[go: up one dir, main page]
create a website
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates. (2005). Valente, Giorgio ; Taylor, Mark ; Sarno, Lucio ; Clarida, Richard.
In: CEPR Discussion Papers.
RePEc:cpr:ceprdp:4835.

Full description at Econpapers || Download paper

Cited: 6

Citations received by this document

Cites: 67

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Revisiting the expectations hypothesis: The Japanese term structure and regime shifts. (2011). Zhu, Xiaoneng .
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:63:y:2011:i:3:p:237-249.

    Full description at Econpapers || Download paper

  2. The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value. (2007). Thornton, Daniel ; Sarno, Lucio ; Della Corte, Pasquale.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-061.

    Full description at Econpapers || Download paper

  3. The dynamic relationship between the Euro overnight rate, the ECB´s policy rate and the term spread. (2006). Nautz, Dieter ; Offermanns, Christian J..
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4238.

    Full description at Econpapers || Download paper

  4. Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle. (2006). Valente, Giorgio ; Sarno, Lucio ; Leon, Hyginus .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5527.

    Full description at Econpapers || Download paper

  5. Interest rate pass-through and financial crises: do switching regimes matter? the case of Argentina. (2005). Humala, Alberto.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:2:p:77-94.

    Full description at Econpapers || Download paper

  6. The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields. (2005). Valente, Giorgio ; Thornton, Daniel ; Sarno, Lucio.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5259.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Ahn, D.-H., Dittmar, R.F. and Gallant, A.R. 2002. Quadratic Term Structure Models: Theory and Evidence. Review of Financial Studies. 15:243-288.

  2. American Economic Review. 85:201-218. McCracken, M.W. 2000. Robust Out-of-Sample Inference. Journal of Econometrics. 99:195-223.

  3. Anderson, H.M. 1997. Transaction Costs and Nonlinear Adjustment Towards Equilibrium in the US Treasury Bill Market. Oxford Bulletin of Economics and Statistics. 59:465-484.

  4. Andrews, D.W.K. 1991. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation. Econometrica. 59:817-858.

  5. Ang, A. and Bekaert, G. 2002. Regime Switches in Interest Rates. Journal of Business and Economic Statistics. 20:163-182.

  6. Bansal, R., Tauchen, G. and Zhou, H. 2003. Regime-Shifts, Risk Premiums in the Term Structure, and the Business Cycle. Journal of Business and Economics Statistics. (in press).

  7. Bekaert, G., Hodrick, R.J. and Marshall, D.A. 2001. Peso Problem Explanations for Term Structure Anomalies. Journal of Monetary Economics. 48:241-70.

  8. Berkson, J. 1938. Some Difficulties of Interpretation Encountered in the Application of the ChiSquare Test. Journal of the American Statistical Association. 53:28-38.
    Paper not yet in RePEc: Add citation now
  9. Brown, B.Y. and Mariano, R.S. 1984. Residual Based Stochastic Predictors and Estimation in Nonlinear Models. Econometrica. 52:321-343.
    Paper not yet in RePEc: Add citation now

  10. Brown, B.Y. and Mariano, R.S. 1989. Predictors in Dynamic Nonlinear Models: Large Sample Behaviour. Econometric Theory. 5:430-452.

  11. Campbell, J.Y. and Clarida, R.H. 1986. The Term Structure of Euromarket Interest Rates: An Empirical Investigation. Journal of Monetary Economics. 19:25-44.

  12. Campbell, J.Y. and Shiller, R.J. 1987. Cointegration and Tests of Present Value Models. Journal of Political Economy. 95:1062-1088.

  13. Campbell, J.Y. and Shiller, R.J. 1991. Yield Spreads and Interest Rate Movements: A Birds Eye View. Review of Economic Studies. 58:495-514.

  14. Clarida, R.H. and Taylor, M.P. 2003. Nonlinear Permanent-Temporary Decompositions in Macroeconomics and Finance. Economic Journal 113:C125-39.

  15. Clarida, R.H., Gali, J. and Gertler, M. 1998. Monetary Policy Rules in Practice: Some International Evidence. European Economic Review. 42:1033-1067.

  16. Clarida, R.H., Gali, J. and Gertler, M. 1999. The Science of Monetary Policy: A New Keynesian Perspective. Journal of Economic Literature. 37:1661-1707.

  17. Clarida, R.H., Gali, J. and Gertler, M. 2000. Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory. Quarterly Journal of Economics. 115:147-180.

  18. Clarida, R.H., Sarno, L., Taylor, M.P. and Valente, G. 2003. The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond. Journal of International Economics.

