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Leaving your tailings behind : environmental bonds, bankruptcy and waste cleanup
Aghakazemjourabbaf, Sara; Insley, Margaret - 2020
Persistent link: https://www.econbiz.de/10012242317
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Stochastic durations, the convexity effect, and the impact of interest rate changes
Fonseca, José Soares da - In: The European journal of finance 20 (2014) 10/12, pp. 994-1007
Persistent link: https://www.econbiz.de/10010464881
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A frequency decomposition of approximation errors in stochastic discount factor models
Cogley, Timothy - 1997
Persistent link: https://www.econbiz.de/10001362976
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A Stochastic Model for Default-Free Bond Prices and Continuously Compounding Yield-to-Maturity
Bhowmick, Partho Sarathi - 2009
The following article examines a stochastic, log-normal model for the continuously compounding yield-to-maturity and a corresponding price model for default-free zero coupon bonds. This article sets conditions for the validity of the model and goes on to show that this model is a special case of...
Persistent link: https://www.econbiz.de/10013155757
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Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller - 2019
Persistent link: https://www.econbiz.de/10012063989
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Time to build and bond risk premia
Guo, Bin; Huang, Fuzhe; Li, Kai - In: Journal of economic dynamics & control 121 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012504154
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Bond risk premia in consumption‐based models
Creal, Drew; Wu, Jing Cynthia - In: Quantitative economics : QE ; journal of the … 11 (2020) 4, pp. 1461-1484
Gaussian affine term structure models attribute time‐varying bond risk premia to changing risk prices driven by the … model with recursive preferences. Our model is affine and has analytical bond prices making it empirically tractable. We use … particle Markov chain Monte Carlo to estimate the model, and find that time variation in bond term premia is predominantly …
Persistent link: https://www.econbiz.de/10012316725
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Time to build and bond risk premia
Guo, Bin; Huang, Fuzhe; Li, Kai - In: Journal of economic dynamics & control 136 (2022), pp. 1-23
Persistent link: https://www.econbiz.de/10013394035
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Stochastic optimal control : the discrete-time case
Bertsekas, Dimitri P.; Shreve, Steven E. - 1996 - [Reprint]
Persistent link: https://www.econbiz.de/10000633414
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Optimality of deterministic policies for certain stochastic control problems with multiple criteria and constraints
Feinberg, Eugene A. - In: Mathematical control theory and finance, (pp. 137-148). 2008
Persistent link: https://www.econbiz.de/10003755590