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Year of publication
Subject
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Linear Approximation 1 Nonlinear Drift 1 Short-Rate 1 Term Structure 1 arbitrage 1 bond aging effect 1 dynamic factor model 1 macroeconomic conditioning variables 1 nonlinear drift restriction 1 state space model 1 time-varying risk premia 1 yield curve model 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Language
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English 2
Author
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Christensen, Bent Jesper 1 Takamizawa, Hideyuki 1 Wel, Michel van der 1
Institution
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Graduate School of Economics, Hitotsubashi University 1 School of Economics and Management, University of Aarhus 1
Published in...
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CREATES Research Papers 1 Discussion Papers / Graduate School of Economics, Hitotsubashi University 1
Source
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RePEc 2
Showing 1 - 2 of 2
Cover Image
Is Nonlinear Drift Implied by the Short-End of the Term Structure?
Takamizawa, Hideyuki - Graduate School of Economics, Hitotsubashi University - 2006
Nonlinear drift models of the short-rate are estimated using data on the short-end of the term structure, where the …
Persistent link: https://www.econbiz.de/10004992519
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Cover Image
An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses
Christensen, Bent Jesper; Wel, Michel van der - School of Economics and Management, University of Aarhus
We develop a new empirical approach to term structure analysis that allows testing for time-varying risk premia and for the absence of arbitrage opportunities based on the drift restriction within the Heath, Jarrow and Morton (1992) framework. As in the equity case, a zero intercept condition is...
Persistent link: https://www.econbiz.de/10008836605
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