  19. Clark, T.E. and McCracken, M.W. 2001. Tests of Equal Forecast Accuracy and Encompassing for Nested Models. Journal of Econometrics. 105:85-110.

  20. Clements, M.P. and Hendry, D.F. 1996. Intercept Corrections and Structural Change. Journal of Applied Econometrics. 11:475-494.

  21. College Press. Granger, C.W.J. and Teräsvirta, T. 1993. Modelling Nonlinear Economic Relationships, Oxford, UK: Oxford University Press.
    Paper not yet in RePEc: Add citation now
  22. Dempster, A.P., Laird, N.M. and Rubin, D.B. 1977. Maximum Likelihood Estimation from Incomplete Data Via the EM Algorithm. Journal of the Royal Statistical Society Series B. 39:1-38.
    Paper not yet in RePEc: Add citation now

  23. Diebold, F.X. and Mariano, R.S. 1995. Comparing Predictive Accuracy. Journal of Business and Economics Statistics. 13:253-263.

  24. Diebold, F.X., Gunther, T.A. and Tay, A.S. 1998. Evaluating Density Forecasts with Applications to Financial Risk Management. International Economic Review. 39:863-883.

  25. Econometric Theory. 8:1-27. Saikkonen, P. and Luukkonen, R. 1997. Testing Cointegration in Infinite Order Vector Autoregressive Processes. Journal of Econometrics. 81:93-126.

  26. Econometrica. 50:1029-1054. Hansen, H. and Johansen, S. 1999. Some Tests for Parameter Constancy in Cointegrated VARModels.

  27. Econometrics Journal. 2:306-333. Jagannathan, R., Kaplin, A. and Sun, G. 2000. An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates and Cap and Swaption Prices. Unpublished manuscript, Kellogg Graduate School of Management, Northwestern University.

  28. Enders, W. and Granger, C.W.J. 1998. Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates. Journal of Business and Economic Statistics.

  29. Engle, R.E. and Granger, C.W.J. 1987. Co-integration and Equilibrium Correction Representation, Estimation and Testing. Econometrica. 55:251-276.

  30. Estrella, A. 1998. A New Measure of Fit for Equations with Dichotomous Dependent Variables.

  31. Gallant A.R. 1987. Nonlinear Statistical Models, New York, NY: John Wiley.
    Paper not yet in RePEc: Add citation now

  32. Gallant, A.R., Rossi, P.E. and Tauchen, G. 1993. Nonlinear Dynamic Structures. Econometrica.

  33. Granger, C.W.J. 1986. Developments in the Study of Cointegrated Variables. Oxford Bulletin of Economics and Statistics. 48:213-228.

  34. Granger, C.W.J. and Pesaran, M.H. 1999. A Decision Theoretic Approach to Forecast Evaluation.

  35. Gray, S.F. 1996. Modelling the Conditional Distribution of Interest Rates as a Regime-Switching Process. Journal of Financial Economics. 42:27-62.
    Paper not yet in RePEc: Add citation now

  36. Hall, A.D., Anderson, H.M. and Granger, C.W.J. 1992. A Cointegration Analysis of Treasury Bill Yields. Review of Economics and Statistics. 74:116-126.

  37. Hamilton, J.D. 1988. Rational Expectations Econometric Analysis of Changes in Regime. An Investigation of the Term Structure of Interest Rates. Journal of Economics Dynamics and Control, 12:385-423.

  38. Hamilton, J.D. 1989. A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica. 57:357-384.

  39. Hamilton, J.D. 1993. Estimation, Inference and Forecasting of Time Series Subject to Changes in Regime. In Handbook of Econometrics Vol. 4, eds. Maddala, G.S., Rao, C.R. and Vinod, H.D., Elsevier, Amsterdam.
    Paper not yet in RePEc: Add citation now
  40. Hamilton, J.D. 1994. Time Series Analysis, Princeton, NJ: Princeton University Press.
    Paper not yet in RePEc: Add citation now

  41. Hansen, L. P. 1982. Large Sample Properties of Generalized Method of Moments Estimators.

  42. Johansen, S. 1988. Statistical Analysis of Cointegrating Vectors. Journal of Economic Dynamics and Control. 12:231-254.

  43. Johansen, S. 1991. Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Models. Econometrica. 59:1551-1580.

  44. Johansen, S. 1995. Identifying Restrictions of Linear Equations with Applications to Simultaneous Equations and Cointegration. Journal of Econometrics. 69:111-132.

  45. Journal of Business and Economic Statistics. 16:198-205. Franses, P.H. and van Dijk, D. 2000. Non-linear Time Series Models in Empirical Finance. Cambridge and New York: Cambridge University Press.

