Pages that link to "Item:Q4226871"
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The following pages link to A YIELD‐FACTOR MODEL OF INTEREST RATES (Q4226871):
Displaying 50 items.
- Forecasting the term structure of government bond yields (Q94953) (← links)
- Estimation of a nonparametric model for bond prices from cross-section and time series information (Q104342) (← links)
- Testing affine term structure models in case of transaction costs (Q262758) (← links)
- Affine realizations with affine state processes for stochastic partial differential equations (Q271881) (← links)
- The macroeconomy and the yield curve: a dynamic latent factor approach (Q292022) (← links)
- What does the yield curve tell us about GDP growth? (Q292029) (← links)
- A joint econometric model of macroeconomic and term-structure dynamics (Q292033) (← links)
- Multivariate Jacobi process with application to smooth transitions (Q292036) (← links)
- A cyclical square-root model for the term structure of interest rates (Q299796) (← links)
- Local-momentum autoregression and the modeling of interest rate term structure (Q308389) (← links)
- Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model (Q340669) (← links)
- A joint stock and bond market based on the hyperbolic Gaussian model (Q362053) (← links)
- Stock index dynamics and derivatives pricing with stochastic interest rates (Q375371) (← links)
- Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\) (Q402407) (← links)
- A numerical approach to obtain the yield curves with different risk-neutral drifts (Q409791) (← links)
- The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts (Q413330) (← links)
- Maximum likelihood estimation of partially observed diffusion models (Q469573) (← links)
- Robust portfolio choice with stochastic interest rates (Q470730) (← links)
- Pricing of discount bonds with a Markov switching regime (Q481375) (← links)
- Liquidity risk, price impacts and the replication problem (Q483927) (← links)
- On matching diffusions, Laplace transforms and partial differential equations (Q492943) (← links)
- Prediction bias correction for dynamic term structure models (Q500507) (← links)
- Bond pricing under mixed generalized CIR model with mixed Wishart volatility process (Q515757) (← links)
- Identification and estimation of Gaussian affine term structure models (Q527947) (← links)
- Bias in the estimation of the mean reversion parameter in continuous time models (Q527981) (← links)
- Term structure models and the zero bound: an empirical investigation of Japanese yields (Q528018) (← links)
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach (Q528171) (← links)
- Bias in estimating multivariate and univariate diffusions (Q530603) (← links)
- Discrete time Wishart term structure models (Q543795) (← links)
- Interest rate theory and geometry (Q604623) (← links)
- Shape factors and cross-sectional risk (Q609842) (← links)
- A Markov regime-switching marked point process for short-rate analysis with credit risk (Q611051) (← links)
- American options and callable bonds under stochastic interest rates and endogenous bankruptcy (Q660162) (← links)
- Consistency conditions for affine term structure models II. Option pricing under diffusions with embdded jumps (Q665718) (← links)
- On the equivalence of a class of affine term structure models (Q666298) (← links)
- Credit risk analysis of mortgage loans: An application to the Italian market (Q704063) (← links)
- Functional dynamic factor models with application to yield curve forecasting (Q714342) (← links)
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\) (Q722068) (← links)
- Intelligible factors for the yield curve (Q736543) (← links)
- The affine arbitrage-free class of Nelson-Siegel term structure models (Q737987) (← links)
- How useful are no-arbitrage restrictions for forecasting the term structure of interest rates? (Q737988) (← links)
- Do interest rate options contain information about excess returns? (Q737991) (← links)
- Generalized spectral testing for multivariate continuous-time models (Q738028) (← links)
- Sup-convolutions of HARA utilities in the affine term structure (Q816443) (← links)
- A class of jump-diffusion bond pricing models within the HJM framework (Q816765) (← links)
- Affine processes for dynamic mortality and actuarial valuations (Q817280) (← links)
- Multi-layer model of correlated energy prices (Q847241) (← links)
- Continuous time one-dimensional asset-pricing models with analytic price-dividend functions (Q847865) (← links)
- Currency crises and the term structure of interest rates (Q850632) (← links)
- The impact of short-sale constraints on asset allocation strategies via the backward Markov chain approximation method (Q857737) (← links)
