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Term premium and long-range dependence in volatility : a FIGARACH-M estimation on some Asian countries
Lardic, Sandrine (contributor); Mignon, Valérie (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001724115
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Modeling long-range dependence in European time-varying term premia
Lardic, Sandrine (contributor); Mignon, Valérie (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001724122
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Fractional cointegration and term structure of interest rates
Lardic, Sandrine (contributor); Mignon, Valérie (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001724127
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Linear-quadratic jump-diffusion modelling with application to stochastic volatility
Cheng, Peng (contributor); Scaillet, Olivier (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001906852
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Optimal Maturity Structure of Sovereign Debt in Situation of Near Default
Desgranges, Gabriel - 2014
We study the relationship between default and the maturity structure of the debt portfolio of a Sovereign, under uncertainty. The Sovereign faces a trade-off between a future costly default and a high current fiscal effort. This results into a debt crisis in case a large initial issuance of long...
Persistent link: https://www.econbiz.de/10014411505
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Optimal Maturity Structure of Sovereign Debt in Situation of Near Default
Rochon, Céline - 2014
We study the relationship between default and the maturity structure of the debt portfolio of a Sovereign, under uncertainty. The Sovereign faces a trade-off between a future costly default and a high current fiscal effort. This results into a debt crisis in case a large initial issuance of long...
Persistent link: https://www.econbiz.de/10013045943