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1
Speed and Conditional Noise as Information for Illiquidity and Fixed Income Arbitrage
Durham, J. Benson
-
2019
Previous studies suggest that trading conditions in the secondary market for nominal U.S. Treasury (UST) coupon securities embeds critical information about global financial market liquidity and the limits to arbitrage. We propose three new general measures based on deviations of observed...
Persistent link: https://www.econbiz.de/10012865887
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2
Implied Interest Rate Skew, Term Premiums, and the 'Conundrum'
Durham, J. Benson
-
2019
The skew, irrespective of the mean and variance, of investors' interest rate expectations may affect required bond yields over expected short rates. Indeed, evidence suggests that the near-term skew of the option-implied distribution of short-term interest rates correlates with distant-horizon...
Persistent link: https://www.econbiz.de/10012868620
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3
Arbitrage-Free Models of Stocks and Bonds
Durham, J. Benson
-
2014
A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that are consistent with a simple dividend discount model,...
Persistent link: https://www.econbiz.de/10013061074
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4
Arbitrage-free models of stocks and bonds
Durham, J. Benson
-
2013
A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that are consistent with a simple dividend discount model,...
Persistent link: https://www.econbiz.de/10010222892
Saved in:
5
Implied interest rate skew, term premiums, and the ʺconundrumʺ
Durham, J. Benson
-
2007
Structure,” Journal of Financial Economics, Vol. 63, pp. 415–441.
Durham
,
J
.
Benson
, 2006a, “An Estimate of the Inflation ….
Durham
,
J
.
Benson
, 2006b, “Additional Analytical Approximations of the Term Structure and Distributional Assumptions for …
Persistent link: https://www.econbiz.de/10003828299
Saved in:
6
Implied interest rate skew, term premiums, and the "conundrum"
Durham, J. Benson
- In:
The journal of fixed income
17
(
2007
)
4
,
pp. 88-99
Persistent link: https://www.econbiz.de/10003729823
Saved in:
7
Additional analytical approximations of the term structure and distributional assumptions for jump-diffusion processes
Durham, J. Benson
- In:
The journal of fixed income
15
(
2006
)
4
,
pp. 61-73
Persistent link: https://www.econbiz.de/10003339418
Saved in:
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