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

by Vasicek, Oldrich Alfonso

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  1. Lindset, Snorre & Lund, Arne-Christian, 2007. "A Monte Carlo approach for the American put under stochastic interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1081-1105, April.
  2. Ming Xi Huang, 2010. "Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 15, August.
  3. Vetter, Mathias & Podolskij, Mark & Dette, Holger, 2004. "Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing," Technical Reports 2004,32, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  4. Rodrigo Alfaro & Andrés Sagner, 2011. "Stress Tests for Banking Sector: A Technical Note," Working Papers Central Bank of Chile 610, Central Bank of Chile.
  5. James D. Hamilton & Jing Cynthia Wu, 2013. "Risk Premia in Crude Oil Futures Prices," NBER Working Papers 19056, National Bureau of Economic Research, Inc.
  6. Rajnish Mehra & Arunima Sinha, 2016. "The Term Structure of Interest Rates in India," NBER Working Papers 22020, National Bureau of Economic Research, Inc.
  7. Lindström, Erik & Regland, Fredrik, 2012. "Modeling extreme dependence between European electricity markets," Energy Economics, Elsevier, vol. 34(4), pages 899-904.
  8. Comte, F. & Renault, E., 1996. "Long memory continuous time models," Journal of Econometrics, Elsevier, vol. 73(1), pages 101-149, July.
  9. 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.
  10. Pfann, Gerard A. & Schotman, Peter C. & Tschernig, Rolf, 1996. "Nonlinear interest rate dynamics and implications for the term structure," Journal of Econometrics, Elsevier, vol. 74(1), pages 149-176, September.
  11. Christian Flor & Linda Larsen, 2014. "Robust portfolio choice with stochastic interest rates," Annals of Finance, Springer, vol. 10(2), pages 243-265, May.
  12. Chernov, Mikhail & Dunn, Brett R. & Longstaff, Francis, 2016. "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," CEPR Discussion Papers 10947, C.E.P.R. Discussion Papers.
  13. Qiankun Zhou & Jun Yu, 2012. "Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes," Working Papers 11-2012, Singapore Management University, School of Economics.
  14. 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).
  15. Episcopos, Athanasios, 2000. "Further evidence on alternative continuous time models of the short-term interest rate," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 199-212, June.
  16. Marcello Pericoli, 2012. "Real term structure and inflation compensation in the euro area," Temi di discussione (Economic working papers) 841, Bank of Italy, Economic Research and International Relations Area.
  17. repec:dau:papers:123456789/5374 is not listed on IDEAS
  18. Glasserman, Paul & Kim, Kyoung-Kuk, 2009. "Saddlepoint approximations for affine jump-diffusion models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 15-36, January.
  19. Cortazar, Gonzalo & Eterovic, Francisco, 2010. "Can oil prices help estimate commodity futures prices? The cases of copper and silver," Resources Policy, Elsevier, vol. 35(4), pages 283-291, December.
  20. Chuang-Chang Chang & Jun-Biao Lin & Chun-Chieh Yang, 2015. "The effect of stochastic interest rates on a firm’s capital structure under a generalized model," Review of Quantitative Finance and Accounting, Springer, vol. 45(4), pages 695-719, November.
  21. Casassus, Jaime & Collin-Dufresne, Pierre & Goldstein, Bob, 2005. "Unspanned stochastic volatility and fixed income derivatives pricing," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2723-2749, November.
  22. Chen, Qiang & Zheng, Xu & Pan, Zhiyuan, 2015. "Asymptotically distribution-free tests for the volatility function of a diffusion," Journal of Econometrics, Elsevier, vol. 184(1), pages 124-144.
  23. Grinblatt, Mark, 1995. "An Analytic Solution for Interest Rate Swap Spreads," University of California at Los Angeles, Anderson Graduate School of Management qt9s13f3zx, Anderson Graduate School of Management, UCLA.
  24. Romain Cuchet & Pascal François & Georges Hübner, 2013. "Currency total return swaps: valuation and risk factor analysis," Quantitative Finance, Taylor & Francis Journals, vol. 13(7), pages 1135-1148, February.
