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A joint framework for consistently pricing interest rates and interest rate derivatives
Heidari, Massoud; Wu, Liuren - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 3, pp. 517-550
Persistent link: https://www.econbiz.de/10003887360
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Testing the elasticity of corporate yield spreads
Jacoby, Gady; Liao, Rose C.; Batten, Jonathan A. - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 3, pp. 641-656
Persistent link: https://www.econbiz.de/10003887386
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Theoretical and empirical analysis of common factors in a term structure model
Huang, Ting-Ting - 2009
Persistent link: https://www.econbiz.de/10003888314
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Affine term structure models
Piazzesi, Monika - 2010
Persistent link: https://www.econbiz.de/10003900694
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Essays on financial markets and the macroeconomy
Mönch, Emanuel - 2006
Persistent link: https://www.econbiz.de/10003412031
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Risikoexposure deutscher Universal- und Hypothekenbanken gegenüber makroökonomischen Schocks
Behr, Patrick; Sebastian, Steffen - In: Kredit und Kapital 39 (2006) 4, pp. 513-536
Persistent link: https://www.econbiz.de/10003415587
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Yield curve estimation at the National Bank of Poland: spline based methods, curve smoothing and market dynamics
Marciniak, Marek - In: Bank i kredyt 37 (2006) 10, pp. 52-74
Persistent link: https://www.econbiz.de/10003426773
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Government bond yield spreads : a survey
Lo Conte, Riccardo - In: Giornale degli economisti e annali di economia 68 (2009) 3, pp. 341-369
Persistent link: https://www.econbiz.de/10003908233
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La curva de rendimientos a plazo y las expectativas de tasas de interés en los mercados colombianos de renta fija 2002 - 2007
Agudelo Rueda, Diego; Arango Arango, Mónica - In: Lecturas de economía 68 (2008), pp. 39-66
Persistent link: https://www.econbiz.de/10003949800
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No-arbitrage macroeconomic determinants of the yield curve
Bikbov, Ruslan; Chernov, Mikhail - In: Journal of econometrics 159 (2010) 1, pp. 166-182
Persistent link: https://www.econbiz.de/10008839932