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Citations for "Abstract: An Equilibrium Characterization of the Term Structure"

by Vasicek, Oldrich Alfonso

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  1. Eran Raviv, 2013. "Prediction Bias Correction for Dynamic Term Structure Models," Tinbergen Institute Discussion Papers 13-041/III, Tinbergen Institute.
  2. Gonçalo Faria & João Correia-da-Silva, 2011. "The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices," FEP Working Papers 399, Universidade do Porto, Faculdade de Economia do Porto.
  3. Griffin, J.E. & Steel, M.F.J., 2006. "Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility," Journal of Econometrics, Elsevier, vol. 134(2), pages 605-644, October.
  4. Sascha Meyer & Willi Schwarz, 2003. "A PDE based Implementation of the Hull&White Model for Cashflow Derivatives," Computational Statistics, Springer, vol. 18(3), pages 417-434, September.
  5. Moreno, Manuel & Platania, Federico, 2015. "A cyclical square-root model for the term structure of interest rates," European Journal of Operational Research, Elsevier, vol. 241(1), pages 109-121.
  6. Jeanblanc, Monique & Dana, Rose-Anne, 2003. "Financial Markets in Continuous Time," Economics Papers from University Paris Dauphine 123456789/13604, Paris Dauphine University.
  7. Xiangjin Shen & Hiroki Tsurumi, 2011. "Comparison of Bayesian Model Selection Criteria and Conditional Kolmogorov Test as Applied to Spot Asset Pricing Models," Departmental Working Papers 201126, Rutgers University, Department of Economics.
  8. Duffie, Darrell, 2005. "Credit risk modeling with affine processes," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2751-2802, November.
  9. Nomikos, Nikos K. & Soldatos, Orestes A., 2010. "Modelling short and long-term risks in power markets: Empirical evidence from Nord Pool," Energy Policy, Elsevier, vol. 38(10), pages 5671-5683, October.
  10. Dennis Kristensen, 2004. "Estimation of partial differential equations with applications in finance," LSE Research Online Documents on Economics 24738, London School of Economics and Political Science, LSE Library.
  11. Bauer, Dietmar & Wagner, Martin, 2009. "Using subspace algorithm cointegration analysis: Simulation performance and application to the term structure," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1954-1973, April.
  12. Aït-Sahalia, Yacine & Kimmel, Robert L., 2010. "Estimating affine multifactor term structure models using closed-form likelihood expansions," Journal of Financial Economics, Elsevier, vol. 98(1), pages 113-144, October.
  13. Schöbel, Rainer, 1997. "A note on the valuation of risky corporate bonds," Tübinger Diskussionsbeiträge 96, University of Tübingen, School of Business and Economics.
  14. James D. Hamilton & Jing Cynthia Wu, 2012. "Identification and Estimation of Gaussian Affine Term Structure Models," NBER Working Papers 17772, National Bureau of Economic Research, Inc.
  15. John M. Maheu & Qiao Yang, 2015. "An Infinite Hidden Markov Model for Short-term Interest Rates," Working Paper Series 15-05, The Rimini Centre for Economic Analysis.
  16. Siem Jan Koopman & Max I.P. Mallee & Michel van der Wel, 2007. "Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters," Tinbergen Institute Discussion Papers 07-095/4, Tinbergen Institute.
  17. Josa-Fombellida, Ricardo & Rincon-Zapatero, Juan Pablo, 2004. "Optimal risk management in defined benefit stochastic pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 489-503, June.
  18. Spahr, Ronald W. & Schwebach, Robert G., 1998. "Comparing Mean Reverting Versus Pure Diffusion Interest Rate Processes in Valuing Postponement Options," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 579-598.
  19. Honda, Tetsuhiro & Tamaki, Kenichiro & Shiohama, Takayuki, 2010. "Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations," Finance Research Letters, Elsevier, vol. 7(1), pages 60-69, March.
  20. Chen, Songxi & Peng, Liang & Yu, Cindy, 2013. "Parameter Estimation and Model Testing for Markov Processes via Conditional Characteristic Functions," MPRA Paper 46273, University Library of Munich, Germany.
  21. Yu, Jun, 2012. "Bias in the estimation of the mean reversion parameter in continuous time models," Journal of Econometrics, Elsevier, vol. 169(1), pages 114-122.