  46. Karlsen, H.A. 1990. A Class of Non-Linear Time Series Models, Ph.D. diss., University of Bergen, Department of Mathematics.
    Paper not yet in RePEc: Add citation now

  47. Kilian, L. 1999. Exchange Rates and Monetary Fundamentals: What Do We Learn from LongHorizon Regressions?. Journal of Applied Econometrics. 14:491-510.

  48. Kim, C.-J. and Nelson, C.R. 1999. State-Space Models with Regime Switching,Cambridge, Mass.

  49. Krolzig, H.-M. 1997. Markov-Switching Vector Autoregressions, New York, NY: Springer.
    Paper not yet in RePEc: Add citation now

  50. Krolzig, H.-M. 1999. Statistical Analysis of Cointegrated VAR Processes with Markovian Regime Shifts, 1999, Nuffield College and Department of Economics, University of Oxford, mimeo.

  51. Leamer, E.E. 1978. Specification Searches: Ad Hoc Inference with Nonexperimental Data. New York: John Wiley and Sons.
    Paper not yet in RePEc: Add citation now

  52. MacKinnon, J.G. 1991.Critical Values for Cointegration Tests. In Long-Run Economic Relationships: Readings in Cointegration, eds. Engle, R. F.and Granger, C. W. J., Oxford, New York, Toronto and Melbourne: Oxford University Press.

  53. Mark, N. 1995. Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability.

  54. Newey, W.K. and West, K.D. 1987. A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica. 55:703-708.

  55. Osterwald-Lenum, M. 1992. A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics. Oxford Bulletin of Economics and Statistics.

  56. Poskitt, D.S. and Chung, S.H. 1996. Markov chain models, time series analysis and extreme value theory. Advances in Applied Probability. 28:405-425.
    Paper not yet in RePEc: Add citation now

  57. Saikkonen, P. 1992. Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation.

  58. Sarno, L. and Thornton, D.L. 2003. The Dynamic Relationship Between the Federal Funds Rate and the Treasury Bill Rate: An Empirical Investigation. Journal of Banking and Finance. 27:10791110.

  59. Sarno, L. and Valente, G. 2004. Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers. Journal of Applied Econometrics, forthcoming.

  60. Tay, A.S. and Wallis, K.F. 2000. Density Forecasting: A Survey. Journal of Forecasting. 19:235254.

  61. Taylor, J.B. 1993. Dicretion Versus Policy Rules in Practice. Carnegie Rochester Conference Series on Public Policy. 39:195-214.

  62. Taylor, J.B. 1999. Monetary Policy Rules, National Bureau of Economic Research Conference Report series. Chicago and London: University of Chicago Press.

  63. Taylor, M.P. 1992. Modeling the Yield Curve. Economic Journal. 102:524-537.

  64. Timmermann, A. 2000. Density Forecasting in Economics and Finance: Editorial. Journal of Forecasting. 19:231-234.
    Paper not yet in RePEc: Add citation now
  65. Vasicek, O. 1977. An Equilibrium Characterisation of the Term Structure. Journal of Financial Economics. 5:177-188.
    Paper not yet in RePEc: Add citation now

  66. West, K.D. 1996. Asymptotic Inference about Predictive Ability. Econometrica. 64:1067-1084.

  67. West, K.D. and McCracken, M. W. 1998. Regression-based Tests of Predictive Ability. International Economic Review. 39:817-840.

Cocites

Documents in RePEc which have cited the same bibliography

  1. The Economic Impact of Oil on Industry Portfolios. (2013). Casassus, Jaime ; Higuera, Freddy .
    In: Documentos de Trabajo.
    RePEc:ioe:doctra:433.

    Full description at Econpapers || Download paper

  2. Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds. (2009). Viceira, Luis ; Campbell, John ; Sunderam, Adi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14701.

    Full description at Econpapers || Download paper

  3. Yield curve in an estimated nonlinear macro model. (2009). Doh, Taeyoung.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp09-04.

    Full description at Econpapers || Download paper

  4. A Simple Model of the Nominal Term Structure of Interest Rates. (2008). Wirjanto, Tony ; Choi, Yougsoo.
    In: Working Papers.
    RePEc:wat:wpaper:08011.

    Full description at Econpapers || Download paper

  5. Stochastic Volatility: Origins and Overview. (2008). Shephard, Neil ; Andersen, Torben.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:389.

    Full description at Econpapers || Download paper

  6. Stochastic Volatility: Origins and Overview. (2008). Shephard, Neil ; Andersen, Torben.
    In: Economics Papers.
    RePEc:nuf:econwp:0804.

