Alternative Term Structure Models for Reviewing Expectations Puzzles
Year of publication: |
2012-03-01
|
---|---|
Authors: | Nikitopoulos-Sklibosios, Christina ; Platen, Eckhard |
Institutions: | Finance Discipline Group, Business School |
Subject: | expectations hypothesis | time-varying term premiums | real-world probability measure | market price of risk |
-
Alternative term structure models for reviewing expectations puzzles
Nikitopoulos, Christina Sklibosios, (2013)
-
International Asset Allocation: A New Perspective
Lioui, Abraham, (2001)
-
Heterogeneous Impatience in a Continuous-Time Model
Hara, Chiaki, (2009)
- More ...
-
Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models
Bruti-Liberati, Nicola, (2007)
-
Alternative Defaultable Term Structure Models
Bruti-Liberati, Nicola, (2009)
-
A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions
Nikitopoulos-Sklibosios, Christina,
- More ...