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Market price of risk specifications for affine models: Theory and evidence

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Author Info
Cheridito, Patrick
Filipovic, Damir
Kimmel, Robert L.
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 83 (2007)
Issue (Month): 1 (January)
Pages: 123-170
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Handle: RePEc:eee:jfinec:v:83:y:2007:i:1:p:123-170

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

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  1. Aleksandar Mijatovic & Paul Schneider, 2009. "Empirical asset pricing with nonlinear risk premia," Quantitative Finance Papers 0911.0928, arXiv.org. [Downloadable!]
  2. Cheridito, Patrick & Filipovic, Damir & Kimmel, Robert L., 2006. "Affine Term Structure Models," Working Paper Series 2007-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  3. Ait-Sahalia, Yacine & Kimmel, Robert L., 2008. "Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions," Working Paper Series 2008-19, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
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  4. Kimmel, Robert L., 2007. "Complex Times: Asset Pricing and Conditional Moments under Non-affine Diffusions," Working Paper Series 2007-6, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  5. Martin Møller Andreasen, 2008. "Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model," CREATES Research Papers 2008-43, School of Economics and Management, University of Aarhus. [Downloadable!]
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