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No arbitrage priors, drifting volatilites, and the term structure of interest rates
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2014
Persistent link: https://www.econbiz.de/10010363319
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Challenges in macro-finance modeling
Kim, Don - 2008
Persistent link: https://www.econbiz.de/10003828820
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Challenges in macro-finance modeling
Kim, Don H. - In: Review / Federal Reserve Bank of St. Louis 91 (2009) 5/2, pp. 519-544
Persistent link: https://www.econbiz.de/10003924388
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Essays on financial econometrics : modeling the term structure of interest rates
Bouwman, Kees Evert - 2008
Persistent link: https://www.econbiz.de/10003671104
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Challenges in macro-finance modeling
Kim, Don H. - 2007
macroeconomic variables and term structure variables are modeled together in a no-arbitrage framework. I classify macro …
Persistent link: https://www.econbiz.de/10003675524
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Market price of risk specifications for affine models : theory and evidence
Cheridito, Patrick; Filipović, Damir; Kimmel, Robert - In: Journal of financial economics 83 (2007) 1, pp. 123-170
Persistent link: https://www.econbiz.de/10003410381
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Essays in financial economics
Greenwood, Robin - 2002
Persistent link: https://www.econbiz.de/10003779960
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Rate of arbitrage and reconciled beliefs
Feinberg, Yossi (contributor); Scarsini, Marco (contributor) - In: Economics bulletin : EB (2003)
Persistent link: https://www.econbiz.de/10002490858
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Mispricing and costly arbitrage
Sadka, Ronnie; Scherbina, Anna - In: Journal of investment management : JOIM 8 (2010) 1, pp. 87-99
Persistent link: https://www.econbiz.de/10003966814
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Arbitrage in skew Brownian motion models
Rossello, Damiano - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 50-56
Persistent link: https://www.econbiz.de/10009501701