Linear-Rational Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.2397898 ◽

2014 ◽

Author(s):

Damir Filipovic ◽

Martin Larsson ◽

Anders B. Trolle

Keyword(s):

Term Structure ◽

Term Structure Models ◽

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Linear-Rational Term Structure Models

The Journal of Finance ◽

10.1111/jofi.12488 ◽

2017 ◽

Vol 72 (2) ◽

pp. 655-704 ◽

Author(s):

DAMIR FILIPOVIĆ ◽

MARTIN LARSSON ◽

ANDERS B. TROLLE

Keyword(s):

Term Structure ◽

Term Structure Models ◽

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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 ◽

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Rational term structure models with geometric Lévy martingales

Stochastics ◽

10.1080/17442508.2012.689835 ◽

2012 ◽

Vol 84 (5-6) ◽

pp. 719-740 ◽

Author(s):

Dorje C. Brody ◽

Lane P. Hughston ◽

Ewan Mackie

Keyword(s):

Term Structure ◽

Term Structure Models ◽

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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

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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

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Risk Premia and Wishart Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.1573184 ◽

2010 ◽

Author(s):

Carl Chiarella ◽

Chih-Ying Hsiao ◽

Thuy Duong To

Keyword(s):

Term Structure ◽

Risk Premia ◽

Term Structure Models

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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

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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

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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 ◽

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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 ◽

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