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ARTICLES - Is the Short Rate D...
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Is the short rate drift actually nonlinear?
Chapman, David A.
;
Pearson, Neil D.
- In:
The journal of finance : the journal of the American …
55
(
2000
)
1
,
pp. 355-388
Persistent link: https://www.econbiz.de/10001496998
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2
Using proxies for the short rate : when are three months like an instant?
Chapman, David A.
;
Long, John B.
;
Pearson, Neil D.
- In:
The review of financial studies
12
(
1999
)
4
,
pp. 763-806
Persistent link: https://www.econbiz.de/10001421870
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3
Approximating the asset pricing kernel
Chapman, David A.
- In:
The journal of finance : the journal of the American …
52
(
1997
)
4
,
pp. 1383-1410
Persistent link: https://www.econbiz.de/10001227648
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4
Does intrinsic habit formation actually resolve the equity premium puzzle?
Chapman, David A.
- In:
Review of economic dynamics
5
(
2002
)
3
,
pp. 618-645
Persistent link: https://www.econbiz.de/10001691561
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5
Risk budgeting : portfolio problem solving with value-at-risk
Pearson, Neil D.
-
2002
Persistent link: https://www.econbiz.de/10001603413
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6
An efficient approach for pricing spread options
Pearson, Neil D.
- In:
The journal of derivatives : the official publication …
3
(
1995
)
1
,
pp. 76-91
Persistent link: https://www.econbiz.de/10001219429
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7
What's new in value-at risk? : A selective survey
Pearson, Neil D.
- In:
Global risk management : financial, operational, and …
,
(pp. 15-37)
.
2002
Persistent link: https://www.econbiz.de/10001748580
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8
Habit formation and aggregate consumption
Chapman, David A.
- In:
Econometrica : journal of the Econometric Society, an …
66
(
1998
)
5
,
pp. 1223-1230
Persistent link: https://www.econbiz.de/10001249585
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9
Cotrending and the stationarity of the real interest rate
Chapman, David A.
- In:
Economics letters
42
(
1993
)
2
,
pp. 133-138
Persistent link: https://www.econbiz.de/10001148255
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10
Cotrending and the stationarity of the real interest rate
Chapman, David A.
;
Ōgaki, Masao
-
1992
Persistent link: https://www.econbiz.de/10000846505
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