Tools
Sorted by:
Try your query at:
 |
 |
 |
 |
 |
 |
Results 1 - 10
of
3,075,832
A yield-factor model of interest rates
- Math. Finance
, 1996
"... This paper presents a consistent and arbitrage-free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric multivariate Markov diffusion process with “stochastic volatility. ” The yield of any zero-coupon bond is taken to be a matur ..."
Abstract
-
Cited by 657 (24 self)
- Add to MetaCart
This paper presents a consistent and arbitrage-free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric multivariate Markov diffusion process with “stochastic volatility. ” The yield of any zero-coupon bond is taken to be a
On the pricing of corporate debt: The risk structure of interest rates
- JOURNAL OF FINANCE
, 1974
"... ..."
Term Premia and Interest Rate Forecasts in Affine Models
, 2001
"... I find that the standard class of a#ne models produces poor forecasts of future changes in Treasury yields. Better forecasts are generated by assuming that yields follow random walks. The failure of these models is driven by one of their key features: The compensation that investors receive for faci ..."
Abstract
-
Cited by 445 (11 self)
- Add to MetaCart
for facing risk is a multiple of the variance of the risk. This means that risk compensation cannot vary independently of interest rate volatility. I also describe and empirically estimate a class of models that is broader than the standard a#ne class. These "essentially a#ne" models retain
An empirical comparison of alternative models of the short-term interest rate
- JOURNAL OF FINANCE
, 1992
"... ..."
Business cycles in emerging economies: the role of interest rates
- Journal of Monetary Economics
"... We find that in a sample of emerging economies business cycles are more volatile than in developed ones, real interest rates are countercyclical and lead the cycle, consumption is more volatile than output and net exports are strongly countercyclical. We present a model of a small open economy, wher ..."
Abstract
-
Cited by 351 (10 self)
- Add to MetaCart
We find that in a sample of emerging economies business cycles are more volatile than in developed ones, real interest rates are countercyclical and lead the cycle, consumption is more volatile than output and net exports are strongly countercyclical. We present a model of a small open economy
Interest Rates
, 2008
"... In this paper new results are documented regarding the short term evolution of global short term interest rates. Much work has been carried out concerning the evolution of interest rates over long time scales, on the order on one month or greater. However high frequency data has only been considered ..."
Abstract
- Add to MetaCart
In this paper new results are documented regarding the short term evolution of global short term interest rates. Much work has been carried out concerning the evolution of interest rates over long time scales, on the order on one month or greater. However high frequency data has only been
Testing Continuous-Time Models of the Spot Interest Rate
- Review of Financial Studies
, 1996
"... Different continuous-time models for interest rates coexist in the literature. We test parametric models by comparing their implied parametric density to the same density estimated nonparametrically. We do not replace the continuous-time model by discrete approximations, even though the data are rec ..."
Abstract
-
Cited by 300 (9 self)
- Add to MetaCart
Different continuous-time models for interest rates coexist in the literature. We test parametric models by comparing their implied parametric density to the same density estimated nonparametrically. We do not replace the continuous-time model by discrete approximations, even though the data
Results 1 - 10
of
3,075,832
