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Affine bond pricing with a mixture distribution for interest rate time-series dynamics
Rasmussen, Torben B - 2010
Persistent link: https://www.econbiz.de/10003939417
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An asset pricing approach to testing general term structure models including Heath-Jarrow-Morton specifications and affine subclasses
Christensen, Bent Jesper; Wel, Michael van der - 2010
Persistent link: https://www.econbiz.de/10003947812
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Nonlinear Kalman filtering in affine term structure models
Christoffersen, Peter F.; Dorion, Christian; Jacobs, Kris; … - 2012
Persistent link: https://www.econbiz.de/10009667381
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A Gaussian approach for continous time models of the short-term interest rate
Yu, Jun; Phillips, Peter C. B. - In: The econometrics journal 4 (2001) 4, pp. 210-224
Persistent link: https://www.econbiz.de/10001651353
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Long and short memory in dynamic term structure models
Huseynov, Salman - 2021 - This version: 3 December 2021
Persistent link: https://www.econbiz.de/10012815974
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Change point tests in functional factor models with application to Yield curves
Bardsley, Patrick; Horváth, Lajos; Kokoszka, Piotr; … - In: The econometrics journal 20 (2017) 1, pp. 86-117
Persistent link: https://www.econbiz.de/10011719969
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Modelling and estimating large macroeconomic shocks during the pandemic
Corrado, Luisa; Grassi, Stefano; Paolillo, Aldo - 2021
Persistent link: https://www.econbiz.de/10012620771
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Interest rate convergence in the EMS prior to European Monetary Union
Frömmel, Michael; Kruse, Robinson - 2009
Persistent link: https://www.econbiz.de/10003849559
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Unit root vector autoregression with volatility induced stationarity
Rahbek, Anders; Bohn Nielsen, Heino - 2012
Persistent link: https://www.econbiz.de/10009546007
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The time-varying stystematic risk of carry trade strategies
Christiansen, Charlotte; Ranaldo, Angelo; Söderllind, Paul - 2009
Persistent link: https://www.econbiz.de/10003849534