Are European Corporate Bond Markets Integrated? A Macro-Finance Term Structure Model Approach

SSRN Electronic Journal ◽

10.2139/ssrn.1559027 ◽

2010 ◽

Author(s):

Roland Füss ◽

Dirk Schiereck ◽

Arne Wilkes

Keyword(s):

Term Structure ◽

Corporate Bond ◽

Bond Markets ◽

Structure Model ◽

Term Structure Model ◽

Macro Finance ◽

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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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An affine macro-finance term structure model for the euro area

The North American Journal of Economics and Finance ◽

10.1016/j.najef.2007.07.004 ◽

2008 ◽

Vol 19 (1) ◽

pp. 41-69 ◽

Author(s):

Wolfgang Lemke

Keyword(s):

Term Structure ◽

Euro Area ◽

Structure Model ◽

Term Structure Model ◽

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An Affine Two-Factor Heteroskedastic Macro-Finance Term Structure Model

Applied Mathematical Finance ◽

10.1080/1350486x.2010.517664 ◽

2011 ◽

Vol 18 (4) ◽

pp. 331-352 ◽

Author(s):

Peter Spreij ◽

Enno Veerman ◽

Peter Vlaar

Keyword(s):

Term Structure ◽

Structure Model ◽

Term Structure Model ◽

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Market Beliefs About the UK Monetary Policy Lift-Off Horizon: A No-Arbitrage Shadow Rate Term Structure Model Approach

SSRN Electronic Journal ◽

10.2139/ssrn.2644309 ◽

2015 ◽

Author(s):

Martin M. Andreasen ◽

Andrew Meldrum

Keyword(s):

Monetary Policy ◽

Term Structure ◽

Structure Model ◽

Term Structure Model ◽

No Arbitrage ◽

Market Beliefs ◽

Lift Off ◽

The Uk ◽

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A macro-finance term structure model with multivariate stochastic volatility

International Review of Economics & Finance ◽

10.1016/j.iref.2016.03.008 ◽

2016 ◽

Vol 44 ◽

pp. 68-90 ◽

Author(s):

Márcio P. Laurini ◽

João F. Caldeira

Keyword(s):

Stochastic Volatility ◽

Term Structure ◽

Structure Model ◽

Term Structure Model ◽

Multivariate Stochastic Volatility ◽

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An Affine Macro-Finance Term Structure Model for the Euro Area

SSRN Electronic Journal ◽

10.2139/ssrn.2785287 ◽

2007 ◽

Author(s):

Wolfgang Lemke

Keyword(s):

Term Structure ◽

Euro Area ◽

Structure Model ◽

Term Structure Model ◽

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A Macro-Finance Term Structure Model for Bond and Dividend Discount Rates

SSRN Electronic Journal ◽

10.2139/ssrn.3394850 ◽

2019 ◽

Author(s):

Stephan Florig ◽

Maxim Ulrich ◽

Sven Schoemer

Keyword(s):

Term Structure ◽

Structure Model ◽

Discount Rates ◽

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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