  22. Falini, Jury, 2010. "Pricing caps with HJM models: The benefits of humped volatility," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1358-1367, December.
  23. Balduzzi, Pierluigi & Bertola, Giuseppe & Foresi, Silverio, 1997. "A model of target changes and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 39(2), pages 223-249, July.
  24. Liu, Jun & Longstaff, Francis A. & Mandell, Ravit E., 2000. "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," University of California at Los Angeles, Anderson Graduate School of Management qt0zw4f9w6, Anderson Graduate School of Management, UCLA.
  25. Han, Nan-wei & Hung, Mao-wei, 2012. "Optimal asset allocation for DC pension plans under inflation," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 172-181.
  26. Jean-Luc Vila & Dimitri Vayanos, 2009. "A Preferred-Habitat Model of the Term Structure of Interest Rates," FMG Discussion Papers dp641, Financial Markets Group.
  27. Ben-Ameur, Hatem & Breton, Michele & Karoui, Lotfi & L'Ecuyer, Pierre, 2007. "A dynamic programming approach for pricing options embedded in bonds," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2212-2233, July.
  28. Norman R. Swanson & Lili Cai, 2011. "In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008," Departmental Working Papers 201102, Rutgers University, Department of Economics.
  29. Zhao, Juan, 2009. "Long time behaviour of stochastic interest rate models," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 459-463, June.
  30. repec:wyi:journl:002108 is not listed on IDEAS
  31. Ren-Raw Chen & Tyler Yang, 1999. "A universal lattice," Review of Derivatives Research, Springer, vol. 3(2), pages 115-133, May.
  32. Huang, Jian & Kobayashi, Masahito & McAleer, Michael, 2012. "Testing for the Box–Cox parameter for an integrated process," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 83(C), pages 1-9.
  33. Dai, Qiang & Singleton, Kenneth J., 2002. "Expectation puzzles, time-varying risk premia, and affine models of the term structure," Journal of Financial Economics, Elsevier, vol. 63(3), pages 415-441, March.
  34. Antonio Mele, 2002. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Working Papers 460, Queen Mary University of London, School of Economics and Finance.
  35. repec:wyi:journl:002064 is not listed on IDEAS
  36. Lin, Bing-Huei, 1999. "Fitting the term structure of interest rates for Taiwanese government bonds," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 331-352, November.
  37. Ben Hunt & Chris Terry, 1998. "Zero-Coupon Yield Curve Estimation: A Principal Component, Polynomial Approach," Working Paper Series 81, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  38. Wang, Huiqing & Yin, Chuancun, 2008. "Moments of the first passage time of one-dimensional diffusion with two-sided barriers," Statistics & Probability Letters, Elsevier, vol. 78(18), pages 3373-3380, December.
  39. Munk, Claus & Sørensen, Carsten, 2010. "Dynamic asset allocation with stochastic income and interest rates," Journal of Financial Economics, Elsevier, vol. 96(3), pages 433-462, June.
  40. Newell, Richard G. & Pizer, William A., 2003. "Discounting the distant future: how much do uncertain rates increase valuations?," Journal of Environmental Economics and Management, Elsevier, vol. 46(1), pages 52-71, July.
  41. Sun, Licheng, 2005. "Regime shifts in interest rate volatility," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 418-434, June.
  42. Phillips, Peter C.B. & Yu, Jun, 2009. "A two-stage realized volatility approach to estimation of diffusion processes with discrete data," Journal of Econometrics, Elsevier, vol. 150(2), pages 139-150, June.
  43. Nawalkha, Sanjay K., 1996. "A contingent claims analysis of the interest rate risk characteristics of corporate liabilities," Journal of Banking & Finance, Elsevier, vol. 20(2), pages 227-245, March.
  44. Jobst, Norbert J. & Mitra, Gautam & Zenios, Stavros A., 2006. "Integrating market and credit risk: A simulation and optimisation perspective," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 717-742, February.
  45. Hautsch, Nikolaus & Ou, Yangguoyi, 2012. "Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 2988-3007.
  46. Siklos, Pierre L. & Wohar, Mark E., 1996. "Cointegration and the term structure: A multicountry comparison," International Review of Economics & Finance, Elsevier, vol. 5(1), pages 21-34.
  47. Gourieroux, Christian & Jasiak, Joann, 2006. "Multivariate Jacobi process with application to smooth transitions," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 475-505.
