Long memory affine term structure models
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- scientific article; zbMATH DE number 2042814
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Cites work
- scientific article; zbMATH DE number 4102349 (Why is no real title available?)
- scientific article; zbMATH DE number 3528866 (Why is no real title available?)
- scientific article; zbMATH DE number 3609018 (Why is no real title available?)
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- A general version of the fundamental theorem of asset pricing
- A simple long-memory equilibrium interest rate model
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Arbitrage in fractional Brownian motion models
- Arbitrage with Fractional Brownian Motion
- Contemporaneous aggregation of linear dynamic models in large economies
- Identification and estimation of Gaussian affine term structure models
- Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
- Log-periodogram regression of time series with long range dependence
- Long memory and regime switching
- Long memory continuous time models
- Long memory relationships and the aggregation of dynamic models
- Long memory with stochastic variance model: a recursive analysis for US inflation
- Martingales and arbitrage in multiperiod securities markets
- Monetary policy regimes and the term structure of interest rates
- NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
- State space modeling of long-memory processes
- The fundamental theorem of asset pricing for continuous processes under small transaction costs
Cited in
(11)- Hedging longevity risk under non-Gaussian state-space stochastic mortality models: a mean-variance-skewness-kurtosis approach
- BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE
- Long run forward rates and long yields of bonds and options in heterogeneous equilibria
- Local-momentum autoregression and the modeling of interest rate term structure
- Time-varying persistence of inflation: evidence from a wavelet-based approach
- Testable implications of affine term structure models
- A note on the long rate in factor models of the term structure
- Affine term-structure models with delays
- Estimation of affine term structure models with spanned or unspanned stochastic volatility
- Mean Reversion Level Extensions of Time‐Homogeneous Affine Term Structure Models
- Rate-amplifying demand and the excess sensitivity of long-term rates
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