Empirical evaluation of the market price of risk using the CIR model-Reference-Cited by-同舟云学术

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Empirical evaluation of the market price of risk using the CIR model

Published:2007-03 Issue: Volume:376 Page:543-554
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Bernaschi M.,Torosantucci L.,Uboldi A.

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference16 articles.

1. An inter-temporal general equilibrium model of asset prices;Cox;Econometrica,1985

2. A theory of the term structure of interest rates;Cox;Econometrica,1985

3. Credit Risk Pricing Models;Schmid,2003

4. Expectation puzzles, time-varying risk premia, and affine models of the term structure;Dai;J. Financial Econ.,2002

5. Specification analysis of affine term structure models;Dai;J. Finance,2000

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2. Risk-based catastrophe bond design for a spatially distributed portfolio;Structural Safety;2020-03

3. The impact of the Basel III liquidity ratios on banks: Evidence from a simulation study;The Quarterly Review of Economics and Finance;2020-02

4. Behavioral analysis of long-term implied volatilities;Studies in Economics and Finance;2019-07-15

5. Financial planning and risk-return profiles;European Actuarial Journal;2012-06-14

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