Staying at zero with affine processes: an application to term structure modelling (Q1676383): Difference between revisions

@@ Property / cites work @@
+Do interest rate options contain information about excess returns?
+Normal rank
@@ Property / cites work @@
+Dynamic Factor Models
@@ Property / cites work: Dynamic Factor Models / rank @@
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of affine term structure models with spanned or unspanned stochastic volatility
+Normal rank
@@ Property / cites work @@
+Structural Laplace Transform and Compound Autoregressive Models
+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 @@
+Markovian term structure models in discrete time
@@ Property / cites work: Markovian term structure models in discrete time / rank @@
+Normal rank
@@ Property / cites work @@
+Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
+Normal rank
@@ Property / cites work @@
+Q3923307
@@ Property / cites work: Q3923307 / rank @@
+Normal rank
@@ Property / cites work @@
+Term structure models and the zero bound: an empirical investigation of Japanese yields
+Normal rank
@@ Property / cites work @@
+Term structure views of monetary policy under alternative models of agent expectations
+Normal rank
@@ Property / cites work @@
+Measuring the stance of monetary policy in zero lower bound environments
+Normal rank
@@ Property / cites work @@
+A quadratic Kalman filter
@@ Property / cites work: A quadratic Kalman filter / rank @@
+Normal rank
@@ Property / cites work @@
+A model of the euro-area yield curve with discrete policy rates
+Normal rank
@@ Property / cites work @@
+The noncentral chi-squared distribution with zero degrees of freedom and testing for uniformity
+Normal rank