Similar Search Results - EconBiz

Time-consistent no-arbitrage models of the term structure

Brandt, Michael W. (contributor); Yaron, Amir (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002023790

Time-consistent no-arbitrage models of the term structure

Brandt, Michael W.; Yaron, Amir - 2003

Persistent link: https://www.econbiz.de/10001731395

Time-Consistent No-Arbitrage Models of the Term Structure

Brandt, Michael W. - 2003

We present an econometric procedure for calibrating no-arbitrage term structure models in a way that is time-consistent and robust to measurement errors. Typical no-arbitrage models are time-inconsistent because their parameters are assumed constant for pricing purposes despite the fact that the...

Persistent link: https://www.econbiz.de/10012469245

Time-Consistent No-Arbitrage Models of the Term Structure

Yaron, Amir - 2003

We present an econometric procedure for calibrating no-arbitrage term structure models in a way that is time-consistent and robust to measurement errors. Typical no-arbitrage models are time-inconsistent because their parameters are assumed constant for pricing purposes despite the fact that the...

Persistent link: https://www.econbiz.de/10012786740

Estimating portfolio and consumption choice : a conditional Euler equations approach

Brandt, Michael W. - In: The journal of finance : the journal of the American … 54 (1999) 5, pp. 1609-1645

Persistent link: https://www.econbiz.de/10001430862

Price discovery in the U.S. treasury market : the impact of orderflow and liquidity on the yield curve

Brandt, Michael W.; Kavajecz, Kenneth A. - 2003

Persistent link: https://www.econbiz.de/10001738938

The effect of macroeconomic news on beliefs and preferences : evidence from the options market

Beber, Alessandro; Brandt, Michael W. - 2003

Persistent link: https://www.econbiz.de/10001790830

Price discovery in the US treasury market : the impact of orderflow and liquidity on the Yield curve

Brandt, Michael W. (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002022631

The effect of macroeconomic news on beliefs and preferences : evidence from the options market

Beber, Alessandro (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002024082

The effect of macroeconomic news on beliefs and preferences : evidence from the options market

Beber, Alessandro (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001956584

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