  25. Driessen, J.J.A.G., 2001. "Empirical studies on the pricing of bonds and interest rate derivatives," Other publications TiSEM 599db9fb-5249-428c-8f8a-8, Tilburg University, School of Economics and Management.
  26. Jang, Bong-Gyu & Yoon, Ji Hee, 2010. "Analytic valuation formulas for range notes and an affine term structure model with jump risks," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2132-2145, September.
  27. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers CoFie-04-2009, .
  28. de Roon, Frans A. & Nijman, Theo E. & Veld, Chris, 1998. "Pricing Term Structure Risk in Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(01), pages 139-157, March.
  29. Antje Berndt & Peter Ritchken & Zhiqiang Sun, . "On Correlation Effects and Default Clustering in Credit Models," GSIA Working Papers 2008-E36, Carnegie Mellon University, Tepper School of Business.
  30. Huse, Cristian, 2011. "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3240-3252.
  31. Shane Miller, 2007. "Pricing of Contingent Claims Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 25, August.
  32. Jui‐Jane Chang & Son‐Nan Chen & Ting‐Pin Wu, 2013. "Currency‐Protected Swaps and Swaptions with Nonzero Spreads in a Multicurrency LMM," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(9), pages 827-867, 09.
  33. Jordan, James V. & Mansi, Sattar A., 2003. "Term structure estimation from on-the-run Treasuries," Journal of Banking & Finance, Elsevier, vol. 27(8), pages 1487-1509, August.
  34. Francis X. Diebold & Canlin Li, 2003. "Forecasting the Term Structure of Government Bond Yields," NBER Working Papers 10048, National Bureau of Economic Research, Inc.
  35. Pham, Toan M., 1998. "Estimation of the term structure of interest rates: an international perspective," Journal of Multinational Financial Management, Elsevier, vol. 8(2-3), pages 265-283, September.
  36. Ichiue, Hibiki & Ueno, Yoichi, 2015. "Monetary policy and the yield curve at zero interest," Journal of the Japanese and International Economies, Elsevier, vol. 38(C), pages 1-12.
  37. Lindset, Snorre, 2005. "Valuing the flexibility of currency choice in multinational trade with stochastic exchange rates," Journal of Multinational Financial Management, Elsevier, vol. 15(2), pages 137-153, April.
  38. Huang, J. & Kobayashi, M. & McAleer, M.J., 2011. "Testing the Box-Cox Parameter for an Integrated Process," Econometric Institute Research Papers EI 2010-77, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  39. Janczura, Joanna & Weron, Rafal, 2010. "An empirical comparison of alternate regime-switching models for electricity spot prices," Energy Economics, Elsevier, vol. 32(5), pages 1059-1073, September.
  40. Bacinello, Anna Rita & Ortu, Fulvio, 1996. "Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results," European Journal of Operational Research, Elsevier, vol. 91(2), pages 235-249, June.
  41. Dennis Kristensen, 2004. "Estimation in Two Classes of Semiparametric Diffusion Models," FMG Discussion Papers dp500, Financial Markets Group.
  42. Kaldasch, Joachim, 2011. "Evolutionary Model of Non-Durable Markets," EconStor Preprints 50531, ZBW - German National Library of Economics.
  43. David Backus & Mikhail Chernov & Stanley Zin, 2011. "Sources of Entropy in Representative Agent Models," Working Papers 11-21, New York University, Leonard N. Stern School of Business, Department of Economics.
  44. Andrew Ang & Monika Piazzesi, 2001. "A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables," NBER Working Papers 8363, National Bureau of Economic Research, Inc.
  45. Inci, Ahmet Can, 2007. "US-Swiss term structures and exchange rate dynamics," Global Finance Journal, Elsevier, vol. 18(2), pages 270-288.
  46. 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.
  47. Jun Liu & Francis A. Longstaff & Ravit E. Mandell, 2006. "The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2337-2360, September.
  48. Miltersen, Kristian R. & Persson, Svein-Arne, 1999. "Pricing rate of return guarantees in a Heath-Jarrow-Morton framework," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 307-325, December.
  49. Yu, Wei-Choun & Zivot, Eric, 2011. "Forecasting the term structures of Treasury and corporate yields using dynamic Nelson-Siegel models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 579-591, April.
