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A test of the Cox, Ingersoll, and Ross model of the term structure

Gibbons, Michael R. - In: The review of financial studies 6 (1993) 3, pp. 619-658

Persistent link: https://www.econbiz.de/10001159893

A dynamic model for the forward curve

Chua, Choong Tze; Foster, Dean P.; Ramaswamy, Krishna; … - In: The review of financial studies 21 (2008) 1, pp. 265-310

Persistent link: https://www.econbiz.de/10003716162

A dynamic model for the forward curve

Chua, Choong Tze; Foster, Dean P.; Ramaswamy, Krishna; … - 2005

This paper develops and estimates a dynamic arbitrage-free model for the current forward curve as the sum of (i) an unconditional component, (ii) a maturity-specifc component and (iii) a date-specifc component.

Persistent link: https://www.econbiz.de/10003726405

Profit from mean-reverting yield curve trading strategies

Chua, Choong Tze; Koh, Winston T. H.; Ramaswamy, Krishna - In: The journal of fixed income 15 (2006) 4, pp. 20-33

Persistent link: https://www.econbiz.de/10003339377

A recursive parameter estimation technique for term structure models

Chua, Choong Tze; Ramaswamy, Krishna - In: The journal of fixed income 20 (2010/11) 3, pp. 97-110

Persistent link: https://www.econbiz.de/10008858595

Comparing returns of US treasuries versus equities : implications for market and portfolio efficiency

Chua, Choong Tze; Koh, Winston T. H.; Ramaswamy, Krishna - In: Applied financial economics 15 (2005) 17, pp. 1213-1218

Persistent link: https://www.econbiz.de/10003228793