Nonlinear Filtering in Affine Term Structure Models: Evidence from the Term Structure of Swap Rates-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Nonlinear Filtering in Affine Term Structure Models: Evidence from the Term Structure of Swap Rates

Published:2009 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Christoffersen Peter,Jacobs Kris,Karoui Lotfi,Mimouni Karim

Publisher

Elsevier BV

Reference44 articles.

1. Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions

2. A Note on the Relation Between Principal Components and Dynamic Factors in A� ne Term Structure Models;C Almeida;Brazilian Review of Econometrics,2005

3. Do Options Contain Information About Excess Bond Returns?

4. Kalman Filtering of Generalized Vasicek Term Structure Models;S Babbs;Journal of Financial and Quantitative Analysis,1999

5. Predictable Changes in Yields and Forward Rates;D Backus;Journal of Financial Economics,2001

Cited by 7 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The Swaption Cube;Review of Financial Studies;2014-03-12

2. Linear-Rational Term Structure Models;SSRN Electronic Journal;2014

3. The term structure of interbank risk;Journal of Financial Economics;2013-09

4. An Empirical Comparison of Alternative Credit Default Swap Pricing Models;SSRN Electronic Journal;2012

5. The Swaption Cube;SSRN Electronic Journal;2012

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP