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~type_genre:"Non-commercial literature"
~isPartOf:"Document de travail"
~isPartOf:"Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business"
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ECONIS (ZBW)
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Lost in negative territory? : search for yield!
Girotti, Mattia
;
Horny, Guillaume
;
Sahuc, Jean-Guillaume
-
2022
Persistent link: https://www.econbiz.de/10013263471
Saved in:
2
Taming debt: can GDP-linked bonds do the trick?
Mouabbi, Sarah
;
Renne, Jean-Paul
;
Sahuc, Jean-Guillaume
-
2020
Persistent link: https://www.econbiz.de/10012242244
Saved in:
3
A simple unit root test consistent against any stationary alternative
Bec, Frédérique
;
Guay, Alain
-
2020
Persistent link: https://www.econbiz.de/10012319299
Saved in:
4
Term structure of bank flows to emerging countries : what effects of short vs. long-term regulatory arbitrage are?
Hellou, Samira
-
2018
Persistent link: https://www.econbiz.de/10012240500
Saved in:
5
Term structure of interest rates : modelling the risk premium using a two horizons framework
Prat, Georges
;
Uctum, Remzi
-
2018
Persistent link: https://www.econbiz.de/10012240502
Saved in:
6
The effect of non-resident investments on the French sovereign spread
Bui Quang, Pierre
-
2018
Persistent link: https://www.econbiz.de/10012241052
Saved in:
7
Environmental, Social and Governance (ESG) performance and sovereign bond spreads : an empirical analysis of OECD countries
Capelle-Blancard, Gunther
;
Crifo, Patricia
;
Oueghlissi, Rim
-
2017
Persistent link: https://www.econbiz.de/10011738085
Saved in:
8
Introducing global term structure in a risk parity framework
Stagnol, Lauren
-
2017
Persistent link: https://www.econbiz.de/10011738994
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9
Sovereign spreads in emerging economies : do natural resources matter?
Dauvin, Magali
-
2016
Persistent link: https://www.econbiz.de/10011736794
Saved in:
10
The risk parity principle applied on a corporate bond index using Duration Times Spread
Stagnol, Lauren
-
2016
Persistent link: https://www.econbiz.de/10011737204
Saved in:
11
Explaining macroeconomic and term structure dynamics jointly in a non-linear DSGE model
Møller Andreasen, Marin
(
contributor
)
-
2008
Persistent link: https://www.econbiz.de/10003774656
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12
Accounting transparency and the term structure of credit default swap spreads
Bajlum, Claus
(
contributor
);
Tind Larsen, Peter
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003538822
Saved in:
13
Level-ARCH short rate models with regime switching : bivariate modeling of U.S. and European short rates
Christiansen, Charlotte
(
contributor
)
-
2005
Persistent link: https://www.econbiz.de/10002743726
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14
Optimal allocation of simulation paths in the primal-dual algorithm
Shin Jensen, Malene
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10002551370
Saved in:
15
Estimation of continuous-time interest rate models : a nonparametric approach
Di Miscia, Orazio
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002506978
Saved in:
16
Term structure of interest models : concept and estimation problem in a continuous-time setting
Di Miscia, Orazio
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002507013
Saved in:
17
The effect of credit ratings on credit default swap spreads and credit spreads
Daniels, Kenneth N.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491575
Saved in:
18
Sequential monitoring of the statistical properties of the univariate affine diffusion with application to interest
Schmid, Wolfgang
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491667
Saved in:
19
An empirical study of the term structure of interest rates in Denmark, 1993 - 2002
Christiansen, Charlotte
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001732981
Saved in:
20
Efficient control variates and strategies for Bermudean swaptions in a Libor market model
Shin Jensen, Malene
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001748910
Saved in:
21
Cointegration and exponential-affine models of the term structure
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709212
Saved in:
22
Conditional moment testing, term premia and affine term structural models
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709215
Saved in:
23
Estimating quadratic term structure models by non-linear filtering
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709219
Saved in:
24
Regime switching in the yield curve
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702287
Saved in:
25
MCMC based estimation of term structure models
Mikkelsen, Peter
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001607781
Saved in:
26
On finite dimensional HJM representations
Mikkelsen, Peter
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001607785
Saved in:
27
Les taux courts et les taux long peuvent-ils varier en sens oppose?
Artus, Patrick
-
2001
Persistent link: https://www.econbiz.de/10001629382
Saved in:
28
Cross-currency LIBOR market models
Mikkelsen, Peter
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563858
Saved in:
29
Quel policy-mix pour l'Europe?
Artus, Patrick
-
2001
Persistent link: https://www.econbiz.de/10001545519
Saved in:
30
Implied volatility of interest rate options : an empirical investigation of the market model
Christiansen, Charlotte
;
Strunk Hansen, Charlotte
-
2000
Persistent link: https://www.econbiz.de/10001456681
Saved in:
31
Change of structure in financial time series, long range dependence and the GARCH model
Mikosch, Thomas
;
Starica, Catalin
-
2000
Persistent link: https://www.econbiz.de/10001468893
Saved in:
32
Règle de fixation des taux d'intérêt par la Banque Centrale : quelles conditions pour qu'il y ait stabilité dynamique?
Artus, Patrick
-
2000
Persistent link: https://www.econbiz.de/10001471642
Saved in:
33
Credit spreads and the term structure of interest rates
Christiansen, Charlotte
(
contributor
)
-
2000
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001533112
Saved in:
34
Exigence de rendement des fonds de pension : quels effets sur l'efficacité et la stabilité de l'économie? /Patrick Artus
Artus, Patrick
-
1999
Persistent link: https://www.econbiz.de/10001354243
Saved in:
35
Quels effets sur l'Europe d'une déformation des portefeuilles des investisseurs asiatiques en faveur de l'euro et au détriment du dollar? : Le rôle de la réaction de la Banque Cent...
Artus, Patrick
-
1999
Persistent link: https://www.econbiz.de/10001355526
Saved in:
36
Term structures of credit spreads with incomplete accounting information D. Duffie and D. Lando
Duffie, Darrell
;
Lando, David
-
1999
Persistent link: https://www.econbiz.de/10001369621
Saved in:
37
Croissance future et pente de la structure des taux aux Etats-Unis : quelles explications?
Artus, Patrick
-
1998
Persistent link: https://www.econbiz.de/10000981074
Saved in:
38
La réaction des taux d'intérêt et de la structure des taux d'intérêt aux chocs inflationnistes et à la crédibilité
Artus, Patrick
-
1997
Persistent link: https://www.econbiz.de/10000955885
Saved in:
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