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Testing term structure estimation methods

Bliss, Robert R. - 1996

Persistent link: https://www.econbiz.de/10000938527

Empirical tests of two state-variable Heath-Jarrow-Morton models

Bliss, Robert R. - In: Journal of money, credit and banking : JMCB 28 (1996) 3, pp. 452-476

Persistent link: https://www.econbiz.de/10001334599

Testing term structure estimation methods

Bliss, Robert R. - In: Advances in futures and options research : a research annual 9 (1997), pp. 197-231

Persistent link: https://www.econbiz.de/10001226754

Movements in the term structure of interest rates

Bliss, Robert R. - In: Economic review 82 (1997) 4, pp. 16-33

Persistent link: https://www.econbiz.de/10001234405

Empirical tests of two state-variable HJM models

Bliss, Robert R.; Ritchken, Peter H. - 1995

Persistent link: https://www.econbiz.de/10000925737

Option-implied risk aversion estimates

Bliss, Robert R.; Panigirtzoglou, Nikolaos - In: The journal of finance : the journal of the American … 59 (2004) 1, pp. 407-446

Persistent link: https://www.econbiz.de/10001932564

Testing Term Structure Estimation Methods

Bliss, Robert R. - 2015

This paper tests and compares five distinct methods for estimating the term structure. The Unsmoothed Fama-Bliss method is an iterative method by which the discount rate function is built up by computing the forward rate necessary to price successively longer maturity bonds. The Smoothed...

Persistent link: https://www.econbiz.de/10013032244

Financial Institutions and Markets : 2007-2008 - The Year of Crisis

Bliss, Robert R. (ed.); Kaufman, George G. (ed.) - 2009

Persistent link: https://www.econbiz.de/10012106154

Recovering risk aversion from options

Bliss, Robert R. (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001658437

Financial institutions and markets : 2007 - 2008 ; the year of crisis

Bliss, Robert R. (contributor); … - 2009 - 1. ed.

Persistent link: https://www.econbiz.de/10003872729