ScienceGate
Advanced Search
Author Search
Journal Finder
Blog
Sign in / Sign up
ScienceGate
Search
Author Search
Journal Finder
Blog
Sign in / Sign up
Affine Jump Term Structure Models: Statistical Tests, Expectation Puzzles and Conditional Volatility
SSRN Electronic Journal
◽
10.2139/ssrn.1784438
◽
2011
◽
Author(s):
Zhaogang Song
◽
Haitao Li
Keyword(s):
Term Structure
◽
Statistical Tests
◽
Conditional Volatility
◽
Term Structure Models
Download Full-text
Related Documents
Cited By
References
Conditional Volatility in Affine Term Structure Models: Evidence from Treasury and Swap Markets
SSRN Electronic Journal
◽
10.2139/ssrn.1127985
◽
2008
◽
Cited By ~ 3
Author(s):
Kris Jacobs
◽
Lotfi Karoui
Keyword(s):
Term Structure
◽
Conditional Volatility
◽
Affine Term Structure
◽
Affine Term Structure Models
◽
Term Structure Models
Download Full-text
Conditional volatility in affine term-structure models: Evidence from Treasury and swap markets☆
Journal of Financial Economics
◽
10.1016/j.jfineco.2008.02.006
◽
2009
◽
Vol 91
(3)
◽
pp. 288-318
◽
Cited By ~ 25
Author(s):
Kris Jacobs
◽
Lotfi Karoui
Keyword(s):
Term Structure
◽
Conditional Volatility
◽
Affine Term Structure
◽
Affine Term Structure Models
◽
Term Structure Models
Download Full-text
Can Linear-Rational Term Structure Models Capture Conditional Volatility in the Treasury Yield Market?
SSRN Electronic Journal
◽
10.2139/ssrn.3618969
◽
2020
◽
Author(s):
Jorge Hansen
Keyword(s):
Term Structure
◽
Conditional Volatility
◽
Term Structure Models
◽
Rational Term
Download Full-text
Point-in-time probability of default term structure models for multiperiod scenario loss projection
The Journal of Risk Model Validation
◽
10.21314/jrmv.2017.164
◽
2017
◽
Author(s):
Bill Huajian Yang
Keyword(s):
Term Structure
◽
Probability Of Default
◽
Term Structure Models
Download Full-text
An Empirical Evaluation of the Estimation of Affine Term Structure Models: How Invariant Affine Transformations and Rotations Lead to Improved Empirical Performance
SSRN Electronic Journal
◽
10.2139/ssrn.1361050
◽
2009
◽
Author(s):
Januj Juneja
Keyword(s):
Term Structure
◽
Empirical Evaluation
◽
Affine Transformations
◽
Affine Term Structure
◽
Affine Term Structure Models
◽
Term Structure Models
◽
Empirical Performance
Download Full-text
Risk Premia and Wishart Term Structure Models
SSRN Electronic Journal
◽
10.2139/ssrn.1573184
◽
2010
◽
Cited By ~ 3
Author(s):
Carl Chiarella
◽
Chih-Ying Hsiao
◽
Thuy Duong To
Keyword(s):
Term Structure
◽
Risk Premia
◽
Term Structure Models
Download Full-text
Term Structure Models with Differences in Beliefs (Online Appendix)
SSRN Electronic Journal
◽
10.2139/ssrn.2050468
◽
2011
◽
Author(s):
Andrea Buraschi
◽
Paul Whelan
Keyword(s):
Term Structure
◽
Term Structure Models
◽
Online Appendix
Download Full-text
Algorithms behind Term Structure Models of Interest Rates II: The Hull-White Trinomial Tree of Interest Rates
SSRN Electronic Journal
◽
10.2139/ssrn.292223
◽
2001
◽
Author(s):
Markus Leippold
◽
Zvi Wiener
Keyword(s):
Interest Rates
◽
Term Structure
◽
Term Structure Models
◽
Trinomial Tree
Download Full-text
Interest Rate Risk in the Banking Book: Management with Discrete-time Affine ℚ Term Structure Models
SSRN Electronic Journal
◽
10.2139/ssrn.3395595
◽
2019
◽
Author(s):
Andreas Bloechlinger
Keyword(s):
Interest Rate
◽
Term Structure
◽
Discrete Time
◽
Interest Rate Risk
◽
Term Structure Models
◽
Rate Risk
Download Full-text
Panel-Data Estimation of Non-Linear Term-Structure Models
SSRN Electronic Journal
◽
10.2139/ssrn.82369
◽
1998
◽
Author(s):
Peter Honore
Keyword(s):
Panel Data
◽
Term Structure
◽
Linear Term
◽
Panel Data Estimation
◽
Term Structure Models
◽
Non Linear
◽
Data Estimation
Download Full-text
Sign in / Sign up
Close
Export Citation Format
Close
Share Document
Close