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A joint framework for consistently pricing interest rates and interest rate derivatives
Heidari, Massoud; Wu, Liuren - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 3, pp. 517-550
Persistent link: https://www.econbiz.de/10003887360
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Testing the elasticity of corporate yield spreads
Jacoby, Gady; Liao, Rose C.; Batten, Jonathan A. - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 3, pp. 641-656
Persistent link: https://www.econbiz.de/10003887386
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Asset substitution and structured financing
Vanden, Joel M. - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 4, pp. 911-951
Persistent link: https://www.econbiz.de/10003901205
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Term structure, inflation, and real activity
Berardi, Andrea - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 4, pp. 987-1011
Persistent link: https://www.econbiz.de/10003901214
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An international examination of affine term structure models and the expectations hypothesis
Tang, Huarong; Xia, Yihong - In: Journal of financial and quantitative analysis : JFQA 42 (2007) 1, pp. 41-80
Persistent link: https://www.econbiz.de/10003434453
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The empirical failure of the expectations hypothesis of the term structure of bond yields
Sarno, Lucio; Thornton, Daniel L.; Valente, Giorgio - In: Journal of financial and quantitative analysis : JFQA 42 (2007) 1, pp. 81-100
Persistent link: https://www.econbiz.de/10003434577
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Nonparametric estimation of the short rate diffusion process from a panel of yields
Sam, Abdoul G.; Jiang, George J. - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 5, pp. 1197-1230
Persistent link: https://www.econbiz.de/10003939135
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Affine models of the joint dynamics of exchange rates and interest rates
Anderson, Bing; Hammond, Peter J.; Ramezani, Cyrus A. - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 5, pp. 1341-1365
Persistent link: https://www.econbiz.de/10008907330
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The term structure of variance swap rates and optimal variance swap investments
Egloff, Daniel; Leipold, Markus; Wu, Liuren - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 5, pp. 1279-1310
Persistent link: https://www.econbiz.de/10008907332
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An explicit, multi-factor credit default swap pricing model with correlated factors
Chen, Ren-Raw; Cheng, Xiaolin; Fabozzi, Frank J.; Liu, Bo - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 1, pp. 123-160
Persistent link: https://www.econbiz.de/10003692397