  50. Si Cheng & Michael R. Tehranchi, 2015. "Polynomial term structure models," Papers 1504.03238, arXiv.org.
  51. Söderlind, Paul & Svensson, Lars E O, 1997. "New Techniques to Extract Market Expectations from Financial Instruments," CEPR Discussion Papers 1556, C.E.P.R. Discussion Papers.
  52. Iglesias, Emma M., 2014. "Testing of the mean reversion parameter in continuous time models," Economics Letters, Elsevier, vol. 122(2), pages 187-189.
  53. Nawalkha, Sanjay K., 1995. "The duration vector: A continuous-time extension to default-free interest rate contingent claims," Journal of Banking & Finance, Elsevier, vol. 19(8), pages 1359-1366, November.
  54. Claus Munk & Alexey Rubtsov, 2014. "Portfolio management with stochastic interest rates and inflation ambiguity," Annals of Finance, Springer, vol. 10(3), pages 419-455, August.
  55. Tse, Y.K., 1997. "Short-term interest rate models and generation of interest rate scenarios," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 475-480.
  56. Brenda López Cabrera & Martin Odening & Matthias Ritter, 2013. "Pricing Rainfall Derivatives at the CME," SFB 649 Discussion Papers SFB649DP2013-005, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  57. Khizar Qureshi & Cheng Su, 2016. "Mortgages and Refinancing," Papers 1605.04941, arXiv.org.
  58. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
  59. Munk, Claus, 2002. "Price bounds on bond options, swaptions, caps, and floors assuming only nonnegative interest rates," International Review of Economics & Finance, Elsevier, vol. 11(4), pages 335-347.
  60. Bao, Yong & Ullah, Aman & Wang, Yun & Yu, Jun, 2015. "Bias in the estimation of mean reversion in continuous-time Lévy processes," Economics Letters, Elsevier, vol. 134(C), pages 16-19.
  61. Frederik Herzberg & Frank Riedel, 2012. "Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets," Papers 1207.2010, arXiv.org.
  62. De Rossi, Giuliano, 2004. "Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 277-308, March.
  63. Fournié, Eric, 1995. "Minimum distance estimation and testing for interest rate models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 143-150.
  64. Poskitt, Russell, 2008. "The truth about interest rate futures and forwards: Evidence from high frequency data," Global Finance Journal, Elsevier, vol. 18(3), pages 319-336.
  65. Nawalkha, Sanjay K. & Chambers, Donald R., 1995. "A note on currency option pricing," International Review of Financial Analysis, Elsevier, vol. 4(1), pages 81-84.
  66. Hautsch, Nikolaus & Ou, Yangguoyi, 2009. "Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields," CFS Working Paper Series 2009/03, Center for Financial Studies (CFS).
  67. 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.
  68. Ruijun Bu & Jie Cheng & Kaddour Hadri, 2014. "Reducible Diffusions with Time-Varying Transformations with Application to Short-Term Interest Rates," Economics Working Papers 14-01, Queen's Management School, Queen's University Belfast.
  69. St\'ephane Goutte, 2013. "Markov switching quadratic term structure models," Papers 1305.2693, arXiv.org.
  70. Björk, Tomas & Svensson, Lars, 1999. "On the Existence of Finite Dimensional Realizations for Nonlinear Forward Rate Models," SSE/EFI Working Paper Series in Economics and Finance 338, Stockholm School of Economics.
  71. Liao, Hsien-Hsing & Chen, Tsung-Kang & Lu, Chia-Wu, 2009. "Bank credit risk and structural credit models: Agency and information asymmetry perspectives," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1520-1530, August.
  72. Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2013. "Mortgage Hedging in Fixed Income Markets," FMG Discussion Papers dp722, Financial Markets Group.
  73. Adkins, Lee C. & Krehbiel, Timothy, 1999. "Mean reversion and volatility of short-term London Interbank Offer Rates: An empirical comparison of competing models," International Review of Economics & Finance, Elsevier, vol. 8(1), pages 45-54, January.