  48. Venegas-Martínez, Francisco, 2014. "Caracterización del Precio de un Bono Cupón Cero en un Modelo de Equilibrio General
    [Characterization of the Price of a Zero-Coupon Bond in a General Equilibrium Model]
    ," MPRA Paper 54847, University Library of Munich, Germany.
  49. Söderlind, Paul & Svensson, Lars E.O., 1996. "New Techniques to Extract Market expectations from Financial Instruments," SSE/EFI Working Paper Series in Economics and Finance 142, Stockholm School of Economics.
  50. Kang, Jangkoo & Kim, Hwa-Sung, 2005. "Pricing counterparty default risks: Applications to FRNs and vulnerable options," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 376-392.
  51. Lekkos, Ilias, 2001. "Factor models and the correlation structure of interest rates: Some evidence for USD, GBP, DEM and JPY," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1427-1445, August.
  52. Ledoit, Olivier & Santa-Clara, Pedro & Yan, Shu, 2002. "Relative Pricing of Options with Stochastic Volatility," University of California at Los Angeles, Anderson Graduate School of Management qt7jp8f42t, Anderson Graduate School of Management, UCLA.
  53. Brennan, Michael J. & Xia, Yihong, 2000. "Dynamic Asset Allocation under Inflation," University of California at Los Angeles, Anderson Graduate School of Management qt8p95456t, Anderson Graduate School of Management, UCLA.
  54. Schmidt, Wolfgang M., 2011. "Interest rate term structure modelling," European Journal of Operational Research, Elsevier, vol. 214(1), pages 1-14, October.
  55. Molenaars, Tomas K. & Reinerink, Nick H. & Hemminga, Marcus A., 2013. "Forecasting the yield curve - Forecast performance of the dynamic Nelson-Siegel model from 1971 to 2008," MPRA Paper 61862, University Library of Munich, Germany.
  56. Nowman, K.B. & Yahia, B.B.H., 2008. "Euro and FIBOR interest rates: A continuous time modelling analysis," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1029-1035, December.
  57. Steeley, James M., 1997. "Implied volatility from the term structure: a simple analytical approximation," Economics Letters, Elsevier, vol. 57(3), pages 345-352, December.
  58. Zhou, Qiankun & Yu, Jun, 2015. "Asymptotic theory for linear diffusions under alternative sampling schemes," Economics Letters, Elsevier, vol. 128(C), pages 1-5.
  59. Reschreiter, Andreas, 2011. "The effects of the monetary policy regime shift to inflation targeting on the real interest rate in the United Kingdom," Economic Modelling, Elsevier, vol. 28(1-2), pages 754-759, January.
  60. Francois-Éric Racicot & Raymond Théoret, 2005. "De l'évaluation du risque de crédit," RePAd Working Paper Series UQO-DSA-wp0322005, Département des sciences administratives, UQO.
  61. Diebold, Francis X. & Li, Canlin, 2003. "Forecasting the term structure of government bond yields," CFS Working Paper Series 2004/09, Center for Financial Studies (CFS).
  62. Larsen, Linda Sandris & Munk, Claus, 2012. "The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 266-293.
  63. Pacelli, Graziella & Ballestra, Luca Vincenzo, 2010. "On a variational formulation used in credit risk modeling," Finance Research Letters, Elsevier, vol. 7(2), pages 110-118, June.
  64. Kuo, I-Doun & Lin, Yueh-Neng, 2009. "Empirical performance of multifactor term structure models for pricing and hedging Eurodollar futures options," Review of Financial Economics, Elsevier, vol. 18(1), pages 23-32, January.
  65. Dimakopoulou, Andriana G. & Pramatari, Katerina C. & Tsekrekos, Andrianos E., 2014. "Applying real options to IT investment evaluation: The case of radio frequency identification (RFID) technology in the supply chain," International Journal of Production Economics, Elsevier, vol. 156(C), pages 191-207.
  66. Santiago García-Verdú, 2011. "On the Term Structure of Interest Rates of the Mexican Government," Working Papers 2011-18, Banco de México.
  67. James D. Hamilton & Jing Cynthia Wu, 2013. "Risk Premia in Crude Oil Futures Prices," NBER Working Papers 19056, National Bureau of Economic Research, Inc.
  68. Gündüz, Yalin & Uhrig-Homburg, Marliese, 2011. "Does modeling framework matter? A comparative study of structural and reduced-form models," Discussion Paper Series 2: Banking and Financial Studies 2011,05, Deutsche Bundesbank, Research Centre.
