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isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"The journal of fixed income"
~subject:"Schätzung"
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Search: subject_exact:"BGM model"
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Schätzung
Yield curve
174
Zinsstruktur
174
Theorie
81
Theory
81
USA
50
United States
50
Estimation
30
Risikoprämie
26
Risk premium
26
Government securities
21
Public bond
21
Staatspapier
21
Öffentliche Anleihe
21
CAPM
20
Anleihe
19
Bond
19
Credit risk
18
Interest rate
18
Kreditrisiko
18
Zins
18
Option pricing theory
17
Optionspreistheorie
17
Interest rate derivative
16
Zinsderivat
16
Capital income
15
Kapitaleinkommen
15
Corporate bond
14
Unternehmensanleihe
14
Estimation theory
13
Schätztheorie
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Time series analysis
12
Volatility
12
Volatilität
12
Zeitreihenanalyse
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Forecasting model
11
Prognoseverfahren
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Hypothek
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30
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Enders, Walter
2
Almeida, Caio
1
Audrino, Francesco
1
Bali, Turan G.
1
Bansal, Ravi
1
Bauer, Michael D.
1
Chen, Ren-Raw
1
Christoffersen, Peter F.
1
Chua, Choong Tze
1
Coroneo, Laura
1
Curtillet, Jean-Christophe
1
Dieudonné, Mathieu
1
Dor, Arik Ben
1
Dynkin, Lev
1
Füss, Roland
1
Giannone, Domenico
1
Giorgianni, Lorenzo
1
Gonçalves, Franklin de O.
1
Granger, C. W. J.
1
Heston, Steven L.
1
Ho, Thomas S. Y.
1
Horowitz, David
1
Hull, John
1
Hyman, Jay
1
Ilmanen, Antti
1
Issler, João Victor
1
Jong, Frank de
1
Kagraoka, Yusho
1
Koutmos, Gregory
1
Li, H. C.
1
Li, Junye
1
Lütkepohl, Helmut
1
McCarthy, Joseph
1
Modugno, Michele
1
Moussa, Zakaria
1
Nandi, Saikat
1
Neftci, Salih N.
1
Nikitina, Olena
1
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1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
The journal of fixed income
Working paper / National Bureau of Economic Research, Inc.
37
Journal of banking & finance
36
NBER working paper series
35
International review of economics & finance : IREF
30
Journal of financial economics
30
NBER Working Paper
29
Journal of international money and finance
28
Finance and economics discussion series
27
Discussion paper / Centre for Economic Policy Research
25
Applied economics
24
Journal of empirical finance
23
Applied economics letters
22
Applied financial economics
22
Finance research letters
22
International journal of finance & economics : IJFE
22
Working paper
21
Journal of money, credit and banking : JMCB
19
Economic modelling
18
The journal of finance : the journal of the American Finance Association
18
Journal of financial and quantitative analysis : JFQA
17
CESifo working papers
16
Journal of economic dynamics & control
16
Research paper series / Swiss Finance Institute
16
The North American journal of economics and finance : a journal of financial economics studies
16
Discussion paper
15
Discussion papers / CEPR
15
Journal of international financial markets, institutions & money
15
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
14
Working paper series / European Central Bank
14
BIS working papers
13
International review of financial analysis
13
Journal of econometrics
12
The review of financial studies
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
Banque de France Working Paper
10
Economics letters
10
Journal of forecasting
10
Management science : journal of the Institute for Operations Research and the Management Sciences
10
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ECONIS (ZBW)
30
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1
Tests for jumps in yield spreads
Winkelmann, Lars
;
Yao, Wenying
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
3
,
pp. 946-957
Persistent link: https://www.econbiz.de/10015053510
Saved in:
2
The variance risk premium : components, term structures, and stock return predictability
Li, Junye
;
Zinna, Gabriele
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
3
,
pp. 411-425
Persistent link: https://www.econbiz.de/10012249166
Saved in:
3
Unspanned macroeconomic factors in the yield curve
Coroneo, Laura
;
Giannone, Domenico
;
Modugno, Michele
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
3
,
pp. 472-485
Persistent link: https://www.econbiz.de/10011691663
Saved in:
4
Coupon effects on corporate bonds : pricing, empirical duration, and spread convexity
Hyman, Jay
;
Dor, Arik Ben
;
Dynkin, Lev
;
Horowitz, David
; …
- In:
The journal of fixed income
24
(
2015
)
3
,
pp. 52-63
Persistent link: https://www.econbiz.de/10011292814
Saved in:
5
Estimation of the term structure of CDS-adjusted risk-free interest rates
Kagraoka, Yusho
;
Moussa, Zakaria
- In:
The journal of fixed income
24
(
2014
)
2
,
pp. 29-44
Persistent link: https://www.econbiz.de/10011660672
Saved in:
6
Correcting estimation bias in dynamic term structure models
Bauer, Michael D.
;
Rudebusch, Glenn D.
;
Wu, Jing Cynthia
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
3
,
pp. 454-467
Persistent link: https://www.econbiz.de/10009658338
Saved in:
7
Analyzing the changing term structure and expectations of US treasury default risk
Nippani, Srinivas
;
Smith, Stanley D.
- In:
The journal of fixed income
22
(
2012
)
1
,
pp. 52-60
Persistent link: https://www.econbiz.de/10009670741
Saved in:
8
A recursive parameter estimation technique for term structure models
Chua, Choong Tze
;
Ramaswamy, Krishna
- In:
The journal of fixed income
20
(
2010/11
)
3
,
pp. 97-110
Persistent link: https://www.econbiz.de/10008858595
Saved in:
9
Explaining yield curve dynamics
Füss, Roland
;
Nikitina, Olena
- In:
The journal of fixed income
21
(
2011
)
2
,
pp. 68-87
Persistent link: https://www.econbiz.de/10009349763
Saved in:
10
Investigating long memory in yield spreads
McCarthy, Joseph
;
Pantalone, Coleen
;
Li, H. C.
- In:
The journal of fixed income
19
(
2009/10
)
1
,
pp. 73-81
Persistent link: https://www.econbiz.de/10003875981
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