Search Results - subject:"term structure models"

Is there an on-the-run premium in TIPS?

Christensen, Jens H. E.; López, José A.; Shultz, … - In: The quarterly journal of finance 10 (2020) 2, pp. 1-42

Persistent link: https://www.econbiz.de/10012423565

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

Linear stochastic dividend model

Willems, Sander - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-20

Persistent link: https://www.econbiz.de/10012496908

Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective

Li, Haitao; Ye, Xiaoxia; Yu, Fan - In: European journal of operational research : EJOR 286 (2020) 3, pp. 1153-1167

Persistent link: https://www.econbiz.de/10012291633

The term structure and inflation uncertainty

Breach, Tomas; D'Amico, Stefania; Orphanides, Athanasios - In: Journal of financial economics 138 (2020) 2, pp. 388-414

Persistent link: https://www.econbiz.de/10012653048

The term structure of interest rates and the macroeconomy: Learning about economic dynamics from a FAVAR

Halberstadt, Arne - 2015

Expectations about macroeconomic developments are important determinants of long term interest rates. In this paper, I compare two different assumptions on how agents may form their expectations about the economy and yields in a pseudo real time exercise. Based on the no-arbitrage...

Persistent link: https://www.econbiz.de/10010471489