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Dynamic Models of the Term Structure

Published:2001-07 Issue:4 Volume:57 Page:60-76
ISSN:0015-198X
Container-title:Financial Analysts Journal
language:en
Short-container-title:Financial Analysts Journal

Author:

Yan Hong¹

Affiliation:

1. Hong Yan is an assistant professor of finance in the McCombs School of Business, University of Texas at Austin.

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.2469/faj.v57.n4.2466

Reference67 articles.

1. Jump-Diffusion Processes and the Term Structure of Interest Rates

2. A Simple Approach to Three-Factor Affine Term Structure Models

3. Financial Calculus

Cited by 14 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. Modeling of Risk Measure Bonds Using the Beta Model;Review of Pacific Basin Financial Markets and Policies;2021-11-17

2. Yield Curve Forecasting with the Burg Model;Journal of Forecasting;2016-04-25

3. References and Bibliography;Stochastic Simulation and Applications in Finance with MATLAB® Programs;2012-05-24

4. An Empirical Comparison of the Short Term Interest Rate Models;SSRN Electronic Journal;2012

5. Modelling the term structure of interest rates: An efficient nonparametric approach;Journal of Banking & Finance;2008-04

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