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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

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Inferring correlations of asset values and distances-to-default from CDS spreads : a structural model approach

Kitwiwattanachai, Chanatip; Pearson, Neil D. - In: Review of asset pricing studies 5 (2015) 1, pp. 112-154

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Real and nominal interest rates : a discrete-time model and its continuous-time limit

Sun, Tong-sheng - In: The review of financial studies 5 (1992) 4, pp. 581-611

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Connections between discrete-time and continuous-time financial models

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Bond Lending and Bond Returns

Anderson, Mike - 2018

Existing literature nds that proxies for short-sale constraints do not predict bond returns.Using more comprehensive data over a longer sample period and rating and maturity-matchedbenchmarks we nd that utilization, which proxies for short-sale constraints, predicts negativereturns. Many lending...

Persistent link: https://www.econbiz.de/10012929138