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A nonlinear general equilibrium model of the term structure of interest rates

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Author Info
Longstaff, Francis A.
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 23 (1989)
Issue (Month): 2 (August)
Pages: 195-224
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Handle: RePEc:eee:jfinec:v:23:y:1989:i:2:p:195-224

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. Andrew Ang & Jean Boivin & Sen Dong & Rudy Loo-Kung, 2009. "Monetary Policy Shifts and the Term Structure," NBER Working Papers 15270, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. D H Kim, 2005. "Nonlinearity in the Term Structure," Centre for Growth and Business Cycle Research Discussion Paper Series 51, Economics, The Univeristy of Manchester. [Downloadable!]
  3. Markus Leippold & Liuren Wu, 1999. "The Potential Approach to Bond and Currency Pricing," Finance 9903004, EconWPA. [Downloadable!]
  4. Olivier Scaillet., 2003. "Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility," THEMA Working Papers 2003-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
    Other versions:
  5. Christopher F. Baum & Olin Liu, 1994. "An Alternative Strategy for Estimation of a Nonlinear Model of the Term Structure of Interest Rates," Boston College Working Papers in Economics 275., Boston College Department of Economics. [Downloadable!]
  6. A. Mele, 2000. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," THEMA Working Papers 2000-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
    Other versions:
  7. Nikolaos Panigirtzoglou & James Proudman & John Spicer, . "Persistence and volatility in short-term interest rates," Bank of England working papers 116, Bank of England. [Downloadable!]
  8. Franco Parisi, 1998. "Tasas de Interés Nominal de Corto Plazo en Chile: Una Comparación Empírica de sus Modelos," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(105), pages 161-182. [Downloadable!]
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