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Term premia and interest rate forecasts in affine models
Duffee, Greg - In: The journal of finance : the journal of the American … 57 (2002) 1, pp. 405-443
Persistent link: https://www.econbiz.de/10001650385
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Modeling sovereign yield spreads : a case study of Russian debt
Duffie, Darrell; Pedersen, Lasse Heje; Singleton, Kenneth J. - In: The journal of finance : the journal of the American … 58 (2003) 1, pp. 119-159
Persistent link: https://www.econbiz.de/10001737267
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Do bonds span volatility risk in the US treasury market? : a specification test for affine term structure models
Andersen, Torben; Benzoni, Luca - In: The journal of finance : the journal of the American … 65 (2010) 2, pp. 603-653
Persistent link: https://www.econbiz.de/10003962242
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On the term structure of default premia in the swap and LIBOR markets
Collin-Dufresne, Pierre; Solnik, Bruno - In: The journal of finance : the journal of the American … 56 (2001) 3, pp. 1095-1115
Persistent link: https://www.econbiz.de/10001593029
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Idiosyncratic variation of Treasury bill yields
Duffee, Greg - In: The journal of finance : the journal of the American … 51 (1996) 2, pp. 527-551
Persistent link: https://www.econbiz.de/10001205902
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The statistical and economic role of jumps in continuous-time interest rate models
Johannes, Michael - In: The journal of finance : the journal of the American … 59 (2004) 1, pp. 227-260
Persistent link: https://www.econbiz.de/10001932051
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Real rates, expected inflation, and inflation risk premia
Evans, Martin D. D. - In: The journal of finance : the journal of the American … 53 (1998) 1, pp. 187-218
Persistent link: https://www.econbiz.de/10001235489
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The relation between treasury yields and corporate bond yield spreads
Duffee, Greg - In: The journal of finance : the journal of the American … 53 (1998) 6, pp. 2225-2241
Persistent link: https://www.econbiz.de/10001251907
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The relation between default-free interest rates and expected economic growth is stronger than you think
Kamara, Avraham - In: The journal of finance : the journal of the American … 52 (1997) 4, pp. 1681-1694
Persistent link: https://www.econbiz.de/10001227626
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A nonparametric model of term structure dynamics and the market price of interest rate risk
Stanton, Richard - In: The journal of finance : the journal of the American … 52 (1997) 5, pp. 1973-2002
Persistent link: https://www.econbiz.de/10001232335