Expectations, Risk Premia and Information Spanning in Dynamic Term Structure Model Estimation

2014 ◽  
Author(s):  
Rodrigo Guimaraes
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Model Estimation ◽  
Structure Model ◽  
Term Structure Model

scholarly journals Risk Premia and Volatilities in a Nonlinear Term Structure Model

2016 ◽  
pp. rfw052 ◽  
Author(s):  
Peter Feldhütter ◽  
Christian Heyerdahl-Larsen ◽  
Philipp Illeditsch
Keyword(s):  
Term Structure ◽  
Nonlinear Term ◽  
Risk Premia ◽  
Structure Model ◽  
Term Structure Model

Risk Premia, Volatilities, and Sharpe Ratios in a Non-Linear Term Structure Model

2013 ◽  
Author(s):  
Peter Feldhütter ◽  
Christian Heyerdahl-Larsen ◽  
Philipp K. Illeditsch
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Linear Term ◽  
Structure Model ◽  
Term Structure Model ◽  
Non Linear ◽  
Sharpe Ratios

Fast Swaption Pricing in Gaussian Term Structure Model

2013 ◽  
Author(s):  
Jaehyuk Choi ◽  
SungChan Shin
Keyword(s):  
Term Structure ◽  
Structure Model ◽  
Term Structure Model

A Principal-Component-Based Affine Term Structure Model

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

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

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

scholarly journals A Term-Structure Model for Dividends and Interest Rates

2017 ◽  
Author(s):  
Damir Filipovii ◽  
Sander Willems
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Structure Model ◽  
Term Structure Model
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