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28
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Term structure dynamics in theory and reality
– Qiang Dai, Kenneth Singleton
- 2003
|
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51
|
Term Structure of Interest Rates with Regime Shifts
– Ravi Bansal, Hao Zhou
- 2002
|
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32
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An Econometric Model of the Yield Curve with Macroeconomic Jump Effects
– Monika Piazzesi
- 2000
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Estimation of Affine Asset Pricing Models Using the . . .
– Kenneth J. Singleton
- 2001
|
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23
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Continuous-time methods in finance: A review and an assessment
– Suresh M. Sundaresan
- 2000
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22
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Affine processes and applications in finance
– D. Duffie, D. Filipović, W. Schachermayer
- 2003
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2
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Discrete-Time Models of Bond Pricing
– David Backus, Silverio Foresi, Chris Telmer
- 1998
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CONTENTS
– Alan Collinson, Fangtao Dai, John Crabtree
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Identification and Estimation of . . .
– Pierre Collin-Dufresne, Robert S. Goldstein, Christopher S. Jones
- 2003
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Identification and Estimation of 'Maximal' Affine Term . . .
– Pierre Collin-Dufresne, Robert S. Goldstein, Christopher S. Jones
- 2003
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Which Model for the Italian Interest Rates?
– Monica Gentile, Roberto Renò, Monica Gentile, Roberto Ren Ò
|
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5
|
Estimation of Dynamic Term Structure Models
– Gregory R. Duffee, Richard H. Stanton
- 2004
|
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2
|
Jump-Diffusion Term Structure and Itô Conditional Moment Generator
– Hao Zhou
- 2001
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Fixed Income Analysis: Securities, Pricing, and Risk Management
– Claus Munk
- 2003
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Essays in Financial Econometrics
– Mikhail Chernov
- 2000
|
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61
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Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
– Darrell Duffie, Lasse Heje Pedersen, Kenneth J. Singleton, Andrei Khinchuk, David L, Vladimir Semyonov
- 2003
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Intertemporal Asset Pricing Theory
– Darrell Duffie
- 2002
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6
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Generalized Squared-Autoregressive-Independent-Variable Nominal Term Structure Model
– Dong-hyun Ahn, Jacob Boudoukh, Robert Jarrow, Matthew Richardson, Jeffrey Busse, Robert Dittmar, Bin Gao
- 1998
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5
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Simulated likelihood estimation of affine term structure models from panel data
– Michael W. Brandt, Ping He
- 2002
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