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Specification analysis of affine term structure models
Dai, Qiang; Singleton, Kenneth J. - 1997
Persistent link: https://www.econbiz.de/10000637523
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A habit-based explanation of the exchange rate risk premium
Verdelhan, Adrien - 2005
Persistent link: https://www.econbiz.de/10003380904
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Endogenous dividend dynamics and the term structure of dividend strips
Belo, Frederico; Collin-Dufresne, Pierre; Goldstein, … - 2012
Persistent link: https://www.econbiz.de/10009666681
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Bond risk premia in consumption-based models
Creal, Drew; Wu, Jing Cynthia - 2016
Persistent link: https://www.econbiz.de/10011476470
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Asset pricing : modeling and estimation ; with 30 tables
Kellerhals, Boris-Philipp - 2004 - 2. ed.
Persistent link: https://www.econbiz.de/10001857154
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Spanning rates as factors in derivative term struture models : theory, empirical analysis and implementation
Haab, Stefan - 2000
Persistent link: https://www.econbiz.de/10001462593
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Pricing mortgage-backed securities in a multifactor interest rate environment : a multivariate density estimation approach
Boudoukh, Jacob; Whitelaw, Robert F.; Richardson, Matthew; … - In: The review of financial studies 10 (1997) 2, pp. 405-446
Persistent link: https://www.econbiz.de/10001220576
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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
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Testing the Heath-Jarrow-Morton - Ho-Lee model of interest rate contingent claims pricing
Flesaker, Bjorn - In: Journal of financial and quantitative analysis : JFQA 28 (1993) 4, pp. 483-495
Persistent link: https://www.econbiz.de/10001160498
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On the term structure of interest rates
Li, Song - 1992
Persistent link: https://www.econbiz.de/10000909899