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.
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