Design and Estimation of Affine Yield Models
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Bibliographic InfoPaper provided by Carnegie Mellon University, Tepper School of Business in its series GSIA Working Papers with number 2000-E17.
Date of creation: Nov 1999
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Postal: Tepper School of Business, Carnegie Mellon University, 5000 Forbes Avenue, Pittsburgh, PA 15213-3890
Web page: http://www.tepper.cmu.edu/
Other versions of this item:
- NEP-ALL-2000-09-05 (All new papers)
- NEP-ECM-2000-09-05 (Econometrics)
- NEP-FMK-2000-09-05 (Financial Markets)
- NEP-MON-2000-09-05 (Monetary Economics)
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- Buraschi, Andrea & Corielli, Francesco, 2005. "Risk management implications of time-inconsistency: Model updating and recalibration of no-arbitrage models," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2883-2907, November.
- Konstantijn Maes & Konstantijn Maes, 2003.
"Modeling the Term Structure of Interest Rates: Where Do We Stand?,"
International Economics Working Papers Series
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- D H Kim, 2004. "Nonlinearity in the Term Structure," The School of Economics Discussion Paper Series 0401, Economics, The University of Manchester.
- Markus Leippold & Liuren Wu, 2002.
"Asset Pricing Under The Quadratic Class,"
- Buraschi, Andrea & Jiltsov, Alexei, 2005. "Inflation risk premia and the expectations hypothesis," Journal of Financial Economics, Elsevier, vol. 75(2), pages 429-490, February.
- Luca Benati, 2006. "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England.
- Timothy Cogley, 2005. "Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 420-451, April.
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