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Disagreement about inflation and the yield curve

Ehling, Paul; Gallmeyer, Michael F.; Heyerdahl-Larsen, … - In: Journal of financial economics 127 (2018) 3, pp. 459-484

Persistent link: https://www.econbiz.de/10011968936

Correlations

Ehling, Paul; Heyerdahl-Larsen, Christian - 2014

Persistent link: https://www.econbiz.de/10011788857

Disagreement about inflation and the yield curve

Ehling, Paul; Gallmeyer, Michael F.; Heyerdahl-Larsen, … - 2015

Persistent link: https://www.econbiz.de/10011795825

Correlations

Ehling, Paul; Heyerdahl-Larsen, Christian - In: Management science : journal of the Institute for … 63 (2017) 6, pp. 1919-1937

Persistent link: https://www.econbiz.de/10011707351

Risk Premia and Volatilities in a Nonlinear Term Structure Model

Feldhütter, Peter - 2020

We introduce a reduced-form term structure model with closed-form solutions for yields where the short rate and market prices of risk are nonlinear functions of Gaussian state variables. The nonlinear model with three factors matches the time-variation in expected excess returns and yield...

Persistent link: https://www.econbiz.de/10012857082

Risk premia and volatilities in a nonlinear term structure model

Feldhütter, Peter; Heyerdahl-Larsen, Christian; … - In: Review of finance : journal of the European Finance … 22 (2018) 1, pp. 337-380

Persistent link: https://www.econbiz.de/10011990795

Risk aversion sensitive real business cycles

Chen, Zhanhui; Cooper, Ilan; Ehling, Paul; Xiouros, Costas - In: Management science : journal of the Institute for … 67 (2021) 4, pp. 2483-2499

Persistent link: https://www.econbiz.de/10012522807