Interest Rate Distributions, Yield Curve Modelling and Monetary Policy
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Bibliographic InfoPaper provided by Birkbeck, Department of Economics, Mathematics & Statistics in its series Archive Working Papers with number 021.
Date of creation: Jun 1996
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- Kabir K. Dutta & David F. Babbel, 2002. "On Measuring Skewness and Kurtosis in Short Rate Distributions: The Case of the US Dollar London Inter Bank Offer Rates," Center for Financial Institutions Working Papers 02-25, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Steven Kou, 2000. "A Jump Diffusion Model for Option Pricing with Three Properties: Leptokurtic Feature, Volatility Smile, and Analytical Tractability," Econometric Society World Congress 2000 Contributed Papers 0062, Econometric Society.
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"Cross-country differences in monetary policy execution and money market rates' volatility,"
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- Carl Chiarella & Thuy-Duong To, 2005.
"The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach,"
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150, Quantitative Finance Research Centre, University of Technology, Sydney.
- Chiarella, Carl & Hung, Hing & T, Thuy-Duong, 2009. "The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2075-2088, April.
- Carl Chiarella & Hing Hung & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series 151, Quantitative Finance Research Centre, University of Technology, Sydney.
- Carl Chiarella & Thuy-Duong Tô, 2006. "The Multifactor Nature of the Volatility of Futures Markets," Computational Economics, Society for Computational Economics, vol. 27(2), pages 163-183, May.
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