Narrow search
Showing 1 - 10 of 109
Cover Image
Stochastic volatility
Andersen, Torben; Benzoni, Luca - 2010
Persistent link: https://www.econbiz.de/10003937010
Cover Image
Affine bond pricing with a mixture distribution for interest rate time-series dynamics
Rasmussen, Torben B - 2010
Persistent link: https://www.econbiz.de/10003939417
Cover Image
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
Cover Image
The volatility of long-term bond returns : rersistent interest shocks and time-varying risk premiums
Osterrieder, Daniela; Schotman, Peter C. - 2012
Persistent link: https://www.econbiz.de/10009576958
Cover Image
Nonlinear Kalman filtering in affine term structure models
Christoffersen, Peter F.; Dorion, Christian; Jacobs, Kris; … - 2012
Persistent link: https://www.econbiz.de/10009667381
Cover Image
The incremental information in the yield curve about future interest rate risk
Christensen, Bent Jesper; Kjær, Mads Markvart; … - 2021 - This version: June 28, 2021
Persistent link: https://www.econbiz.de/10012621334
Cover Image
Long and short memory in dynamic term structure models
Huseynov, Salman - 2021 - This version: 3 December 2021
Persistent link: https://www.econbiz.de/10012815974
Cover Image
Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller - 2019
Persistent link: https://www.econbiz.de/10012063989
Cover Image
Parametric portfolio policies with common volatility dynamics
Ergemen, Yunus Emre; Taamouti, Abderrahim - 2015
Persistent link: https://www.econbiz.de/10011327704
Cover Image
Modelling and estimating large macroeconomic shocks during the pandemic
Corrado, Luisa; Grassi, Stefano; Paolillo, Aldo - 2021
Persistent link: https://www.econbiz.de/10012620771