Tractable Term Structure Models: A New Approach

Author:

Feunou Bruno,Fontaine Jean-Sebastien,Le Anh,Lundblad Christian T.

Publisher

Elsevier BV

Reference38 articles.

1. Pricing the term structure with linear regressions;T Adrian;Journal of Financial Economics,2013

2. Quadratic term structure models: Theory and evidence;D Ahn;Review of Financial Studies,2002

3. The SR approach: A new estimation procedure for non-linear and non-gaussian dynamic term structure models;M M Andreasen;Journal of Econometrics,2015

4. The cost of short-selling liquid securities;S Banerjee;Journal of Finance,2013

5. Regime-shifts in term structure, expectations hypothesis puzzle, and the real business cycle. forthcoming;R Bansal;Journal of Business and Economic Statistics,2003

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