  69. repec:spr:compst:v:79:y:2014:i:1:p:1-30 is not listed on IDEAS
  70. Andre Lucas & Bastiaan Verhoef, 2012. "Aggregating Credit and Market Risk: The Impact of Model Specification," Tinbergen Institute Discussion Papers 12-057/2/DSF36, Tinbergen Institute.
  71. Tse, Y.K., 1992. "MLE of some continuous time financial models: Some Monte Carlo results," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 33(5), pages 575-580.
  72. Dongjae Lim & Lingfei Li & Vadim Linetsky, 2012. "Evaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach," Papers 1206.5046, arXiv.org.
  73. Ram Bhar & Carl Chiarella, 1996. "Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model," Working Paper Series 66, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  74. Rossano Giandomenico, 2011. "Asset Liability Management for Banks," The IUP Journal of Bank Management, IUP Publications, vol. 0(4), pages 31-46, November.
  75. Ma, Zong-Gang & Ma, Chao-Qun, 2013. "Pricing catastrophe risk bonds: A mixed approximation method," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 243-254.
  76. Francesco Audrino, 2012. "What Drives Short Rate Dynamics? A Functional Gradient Descent Approach," Computational Economics, Society for Computational Economics, vol. 39(3), pages 315-335, March.
  77. Peter C.B.Phillips & Jun Yu, . "Simulation-based Estimation of Contingent Claims Prices," Working Papers CoFie-05-2008, Sim Kee Boon Institute for Financial Economics.
  78. Coutant, Sophie & Jondeau, Eric & Rockinger, Michael, 2001. "Reading PIBOR futures options smiles: The 1997 snap election," Journal of Banking & Finance, Elsevier, vol. 25(11), pages 1957-1987, November.
  79. Stéphane Goutte, 2013. "Markov switching quadratic term structure models," Working Papers hal-00821745, HAL.
  80. Li, Minqiang, 2008. "A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation," MPRA Paper 11185, University Library of Munich, Germany.
  81. Liang-Ching Lin & Sangyeol Lee & Meihui Guo, 2014. "The Bickel–Rosenblatt test for continuous time stochastic volatility models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 23(1), pages 195-218, March.
  82. Dmitry Muravey, 2014. "Interest rate models and Whittaker functions," Papers 1405.2459, arXiv.org.
  83. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers CoFie-04-2009, Sim Kee Boon Institute for Financial Economics.
  84. Chiara PERONI, . "Testing Linearity in Term Structures," EcoMod2010 259600131, EcoMod.
  85. Calcagnini, Giorgio & Saltari, Enrico, 2000. "Real and Financial Uncertainty and Investment Decisions," Journal of Macroeconomics, Elsevier, vol. 22(3), pages 491-514, July.
  86. Keita Nakayama & Akihiko Takahashi, 2008. "A Factor Allocation Approach to Optimal Bond Portfolio," CIRJE F-Series CIRJE-F-547, CIRJE, Faculty of Economics, University of Tokyo.
  87. Hautsch, Nikolaus & Yang, Fuyu, 2012. "Bayesian inference in a Stochastic Volatility Nelson–Siegel model," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3774-3792.
  88. Nijman, T.E. & de Roon, F.A. & Veld, C.H., 1996. "Pricing Term Structure Risk in Futures Markets," Discussion Paper 1996-78, Tilburg University, Center for Economic Research.
  89. Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2007. "Indirect robust estimation of the short-term interest rate process," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 546-563, September.
  90. Thuraisamy, Kannan Sivananthan, 2014. "Intra-market sovereign linkages of key Latin American markets," Economic Systems, Elsevier, vol. 38(2), pages 140-160.
  91. Coroneo, Laura & Nyholm, Ken & Vidova-Koleva, Rositsa, 2008. "How arbitrage-free is the Nelson-Siegel Model?," Working Paper Series 0874, European Central Bank.
  92. Lindset, Snorre, 2003. "Pricing of multi-period rate of return guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 629-644, December.
  93. Zura Kakushadze, 2015. "Ho and Lee Model on a String," Papers 1502.06074, arXiv.org.
  94. Asbjørn T. Hansen & Rolf Poulsen, 2000. "A simple regime switching term structure model," Finance and Stochastics, Springer, vol. 4(4), pages 409-429.
