Parameter Uncertainty in Kalman-Filter Estimation of the CIR Term-Structure Model

Numerical Methods for Finance - Chapman & Hall/CRC Financial Mathematics Series ◽

10.1201/9781584889267.ch14 ◽

2007 ◽

pp. 255-279 ◽

Author(s):

Conall O‚ÄôSullivan

Keyword(s):

Kalman Filter ◽

Term Structure ◽

Parameter Uncertainty ◽

Structure Model ◽

Term Structure Model

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A Macro Finance Term Structure Model with Stochastic Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.1625388 ◽

2007 ◽

Author(s):

Linlin Niu

Keyword(s):

Stochastic Volatility ◽

Term Structure ◽

Structure Model ◽

Term Structure Model ◽

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Credit Risk and the Macro Economy in an Affine Term Structure Model

SSRN Electronic Journal ◽

10.2139/ssrn.1836784 ◽

2011 ◽

Author(s):

Christian Speck

Keyword(s):

Credit Risk ◽

Term Structure ◽

Structure Model ◽

Affine Term Structure ◽

Term Structure Model ◽

Affine Term Structure Model

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The Monetary Policy Transmission Mechanism in a Term-Structure Model with Unspanned Macro Risks

SSRN Electronic Journal ◽

10.2139/ssrn.1968728 ◽

2011 ◽

Author(s):

Marcelo Ferman

Keyword(s):

Monetary Policy ◽

Term Structure ◽

Transmission Mechanism ◽

Structure Model ◽

Monetary Policy Transmission ◽

Term Structure Model ◽

Policy Transmission ◽

Monetary Policy Transmission Mechanism

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Fast Swaption Pricing in Gaussian Term Structure Model

SSRN Electronic Journal ◽

10.2139/ssrn.2228525 ◽

2013 ◽

Author(s):

Jaehyuk Choi ◽

SungChan Shin

Keyword(s):

Term Structure ◽

Structure Model ◽

Term Structure Model

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A Principal-Component-Based Affine Term Structure Model

SSRN Electronic Journal ◽

10.2139/ssrn.2451130 ◽

2014 ◽

Author(s):

Riccardo Rebonato ◽

Ivan Saroka ◽

Vladyslav Putyatin

Keyword(s):

Term Structure ◽

Principal Component ◽

Structure Model ◽

Affine Term Structure ◽

Term Structure Model ◽

Affine Term Structure Model

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What does a term structure model imply about very long-term interest rates?

Journal of Empirical Finance ◽

10.1016/j.jempfin.2021.03.006 ◽

2021 ◽

Vol 62 ◽

pp. 202-219

Author(s):

Anne G. Balter ◽

Antoon Pelsser ◽

Peter C. Schotman

Keyword(s):

Interest Rates ◽

Term Structure ◽

Structure Model ◽

Term Structure Model

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A Term-Structure Model for Dividends and Interest Rates

SSRN Electronic Journal ◽

10.2139/ssrn.3016310 ◽

2017 ◽

Author(s):

Damir Filipovii ◽

Sander Willems

Keyword(s):

Interest Rates ◽

Term Structure ◽

Structure Model ◽

Term Structure Model

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Estimation of Multifactor Cox, Ingersoll, and Ross Term Structure Model

The Journal of Fixed Income ◽

10.3905/jfi.1995.408143 ◽

1995 ◽

Vol 5 (2) ◽

pp. 8-28 ◽

Author(s):

Manoj K. Singh

Keyword(s):

Term Structure ◽

Structure Model ◽

Term Structure Model

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An Extension of the Five‐factor Affine Term Structure Model: Predicting Future Bond Returns*

Asia-Pacific Journal of Financial Studies ◽

10.1111/ajfs.12356 ◽

2021 ◽

Author(s):

Ga‐Young Jang ◽

Hyoung‐Goo Kang ◽

Dong‐Joon Lee

Keyword(s):

Term Structure ◽

Structure Model ◽

Affine Term Structure ◽

Term Structure Model ◽

Bond Returns ◽

Affine Term Structure Model

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Multi-factor USV term structure model

Lecture Notes in Economics and Mathematical Systems - Pricing of Bond Options ◽

10.1007/978-3-540-70729-5_7 ◽

2008 ◽

pp. 93-112

Keyword(s):

Term Structure ◽

Structure Model ◽

Term Structure Model

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