Is the Short Rate Drift Actually Nonlinear?
Year of publication: |
1998-08-28
|
---|---|
Authors: | Chapman, David A. ; Pearson, Neil D. |
Institutions: | EconWPA |
Subject: | term structure | continuous-time |
-
Bond positions, expectations, and the yield curve
Piazzesi, Monika, (2008)
-
Forecasting the term structure of government bond yields
Diebold, Francis X., (2003)
-
Modeling bond yields in finance and macroeconomics
Diebold, Francis X., (2005)
- More ...
-
Using Proxies for the Short Rate: When are Three Months Like an Instant?
Chapman, David A., (1998)
-
Is the short rate drift actually nonlinear?
Chapman, David A., (2000)
-
Using proxies for the short rate : when are three months like an instant?
Chapman, David A., (1999)
- More ...