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Asymptotics of bond yields and volatilities for extended Vasicek models under the real-world measure
Fergusson, K. - In: Annals of financial economics 12 (2017) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10011716067
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Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.; Hughston, Lane P.; Meier, David M. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
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Does realized volatility help bond yield density prediction?
Shin, Minchul; Zhong, Molin - In: International journal of forecasting 33 (2017) 2, pp. 373-389
Persistent link: https://www.econbiz.de/10011922068
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Bond risk premia in consumption‐based models
Creal, Drew; Wu, Jing Cynthia - In: Quantitative economics : QE ; journal of the … 11 (2020) 4, pp. 1461-1484
Gaussian affine term structure models attribute time‐varying bond risk premia to changing risk prices driven by the … conditional means of the risk factors, while structural models with recursive preferences credit it to stochastic volatility. We … model with recursive preferences. Our model is affine and has analytical bond prices making it empirically tractable. We use …
Persistent link: https://www.econbiz.de/10012316725
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The risk-return tradeoff : a COGARCH analysis of Merton's hypothesis
Müller, Gernot; Durand, Robert B.; Maller, Ross A. - In: Journal of empirical finance 18 (2011) 2, pp. 306-320
Persistent link: https://www.econbiz.de/10009301116
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Financial Markets Efficiency and Economic Behaviour : Evaluating Euro Area Economies
Tomat, Gian Maria - 2023
-- Chapter 5 Bond valuation -- Chapter 6 Yield curves -- Chapter 7 Term structure models -- Chapter 8 Real estate market …
Persistent link: https://www.econbiz.de/10014337024
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Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
Bishwal, Jaya Prakasah Narayan - In: Algorithmic finance 10 (2023) 1/2, pp. 53-66
Persistent link: https://www.econbiz.de/10014474576
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Time to build and bond risk premia
Guo, Bin; Huang, Fuzhe; Li, Kai - In: Journal of economic dynamics & control 121 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012504154
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Bond risk premia and Gaussian term structure models
Feunou, Bruno; Fontaine, Jean-Sébastien - In: Management science : journal of the Institute for … 64 (2018) 3, pp. 1413-1439
Persistent link: https://www.econbiz.de/10011847256
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Time to build and bond risk premia
Guo, Bin; Huang, Fuzhe; Li, Kai - In: Journal of economic dynamics & control 136 (2022), pp. 1-23
Persistent link: https://www.econbiz.de/10013394035