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Results 1 - 10
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113,142
A yield-factor model of interest rates
- Math. Finance
, 1996
"... This paper presents a consistent and arbitrage-free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric multivariate Markov diffusion process with “stochastic volatility. ” The yield of any zero-coupon bond is taken to be a matur ..."
Abstract
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Cited by 665 (23 self)
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This paper presents a consistent and arbitrage-free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric multivariate Markov diffusion process with “stochastic volatility. ” The yield of any zero-coupon bond is taken to be a
A theory of the term structure of interest rates,
- Econometrika,
, 1985
"... Each copy of any part of a JSTOR transmission must contain the same copyright notice that appears on the screen or printed page of such transmission. JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted d ..."
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Cited by 1979 (3 self)
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. Ross This paper uses an intertemporal general equilibrium asset pricing model to study the term structure of interest rates. In this model, anticipations, risk aversion, investment alternatives, and preferences about the timing of consumption all play a role in determining bond prices. Many
On the pricing of corporate debt: The risk structure of interest rates
- JOURNAL OF FINANCE
, 1974
"... ..."
An empirical comparison of alternative models of the short-term interest rate
- JOURNAL OF FINANCE
, 1992
"... ..."
Term Premia and Interest Rate Forecasts in Affine Models
, 2001
"... I find that the standard class of a#ne models produces poor forecasts of future changes in Treasury yields. Better forecasts are generated by assuming that yields follow random walks. The failure of these models is driven by one of their key features: The compensation that investors receive for faci ..."
Abstract
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Cited by 454 (13 self)
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for facing risk is a multiple of the variance of the risk. This means that risk compensation cannot vary independently of interest rate volatility. I also describe and empirically estimate a class of models that is broader than the standard a#ne class. These "essentially a#ne" models retain
A direct approach to false discovery rates
, 2002
"... Summary. Multiple-hypothesis testing involves guarding against much more complicated errors than single-hypothesis testing. Whereas we typically control the type I error rate for a single-hypothesis test, a compound error rate is controlled for multiple-hypothesis tests. For example, controlling the ..."
Abstract
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Cited by 775 (14 self)
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and then estimate its corresponding error rate. This new approach offers increased applicability, accuracy and power. We apply the methodology to both the positive false discovery rate pFDR and FDR, and provide evidence for its benefits. It is shown that pFDR is probably the quantity of interest over FDR. Also
The control of the false discovery rate in multiple testing under dependency
- Annals of Statistics
, 2001
"... Benjamini and Hochberg suggest that the false discovery rate may be the appropriate error rate to control in many applied multiple testing problems. A simple procedure was given there as an FDR controlling procedure for independent test statistics and was shown to be much more powerful than comparab ..."
Abstract
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Cited by 1093 (16 self)
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Benjamini and Hochberg suggest that the false discovery rate may be the appropriate error rate to control in many applied multiple testing problems. A simple procedure was given there as an FDR controlling procedure for independent test statistics and was shown to be much more powerful than
A new scale of social desirability independent of psychopathology
- Journal of Consulting Psychology
, 1960
"... It has long been recognized that personality test scores are influenced by non-test-relevant response determinants. Wiggins and Rumrill (1959) distinguish three approaches to this problem. Briefly, interest in the problem of response distortion has been concerned with attempts at statistical correct ..."
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Cited by 695 (1 self)
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It has long been recognized that personality test scores are influenced by non-test-relevant response determinants. Wiggins and Rumrill (1959) distinguish three approaches to this problem. Briefly, interest in the problem of response distortion has been concerned with attempts at statistical
Results 1 - 10
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113,142
