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Around and around : the expectations hypothesis
Fisher, Mark - In: The journal of finance : the journal of the American … 53 (1998) 1, pp. 365-383
Persistent link: https://www.econbiz.de/10001235479
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A Markov model for the term structure of credit risk spreads
Jarrow, Robert A.; Lando, David; Turnbull, Stuart M. - 1994
Persistent link: https://www.econbiz.de/10000904137
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Term structure models driven by general Lévy processes
Eberlein, Ernst; Raible, Sebastian - In: Mathematical finance : an international journal of … 9 (1999) 1, pp. 31-53
Persistent link: https://www.econbiz.de/10001363481
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A multifactor, nonlinear, continuous-time model of interest rate volatility
Boudoukh, Jacob; Richardson, Matthew; Stanton, Richard; … - 1999
Persistent link: https://www.econbiz.de/10001394312
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Markov chains and the potential approach to modelling interest rates and exchange rates
Rogers, Leonard C. G.; Yousaf, F. A. - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 375-406). 2002
Persistent link: https://www.econbiz.de/10001679461
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Estimating intractable non-linear term structure models
Mikkelsen, Peter - 2002
Persistent link: https://www.econbiz.de/10001683220
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On the existence of finite-dimensional realizations for nonlinear forward rate models
Björk, Tomas; Svensson, Lars E. O. - In: Mathematical finance : an international journal of … 11 (2001) 2, pp. 205-243
Persistent link: https://www.econbiz.de/10001650926
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Monetary policy regimes : implications for the yield curve and bond pricing
Filipova, Kameliya; Audrino, Francesco; De Giorgi, Enrico - In: Journal of financial economics 113 (2014) 3, pp. 427-454
Persistent link: https://www.econbiz.de/10010495817
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Priors and Bayesian parameter estimation of affine term structure models
Sögner, Leopold - In: International journal of computational economics and … 4 (2014) 3/4, pp. 288-319
Persistent link: https://www.econbiz.de/10010496421
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A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors
Dionne, Georges - 2010
An important research area of the corporate yield spread literature seeks to measure the proportion of the spread that can be explained by factors such as the possibility of default, liquidity, tax differentials and market risk. We contribute to this literature by assessing the ability of...
Persistent link: https://www.econbiz.de/10013136262