10
A duration approach for the measurement of biometric risks in life insurance
Radermacher, Marius
;
Recht, Peter
- In:
Zeitschrift für die gesamte Versicherungswissenschaft …
108
(
2019
)
3/4
,
pp. 327-345
Persistent link: https://www.econbiz.de/10012213977
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