    Full description at Econpapers || Download paper

  7. On the Generalized Brownian Motion and its Applications in Finance. (2008). Schiemert, Daniel ; Frederiksen, Per ; Hog, Esben .
    In: Finance Research Group Working Papers.
    RePEc:hhb:aarbfi:2008-07.

    Full description at Econpapers || Download paper

  8. Zero bound, option-implied PDFs, and term structure models. (2008). Kim, Don H..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2008-31.

    Full description at Econpapers || Download paper

  9. Empirical Test of Affine Stochastic Discount Factor Model of Currency Pricing. (2008). Lebedinsky, Alex .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-08f30012.

    Full description at Econpapers || Download paper

  10. Econometric Asset Pricing Modelling.. (2008). Pegoraro, Fulvio ; Monfort, Alain ; Bertholon, H..
    In: Working papers.
    RePEc:bfr:banfra:223.

    Full description at Econpapers || Download paper

  11. Extended-Gaussian Term Structure Models and Credit Risk Applications. (2007). Realdon, Marco.
    In: Discussion Papers.
    RePEc:yor:yorken:07/27.

    Full description at Econpapers || Download paper

  12. A Two Factor Black-Karasinski Credit Default Swap Pricing Model (forthcoming in the Icfai Journal of Derivatives Markets, Vol IV, No 4, October 2007; all copyrights rest with the Icfai University Pres. (2007). Realdon, Marco.
    In: Discussion Papers.
    RePEc:yor:yorken:07/25.

    Full description at Econpapers || Download paper

  13. Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model. (2007). Nikitopoulos-Sklibosios, Christina ; Assefa, Samson ; Bruti-Liberati, Nicola ; Platen, Eckhard.
    In: Research Paper Series.
    RePEc:uts:rpaper:197.

    Full description at Econpapers || Download paper

  14. The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models. (2007). Rudebusch, Glenn ; Diebold, Francis ; Christensen, Jens ; Jens H. E. Christensen, .
    In: PIER Working Paper Archive.
    RePEc:pen:papers:07-029.

    Full description at Econpapers || Download paper

  15. The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models. (2007). Rudebusch, Glenn ; Diebold, Francis ; Christensen, Jens ; Jens H. E. Christensen, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13611.

    Full description at Econpapers || Download paper

  16. Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices. (2007). Gabaix, Xavier.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13430.

    Full description at Econpapers || Download paper

  17. Semi-analytical MBS Pricing. (2007). Rom-Poulsen, Niels .
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:34:y:2007:i:4:p:463-498.

    Full description at Econpapers || Download paper

  18. Complex Times: Asset Pricing and Conditional Moments under Non-affine Diffusions. (2007). Kimmel, Robert L..
    In: Working Paper Series.
    RePEc:ecl:ohidic:2007-6.

    Full description at Econpapers || Download paper

  19. The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value. (2007). Thornton, Daniel ; Sarno, Lucio ; Della Corte, Pasquale.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6445.

    Full description at Econpapers || Download paper

  20. Spanned stochastic volatility in bond markets: a reexamination of the relative pricing between bonds and bond options. (2007). Kim, Don H.
    In: BIS Working Papers.
    RePEc:bis:biswps:239.

    Full description at Econpapers || Download paper

  21. Switching VARMA Term Structure Models - Extended Version.. (2007). Pegoraro, Fulvio ; Monfort, Alain.
    In: Working papers.
    RePEc:bfr:banfra:191.

    Full description at Econpapers || Download paper

  22. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models. (2007). Benzoni, Luca ; Andersen, Torben.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-25.

    Full description at Econpapers || Download paper

  23. Equity Valuation Under Stochastic Interest Rates. (2006). Realdon, Marco.
    In: Discussion Papers.
    RePEc:yor:yorken:06/12.

    Full description at Econpapers || Download paper

  24. Quadratic Term Structure Models in Discrete Time. (2006). Realdon, Marco.
    In: Discussion Papers.
    RePEc:yor:yorken:06/01.

    Full description at Econpapers || Download paper

  25. The Fractional OU Process: Term Structure Theory and Application. (2006). Hoeg, Esben.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:194.

    Full description at Econpapers || Download paper

  26. The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application. (2006). Hog, Espen P. ; Frederiksen, Per H..
    In: Finance Research Group Working Papers.
    RePEc:hhb:aarbfi:2006-01.

    Full description at Econpapers || Download paper

  27. Modelling Term-Structure Dynamics for Risk Management: A Practitioners Perspective. (2006). Bolder, David.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-48.

