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Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)

Realdon, Marco - In: Quantitative finance 21 (2021) 8, pp. 1365-1386

Persistent link: https://www.econbiz.de/10012608653

The efficiency of the Estr overnight index swap market

Realdon, Marco - In: Journal of international financial markets, … 91 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014494849

Tests of non linear Gaussian term structure models

Realdon, Marco - In: Journal of international financial markets, … 44 (2016), pp. 128-147

Persistent link: https://www.econbiz.de/10011690399

Discounting earnings with stochastic discount rates

Realdon, Marco - In: The European journal of finance 25 (2019) 10, pp. 910-936

Persistent link: https://www.econbiz.de/10012207041

Affine and quadratic models with many factors and few parameters

Realdon, Marco - In: The European journal of finance 26 (2020) 11, pp. 1019-1046

Persistent link: https://www.econbiz.de/10012264944

Gaussian models for Euro high grade government yields

Realdon, Marco - In: The European journal of finance 23 (2017) 13/15, pp. 1468-1511

Persistent link: https://www.econbiz.de/10012014691

Linear-quadratic term structure models for negative euro area yields

Realdon, Marco; Boonyanet, Wachira - In: Economics letters 155 (2017), pp. 149-153

Persistent link: https://www.econbiz.de/10011821635

Non-linear Gaussian sovereign CDS pricing models

Realdon, Marco - In: Quantitative finance 19 (2019) 2, pp. 191-210

Persistent link: https://www.econbiz.de/10012194648

"Extended Black" term structure models

Realdon, Marco - In: International Review of Financial Analysis 18 (2009) 5, pp. 232-238

This paper examines "Extended Black" term structure models (EBTSM), which are multi-factor extensions of the one-factor Black model (Black, F., 1995. Interest rates as options. Journal of Finance 50, 1371-1376). EBTSM are not affected by the admissibility restrictions that plague canonical...

Persistent link: https://www.econbiz.de/10008482963

Quadratic term structure models in discrete time

Realdon, Marco - In: Finance Research Letters 3 (2006) 4, pp. 277-289

Persistent link: https://www.econbiz.de/10005397326