We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuous-state branching processes with immigration and Ornstein-Uhlenbeck type processes.(...)

This paper developes a model of optimal consumption and portfolio choice for infinitely-lived investors facing stochastic interest rates, solve it using an approximate analytical method, and evaluate the conventional wisdom.

This paper publishes new results on immunization of bond portfolios.

This paper proposes a novel methodology, based on the Common Principal Component analysis, allowing one to estimate the factors driving the term structure of interest rates, in the presence of time-varying covariance structure.

This paper develops a model and estimate simultaneously the joint dynamics of default-free and defaultable bond term structures.

This paper deals with the relation between the term structure of rents and future spot rents.

This paper investigates the dynamics of the term structure of bond market illiquidity premia. We analyze the comovement of short-, medium-, and long-termilliquidity premia and identify economic factors determining them. Our resultsshow that the term structure of illiquidity premia is U-shaped on...

In this paper we present a new methodology for modelling the development of the prices of defaultable zero coupon bonds that is inspired by the Heath-Jarrow-Morton (HJM) approach to risk-free interest rate modelling. Instead of precisely specifying the mechanism that triggers the default we...

We examine the informational content of TIPS yields from the viewpoint of a general 3-factor no-arbitrage term structure model of inflation and interest rates. Our empirical results indicate that TIPS yields contained a "liquidity premium" that was until recently quite large (~1%). Key features...