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Search: subject:"Gaussian affine term structure models"
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Yield curve
5
Zinsstruktur
5
Gaussian affine term structure models
4
USA
4
United States
4
shadow short rate
3
shadow term structure
3
term structure of interest rates
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zero lower bound
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Arbitrage Pricing
1
Arbitrage pricing
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Consumption forecasts
1
Cross-currency basis swaps
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Currency derivative
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Estimation
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GATSM
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Gaussian Affine Term Structure Models
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Government securities
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Interest rate parity
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International financial market
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Internationaler Finanzmarkt
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Krippner, Leo
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Argyropoulos, Efthymios
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Clark, Todd E.
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Fung, Chin-To
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Hui, Cho H.
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Lo, Chi-Fai
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Crawford School of Public Policy, Australian National University
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ECONIS (ZBW)
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Covered interest parity in cross-currency swap bases and demand for US treasuries
Hui, Cho H.
;
Lo, Chi-Fai
;
Fung, Chin-To
- In:
International journal of financial engineering
7
(
2020
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012602952
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2
A tractable framework for zero-lower-bound Gaussian term structure models
Krippner, Leo
-
Crawford School of Public Policy, Australian National …
-
2013
writing, it is theoretically untenable to apply the popular class of
Gaussian
affine
term
structure
models
(GATSMs) given …
Persistent link: https://www.econbiz.de/10010686017
Saved in:
3
A tractable framework for zero-lower-bound Gaussian term structure models
Krippner, Leo
-
2013
Persistent link: https://www.econbiz.de/10009788818
Saved in:
4
A tractable framework for zero lower bound Gaussian term structure models
Krippner, Leo
-
2013
Persistent link: https://www.econbiz.de/10010188623
Saved in:
5
Real term structure forecasts of consumption growth
Argyropoulos, Efthymios
;
Tzavalis, Elias
- In:
Journal of empirical finance
33
(
2015
),
pp. 208-222
Persistent link: https://www.econbiz.de/10011556880
Saved in:
6
No arbitrage priors, drifting volatilites, and the term structure of interest rates
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
-
2014
Persistent link: https://www.econbiz.de/10010363319
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