  95. Likuan Qin & Vadim Linetsky, 2014. "Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization and Ross Recovery," Papers 1411.3075, arXiv.org, revised Feb 2015.
  96. de Jong, F.C.J.M. & Wielhouwer, J.L., 2000. "The valuation and hedging of variable rate savings accounts," Other publications TiSEM d3f6f78c-0558-45f7-97af-c, Tilburg University, School of Economics and Management.
  97. Batten, Jonathan A. & Jacoby, Gady & Liao, Rose C., 2014. "Corporate yield spreads and real interest rates," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 89-100.
  98. Qiankun Zhou & Jun Yu, 2010. "Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes," Working Papers 20-2010, Singapore Management University, School of Economics.
  99. Grant, Dwight & Vora, Gautam, 2006. "Extending the universality of the Heath-Jarrow-Morton model," Review of Financial Economics, Elsevier, vol. 15(2), pages 129-157.
  100. José Antonio Núñez. & Elizabeth Ortega., 2011. "Continuous Time Models of Interest Rate: Testing Peso-Dollar Exchange Rate," Economía: teoría y práctica, Economía: teoría y práctica, vol. 34(1), pages 43-63, Enero-Jun.
  101. Miyazaki, Kenji & Saito, Makoto, 1999. "On the market risk involved in the public financial system in Japan: A theoretical and numerical investigation," Journal of Banking & Finance, Elsevier, vol. 23(8), pages 1243-1259, August.
  102. Duan, Jin-Chuan & Yu, Min-Teh, 2005. "Fair insurance guaranty premia in the presence of risk-based capital regulations, stochastic interest rate and catastrophe risk," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2435-2454, October.
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  104. Andersen, Torben G. & Lund, Jesper, 1997. "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, vol. 77(2), pages 343-377, April.
  105. Date, Paresh & Wang, Chieh, 2009. "Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting," European Journal of Operational Research, Elsevier, vol. 195(1), pages 156-166, May.
  106. Gurupdesh Pandher, 2000. "Drift Estimation of Generalized Security Price Processes from High Frequency Derivative Prices," Review of Derivatives Research, Springer, vol. 4(3), pages 263-284, October.
  107. Ang, Andrew & Bekaert, Geert & Liu, Jun, 2005. "Why stocks may disappoint," Journal of Financial Economics, Elsevier, vol. 76(3), pages 471-508, June.
  108. David Backus & Mikhail Chernov & Stanley E. Zin, 2011. "Sources of Entropy in Representative Agent Models," NBER Working Papers 17219, National Bureau of Economic Research, Inc.
  109. Farid Mkouar & Jean-Luc Prigent, 2014. "Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation," Working Papers 2014-301, Department of Research, Ipag Business School.
  110. Zhao, Yonggan, 2007. "A dynamic model of active portfolio management with benchmark orientation," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3336-3356, November.
  111. Broze, L. & Scaillet, O. & Zakoïan, J.-M., . "Testing for continuous-time models of the short-term interest rate," CORE Discussion Papers RP -1177, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  112. Yoshiyuki Fukuda & Kazutoshi Kan & Yoshihiko Sugihara, 2013. "Banks' Stockholdings and the Correlation between Bonds and Stocks: A Portfolio Theoretic Approach," Bank of Japan Working Paper Series 13-E-6, Bank of Japan.
  113. Chua, Chew Lian & Suardi, Sandy & Tsiaplias, Sarantis, 2013. "Predicting short-term interest rates using Bayesian model averaging: Evidence from weekly and high frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 442-455.
  114. Dette, Holger & Podolskij, Mark, 2005. "Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach," Technical Reports 2005,50, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  115. Grundke, Peter, 2009. "Importance sampling for integrated market and credit portfolio models," European Journal of Operational Research, Elsevier, vol. 194(1), pages 206-226, April.
  116. Rui Albuquerque & Martin S. Eichenbaum & Sergio Rebelo, 2012. "Valuation Risk and Asset Pricing," NBER Working Papers 18617, National Bureau of Economic Research, Inc.
  117. Huse, Cristian, 2011. "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3240-3252.
  118. Diep Duong & Norman Swanson, 2013. "Density and Conditional Distribution Based Specification Analysis," Departmental Working Papers 201312, Rutgers University, Department of Economics.
