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A three-factor path-independent specification of the Heath, Jarrow, and Morton term structure model

Guo, Chen - In: Advances in financial planning and forecasting 7 (1997), pp. 123-137

Persistent link: https://www.econbiz.de/10001233863

Fitting the term structure of nominal interest rates with an extended Vasicek model

Guo, Chen - In: Advances in international banking and finance 3 (1998), pp. 55-71

Persistent link: https://www.econbiz.de/10001362302

Demand and Supply Factors in the Term Structure of Interest Rates

Guo, Chen - 2013

This paper corrects the no arbitrage condition in Vasicek (1977) by pointing out that the instantaneous spot rate is logically zero. The corrected no arbitrage condition admits an extremely simple solution, which allows the latent state factors to be accurately identified from the observable...

Persistent link: https://www.econbiz.de/10013081129