  74. Ivanov, Ivan & Kabaivanov, Stanimir & Bogdanova, Boryana, 2016. "Stock market recovery from the 2008 financial crisis: The differences across Europe," Research in International Business and Finance, Elsevier, vol. 37(C), pages 360-374.
  75. Stéphane Goutte & Raphaël Homayoun & Thomas Porcher, 2014. "A regime switching model to evaluate bonds in a quadratic term structure of interest rates," Working Papers hal-01090846, HAL.
  76. Adland, Roar & Jia, Haiying & Lu, Jing, 2008. "Price dynamics in the market for Liquid Petroleum Gas transport," Energy Economics, Elsevier, vol. 30(3), pages 818-828, May.
  77. Michael Wickens, 2014. "How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics," Discussion Papers 14/17, Department of Economics, University of York.
  78. Grenadier, Steven R. & Hall, Brian J., 1996. "Risk-based capital standards and the riskiness of bank portfolios: Credit and factor risks," Regional Science and Urban Economics, Elsevier, vol. 26(3-4), pages 433-464, June.
  79. Rogelio Maldonado Castaño & Natalia Zapata Rueda & Javier Orlando Pantoja Robayo, 2012. "Estimación dinámica de una estructura de tasas de interés para Colombia: análisis empírico con filtros de Kalman," DOCUMENTOS DE TRABAJO CIEF 010631, UNIVERSIDAD EAFIT.
  80. 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.
  81. Maheu, John M & Yang, Qiao, 2015. "An Infinite Hidden Markov Model for Short-term Interest Rates," MPRA Paper 62408, University Library of Munich, Germany.
  82. Petar Jevtic' & Luca Regis, 2014. "Assessing the solvency of insurance portfolios via a continuous time cohort model," Working Papers 7/2014, IMT Institute for Advanced Studies Lucca, revised Jul 2014.
  83. Peter C. B. Phillips & Jun Yu, 2006. "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Development Economics Working Papers 22471, East Asian Bureau of Economic Research.
  84. Peter C. B. Phillips & Jun Yu, 2008. "Simulation-based Estimation of Contingent-claims Prices," Finance Working Papers 22473, East Asian Bureau of Economic Research.
  85. Gatzert, Nadine & Martin, Michael, 2012. "Quantifying credit and market risk under Solvency II: Standard approach versus internal model," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 649-666.
  86. 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.
  87. Xu, Ke-Li, 2009. "Empirical likelihood-based inference for nonparametric recurrent diffusions," Journal of Econometrics, Elsevier, vol. 153(1), pages 65-82, November.
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  95. Kurucak, Abdurrahman & Shcherbakova, Anastasia, 2016. "Estimating the hedging value of an energy exchange in Turkey to a retail power consumer," Energy, Elsevier, vol. 101(C), pages 16-26.
  96. Schmidt, Wolfgang M., 2011. "Interest rate term structure modelling," European Journal of Operational Research, Elsevier, vol. 214(1), pages 1-14, October.
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  134. Schaefer, Stephen M. & Strebulaev, Ilya A., 2008. "Structural models of credit risk are useful: Evidence from hedge ratios on corporate bonds," Journal of Financial Economics, Elsevier, vol. 90(1), pages 1-19, October.
  135. Kraft, Holger & Munk, Claus, 2007. "Bond durations: Corporates vs. Treasuries," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3720-3741, December.
  136. Eduardo Walker, 2006. "Optimal Portfolios In Defined Contribution Pension Systems," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 9(2), pages 99-129.
  137. Coroneo, Laura & Nyholm, Ken & Vidova-Koleva, Rositsa, 2008. "How arbitrage-free is the Nelson-Siegel Model?," Working Paper Series 0874, European Central Bank.
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  140. Luciano, Elisa & Regis, Luca & Vigna, Elena, 2012. "Delta–Gamma hedging of mortality and interest rate risk," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 402-412.
  141. Giandomenico, Rossano, 2014. "Finance & Stochastic," MPRA Paper 71627, University Library of Munich, Germany.
  142. N. K. Nomikos & O. Soldatos, 2008. "Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(1), pages 41-71.
  143. Constantin Mellios & Pierre Six & Anh Ngoc Lai, 2016. "Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield," Post-Print halshs-01244560, HAL.
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