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An equilibrium characterization of the term structure

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  1. Lautier, Delphine & Raynaud, Franck, 2011. "Statistical properties of derivatives: A journey in term structures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2009-2019.
  2. Lin, Xiaoji & Wang, Chong & Wang, Neng & Yang, Jinqiang, 2018. "Investment, Tobin’s q, and interest rates," Journal of Financial Economics, Elsevier, vol. 130(3), pages 620-640.
  3. Tang, Cheng Yong & Chen, Song Xi, 2009. "Parameter estimation and bias correction for diffusion processes," Journal of Econometrics, Elsevier, vol. 149(1), pages 65-81, April.
  4. Masakazu Miura & Kenichiro Tamaki & Takayuki Shiohama, 2013. "Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(4), pages 311-344, November.
  5. 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.
  6. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2010. "Real-world jump-diffusion term structure models," Quantitative Finance, Taylor & Francis Journals, vol. 10(1), pages 23-37.
  7. Beliaeva, Natalia & Nawalkha, Sanjay, 2012. "Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 151-163.
  8. Christa Cuchiero & Damir Filipovic & Josef Teichmann, 2008. "Affine Models," Papers 0809.1985, arXiv.org, revised Oct 2008.
  9. Camilla LandÊn, 2000. "Bond pricing in a hidden Markov model of the short rate," Finance and Stochastics, Springer, vol. 4(4), pages 371-389.
  10. Li, Liuling & Mizrach, Bruce, 2010. "Tail return analysis of Bear Stearns' credit default swaps," Economic Modelling, Elsevier, vol. 27(6), pages 1529-1536, November.
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  13. Kristensen, Dennis & Mele, Antonio, 2011. "Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models," Journal of Financial Economics, Elsevier, vol. 102(2), pages 390-415.
  14. Kwamie Dunbar, . "An Empirical Review of United States Corporate Default Swap Valuation: The Implications of Functional Forms," Fordham Economics Dissertations, Fordham University, Department of Economics, number 2005.2, June.
  15. 1 & 1 & 1 & 1 & 1, 2005. "," Working Papers 05/05, Department of Economics, City University London.
    • 1 & 1 & 1, 2008. "," Working Papers 08/04, Department of Economics, City University London.
    • 1 & 1 & 1 & 1 & 1, 2012. "," Working Papers 12/06, Department of Economics, City University London.
    • 1 & 1, 2008. "," Working Papers 08/03, Department of Economics, City University London.
    • 1 & 1, 2006. "," Working Papers 06/09, Department of Economics, City University London.
    • 1 & 1, 2012. "," Working Papers 12/04, Department of Economics, City University London.
    • 1 & 1 & 1, 2012. "," Working Papers 12/03, Department of Economics, City University London.
    • 1 & 1 & 1, 2006. "," Working Papers 06/04, Department of Economics, City University London.
    • 1 & 1, 2010. "," Working Papers 10/05, Department of Economics, City University London.
    • 1 & 1, 2012. "," Working Papers 12/08, Department of Economics, City University London.
    • 1 & 1 & 1 & 1, 2006. "," Working Papers 06/03, Department of Economics, City University London.
    • 1 & 1, 2006. "," Working Papers 06/10, Department of Economics, City University London.
    • 1 & 1, 2005. "," Working Papers 05/04, Department of Economics, City University London.
    • 1 & 1, 2012. "," Working Papers 12/05, Department of Economics, City University London.
    • 1 & 1, 2007. "," Working Papers 07/12, Department of Economics, City University London.
    • 1 & 1 & 1, 2006. "," Working Papers 06/08, Department of Economics, City University London.
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  17. Álvarez Echeverría Francisco & López Sarabia Pablo & Venegas Martínez Francisco, 2012. "Valuación financiera de proyectos de inversión en nuevas tecnologías con opciones reales," Contaduría y Administración, Accounting and Management, vol. 57(3), pages 115-145, julio-sep.
  18. Lundtofte, Frederik, 2008. "Expected life-time utility and hedging demands in a partially observable economy," European Economic Review, Elsevier, vol. 52(6), pages 1072-1096, August.
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  23. Gong, Fangxiong & Remolona, Eli M, 1997. "Two Factors along the Yield Curve," The Manchester School of Economic & Social Studies, University of Manchester, vol. 65(0), pages 1-31, Supplemen.
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  25. H. Jaffal & Y. Rakotondratsimba & A. Yassine, 2017. "Sensitivities under G2++ model of the yield curve," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-38, March.
  26. Carl Chiarella & Nadima El-Hassan, 1997. "Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques," Working Paper Series 72, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  27. Schöbel, Rainer, 1997. "A note on the valuation of risky corporate bonds," Tübinger Diskussionsbeiträge 96, University of Tübingen, School of Business and Economics.
  28. Matsumura, Marco & Moreira, Ajax & Vicente, José, 2011. "Forecasting the yield curve with linear factor models," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 237-243.
  29. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, edition 127, number 978-3-662-45906-5, December.
  30. Hubner, Georges, 2001. "The analytic pricing of asymmetric defaultable swaps," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 295-316, February.
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  34. 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.
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  36. Tian, Junfang & Zhang, H.M. & Treiber, Martin & Jiang, Rui & Gao, Zi-You & Jia, Bin, 2019. "On the role of speed adaptation and spacing indifference in traffic instability: Evidence from car-following experiments and its stochastic model," Transportation Research Part B: Methodological, Elsevier, vol. 129(C), pages 334-350.
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  39. Jelena Zubkova, 2003. "Interest Rate Term Structure in Latvia in the Monetary Policy Context," Working Papers 2003/03, Latvijas Banka.
  40. Gollier, Christian, 2002. "Time Horizon and the Discount Rate," Journal of Economic Theory, Elsevier, vol. 107(2), pages 463-473, December.
  41. Wu, Tao, 2006. "Macro Factors and the Affine Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(7), pages 1847-1875, October.
  42. Marcel Peter & Martín Grandes, 2005. "How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa," IMF Working Papers 05/217, International Monetary Fund.
  43. Robert R. Bliss & Ehud I. Ronn, 1997. "Callable U.S. Treasury bonds: optimal calls, anomalies, and implied volatilities," FRB Atlanta Working Paper 97-1, Federal Reserve Bank of Atlanta.
  44. Tucker, A. L. & Wei, J. Z., 1998. "Valuation of LIBOR-Contingent FX options," Journal of International Money and Finance, Elsevier, vol. 17(2), pages 249-277, April.
  45. Matthew Pritsker, 1997. "Nonparametric density estimation and tests of continuous time interest rate models," Finance and Economics Discussion Series 1997-26, Board of Governors of the Federal Reserve System (U.S.).
  46. Peter Vlaar, 2007. "Term Structure Modeling for Pension Funds:What to do in Practice?," DNB Working Papers 123, Netherlands Central Bank, Research Department.
  47. Jimmy E. Hilliard, 2014. "Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 101-110, January.
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IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.