Solvable Affine Term Structure Models
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References listed on IDEAS
- Qiang Dai & Kenneth J. Singleton, 2000.
"Specification Analysis of Affine Term Structure Models,"
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American Finance Association, vol. 55(5), pages 1943-1978, October.
- Qiang Dai & Kenneth J. Singleton, 1997. "Specification Analysis of Affine Term Structure Models," NBER Working Papers 6128, National Bureau of Economic Research, Inc.
- Qiang Dai & Kenneth J. Singleton, 1998. "Specification Analysis of Affine Term Structure Models," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-083, New York University, Leonard N. Stern School of Business-.
- Martino Grasselli & Claudio Tebaldi, 2004. "Bond Price and Impulse Response Function for the Balduzzi, Das, Foresi and Sundaram (1996) Model," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 33(3), pages 359-374, November.
- Darrell Duffie & Jun Pan & Kenneth Singleton, 2000.
"Transform Analysis and Asset Pricing for Affine Jump-Diffusions,"
Econometric Society, vol. 68(6), pages 1343-1376, November.
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- Darrell Duffie & Rui Kan, 1996. "A Yield‐Factor Model Of Interest Rates," Mathematical Finance, Wiley Blackwell, vol. 6(4), pages 379-406, October.
- Christian Gourieroux & Razvan Sufana, 2003. "Whishart Quadratic Term Structure Models," Working Papers 2003-50, Center for Research in Economics and Statistics.
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