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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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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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Explaining asset prices with low risk aversion and low intertemporal substitution
Andreasen, Martin Møller; Jørgensen, Kasper - 2016
Persistent link: https://www.econbiz.de/10011474816
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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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The TIPS liquidity premium
Andreasen, Martin Møller; Christensen, Jens H. E.; … - 2017
Persistent link: https://www.econbiz.de/10011706202
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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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Dynamic factor models with smooth loadings for analyzing the term structure of interest rates
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009
Persistent link: https://www.econbiz.de/10003875669