  119. Xiaohu Wang & Peter C.B. Phillips & Jun Yu, 2011. "Bias in Estimating Multivariate and Univariate Diffusions," Cowles Foundation Discussion Papers 1778, Cowles Foundation for Research in Economics, Yale University.
  120. Till Strohsal & Enzo Weber, 2014. "Mean-variance cointegration and the expectations hypothesis," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1983-1997, November.
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  122. Han, Nan-Wei & Hung, Mao-Wei, 2006. "Estimated inflation rate, consumption and portfolio decision," Economics Letters, Elsevier, vol. 92(3), pages 402-408, September.
  123. Elisa Luciano & Elena Vigna, 2005. "Non mean reverting affine processes for stochastic mortality," ICER Working Papers - Applied Mathematics Series 4-2005, ICER - International Centre for Economic Research.
  124. Xiao, Weilin & Zhang, Weiguo & Zhang, Xili & Chen, Xiaoyan, 2014. "The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 320-337.
  125. Nathalie Pistre & Mireille Bossy & Christophe Berthelot, 2001. "Risque associé au contrat d'assurance-vie pour la compagnie d'assurance," Économie et Prévision, Programme National Persée, vol. 149(3), pages 73-85.
  126. Nowman, K. Ben, 2002. "The volatility of Japanese interest rates: evidence for Certificate of Deposit and Gensaki rates," International Review of Financial Analysis, Elsevier, vol. 11(1), pages 29-38.
  127. Yao, Yong, 1999. "Term structure modeling and asymptotic long rate," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 327-336, December.
  128. Christiansen, Charlotte, 2005. "Multivariate term structure models with level and heteroskedasticity effects," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1037-1057, May.
  129. Backus, David & Foresi, Silverio & Mozumdar, Abon & Wu, Liuren, 2001. "Predictable changes in yields and forward rates," Journal of Financial Economics, Elsevier, vol. 59(3), pages 281-311, March.
  130. Nawalkha, Sanjay K. & Soto, Gloria M. & Zhang, Jun, 2003. "Generalized M-vector models for hedging interest rate risk," Journal of Banking & Finance, Elsevier, vol. 27(8), pages 1581-1604, August.
  131. Elisa Luciano & Luca Regis & Elena Vigna, 2011. "Delta and Gamma hedging of mortality and interest rate risk," ICER Working Papers - Applied Mathematics Series 01-2011, ICER - International Centre for Economic Research.
  132. Riedel, Frank & Herzberg, Frederik, 2013. "Existence of financial equilibria in continuous time with potentially complete markets," Journal of Mathematical Economics, Elsevier, vol. 49(5), pages 398-404.
  133. Chenghu Ma, 2003. "Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach," Annals of Economics and Finance, Society for AEF, vol. 4(2), pages 401-426, November.
  134. Olivier Scaillet., 2003. "Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility," THEMA Working Papers 2003-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  135. Dimson, Elroy & Mussavian, Massoud, 1999. "Three centuries of asset pricing," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1745-1769, December.
  136. Duan, Jin-Chuan & Simonato, Jean-Guy, 2002. "Maximum likelihood estimation of deposit insurance value with interest rate risk," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 109-132, January.
  137. Filippo Altissimo & Antonio Mele, 2004. "Simulated nonparametric estimation of continuous time models of asset prices and returns," LSE Research Online Documents on Economics 24674, London School of Economics and Political Science, LSE Library.
  138. Christopher M. Bilson & Timothy J. Brailsford & Luke J. Sullivan & Sirimon Treepongkaruna, 2008. "Pricing Bonds in the Australian Market," Australian Journal of Management, Australian School of Business, vol. 33(1), pages 123-143, June.
  139. Peter C.B.Phillips & Jun Yu, . "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Working Papers CoFie-08-2009, Sim Kee Boon Institute for Financial Economics.
  140. Mattiussi, V. & Iori, G., 2006. "Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis," Working Papers 06/09, Department of Economics, City University London.
  141. Ang, Andrew & Piazzesi, Monika, 2003. "A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables," Journal of Monetary Economics, Elsevier, vol. 50(4), pages 745-787, May.
  142. Massimo Costabile & Ivar Massab� & Emilio Russo, 2013. "A Path-Independent Humped Volatility Model for Option Pricing," Applied Mathematical Finance, Taylor & Francis Journals, vol. 20(3), pages 191-210, July.
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