The term structure of interest rates under regime shifts and jumps (Q1929464): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.econlet.2006.05.006
+Normal rank
@@ Property / OpenAlex ID @@
+W2064135781
@@ Property / OpenAlex ID: W2064135781 / rank @@
+Normal rank
@@ Property / cites work @@
+The surprise element: Jumps in interest rates.
@@ Property / cites work: The surprise element: Jumps in interest rates. / rank @@
+Normal rank
@@ Property / cites work @@
+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Martingales and arbitrage in multiperiod securities markets
+Normal rank
@@ Property / cites work @@
+Bond pricing in a hidden Markov model of the short rate
+Normal rank
@@ Property / cites work @@
+Q4850018
@@ Property / cites work: Q4850018 / rank @@
+Normal rank
@@ Property / cites work @@
+A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK
+Normal rank