    Full description at Econpapers || Download paper

  28. Can Affine Term Structure Models Help Us Predict Exchange Rates?. (2006). Diez de los Rios, Antonio.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-27.

    Full description at Econpapers || Download paper

  29. ESTIMATING SINGLE FACTOR JUMP DIFFUSION INTEREST RATE MODELS. (2005). Sorwar, Ghulam.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:56.

    Full description at Econpapers || Download paper

  30. The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates. (2005). Valente, Giorgio ; Taylor, Mark ; Sarno, Lucio ; Clarida, Richard.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4835.

    Full description at Econpapers || Download paper

  31. Taking Positive Interest Rates Seriously. (2004). Wu, Liuren ; Pan, Enlin.
    In: Finance.
    RePEc:wpa:wuwpfi:0409013.

    Full description at Econpapers || Download paper

  32. Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications. (2004). Wagner, Niklas ; Szimayer, Alexander ; Junker, Markus.
    In: Econometrics.
    RePEc:wpa:wuwpem:0401007.

    Full description at Econpapers || Download paper

  33. General Quadratic Term Structures of Bond, Futures and Forward Prices. (2004). Gaspar, Raquel.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0559.

    Full description at Econpapers || Download paper

  34. Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?. (2004). LI, HAITAO ; Jarrow, Robert ; Zhao, Feng.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:431.

    Full description at Econpapers || Download paper

  35. Nonlinearity in the Term Structure. (2004). Kim, Dong Heon.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:440.

    Full description at Econpapers || Download paper

  36. Modeling Yield-Factor Volatility. (2004). Smith, Daniel ; Parignon, Christophe.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:307.

    Full description at Econpapers || Download paper

  37. Pseudo-diffusions and Quadratic term structure models. (2004). Levendorskii, Sergei .
    In: Papers.
    RePEc:arx:papers:cond-mat/0212249.

    Full description at Econpapers || Download paper

  38. Credit Risk Modeling and the Term Structure of Credit Spreads. (2003). Chen, Li.
    In: Finance.
    RePEc:wpa:wuwpfi:0312009.

    Full description at Econpapers || Download paper

  39. Markovian Quadratic Term Structure Models For Risk-free And Defaultable Rates. (2003). Chen, Li.
    In: Finance.
    RePEc:wpa:wuwpfi:0303008.

    Full description at Econpapers || Download paper

  40. Parametric Estimation of Quadratic Term Structure Models of Interest Rates. (2003). Chen, LI ; Poor, Vincent H..
    In: Computing in Economics and Finance 2003.
    RePEc:sce:scecf3:22.

    Full description at Econpapers || Download paper

  41. Time-Consistent No-Arbitrage Models of the Term Structure. (2003). Yaron, Amir ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9458.

    Full description at Econpapers || Download paper

  42. How to Discount Cashflows with Time-Varying Expected Returns. (2003). LIU, JUN ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10042.

    Full description at Econpapers || Download paper

  43. Evaluating an Alternative Risk Preference in Affine Term Structure Models. (2003). Duarte, Jefferson., .
    In: Finance Lab Working Papers.
    RePEc:ibm:finlab:flwp_49.

    Full description at Econpapers || Download paper

  44. Regime-shifts, risk premiums in the term structure, and the business cycle. (2003). Zhou, Hao ; Tauchen, George ; Bansal, Ravi.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-21.

    Full description at Econpapers || Download paper

  45. Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility. (2003). Scaillet, Olivier.
    In: THEMA Working Papers.
    RePEc:ema:worpap:2003-29.

    Full description at Econpapers || Download paper

  46. Asset Pricing Under The Quadratic Class. (2002). Wu, Liuren ; Leippold, Markus.
    In: Finance.
    RePEc:wpa:wuwpfi:0207015.

    Full description at Econpapers || Download paper

  47. Design and Estimation of Quadratic Term Structure Models. (2002). Wu, Liuren ; Leippold, Markus.
    In: Finance.
    RePEc:wpa:wuwpfi:0207014.

    Full description at Econpapers || Download paper

  48. Which Model for the Italian Interest Rates?. (2002). Renò, Roberto ; Castaldi, Carolina ; M. Gentile, R. Reno, ; Dosi, Giovanni.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2002/02.

    Full description at Econpapers || Download paper

  49. An Econometric Model of the Yield Curve with Macroeconomic Jump Effects. (2001). Piazzesi, Monika.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8246.

    Full description at Econpapers || Download paper

  50. An Eigenfunction Approach for Volatility Modeling. (2001). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-70.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-21 11:53:34 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.