Affine Term Structure Models
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Bibliographic InfoPaper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 2002-49.
Date of creation: 2002
Date of revision:
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- Alain Monfort & Fulvio Pegoraro, 2007.
"Switching VARMA Term Structure Models - Extended Version,"
2007-19, Centre de Recherche en Economie et Statistique.
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- Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
- Drew D. Creal & Jing Cynthia Wu, 2014. "Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility," NBER Working Papers 20115, National Bureau of Economic Research, Inc.
- Marco Realdon, 2006. "The Target Rate and Term Structure of Interest Rates," Discussion Papers 06/15, Department of Economics, University of York.
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- Anders Rahbek & Heino Bohn Nielsen, 2012.
"Unit root vector autoregression with volatility induced stationarity,"
12-02, University of Copenhagen. Department of Economics.
- Anders Rahbek & Heino Bohn Nielsen, 2012. "Unit Root Vector Autoregression with volatility Induced Stationarity," CREATES Research Papers 2012-29, School of Economics and Management, University of Aarhus.
- Bertholon, H. & Monfort, A. & Pegoraro, F., 2007.
"Pricing and Inference with Mixtures of Conditionally Normal Processes,"
188, Banque de France.
- Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Centre de Recherche en Economie et Statistique.
- Marco Realdon, 2007. "Extended-Gaussian Term Structure Models and Credit Risk Applications," Discussion Papers 07/27, Department of Economics, University of York.
- Dai, Qiang & Singleton, Kenneth J., 2003. "Fixed-income pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 20, pages 1207-1246 Elsevier.
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