A Simple Test of the Affine Class of Term Structure Models
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance
Link
http://academic.oup.com/raps/article-pdf/2/2/203/5427263/ras010.pdf
Reference56 articles.
1. A Parametric Nonlinear Model of Term Structure Dynamics
2. Quadratic Term Structure Models: Theory and Evidence
3. Testing Continuous-Time Models of the Spot Interest Rate
4. Nonparametric Pricing of Interest Rate Derivative Securities
5. Do bonds span volatility risk in the U.S. Treasury market? A specification test for affine term structure models;Andersen;Journal of Finance,2010
Cited by 6 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 advantages of using excess returns to model the term structure;Journal of Financial Economics;2017-07
2. Invariance, observational equivalence, and identification: Some implications for the empirical performance of affine term structure models;The Quarterly Review of Economics and Finance;2017-05
3. Risk Premia and Volatilities in a Nonlinear Term Structure Model;Review of Finance;2016-10-29
4. The economic value of predicting bond risk premia;Journal of Empirical Finance;2016-06
5. Risk Premia, Volatilities, and Sharpe Ratios in a Non-Linear Term Structure Model;SSRN Electronic Journal;2013
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
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3