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Output and the term structure of interest rates : ways out of the jump-variable conundrum

Chiarella, Carl; Flaschel, Peter; Franke, Reiner; … - 2003

Persistent link: https://www.econbiz.de/10001761884

Stabilizing an unstable economy : fiscal and monetary policy, stocks, and the term structure of interest rates

Charpe, Matthieu; Flaschel, Peter; Hartmann, Florian; … - In: Economic modelling 28 (2011) 5, pp. 2129-2136

Persistent link: https://www.econbiz.de/10009272042

Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets

Bhar, Ram; Chiarella, Carl; To, Thuy-Duong - EconWPA - 2004

This paper considers a class of Heath-Jarrow-Morton (1992) term structure models, characterized by time deterministic volatilities for the instantaneous forward rate. The bias that arises from using observed futures yields as a proxy for the unobserved instantaneous forward rate is analyzed. The...

Persistent link: https://www.econbiz.de/10005413218

Transformation of Heath-Jarrow-Morton models to Markovian systems

Bhar, Ramaprasad; Chiarella, Carl - 1995

Persistent link: https://www.econbiz.de/10000951349

The estimation of the Heath-Jarrow-Morton model by use of Kalman filtering techniques

Bhar, Ramaprasad; Chiarella, Carl - 1995

Persistent link: https://www.econbiz.de/10000951350

Estimating the term structure of volatility in futures yield : a maximum likelihood approach

Bhar, Ramaprasad; Chiarella, Carl - 1995

Persistent link: https://www.econbiz.de/10000951352

A preference free partial differential equation for the term structure of interest rates

Chiarella, Carl; Hassan, Nadima el - 1996

Persistent link: https://www.econbiz.de/10000955777

Construction of zero-coupon yield curve from coupon bond yield using Australian data

Bhar, Ramaprasad; Chiarella, Carl - 1996

Persistent link: https://www.econbiz.de/10000985675

Evaluation of derivative security prices in the Heath Jarrow-Morton framework as path integrals using fast fourier transform techniques

Chiarella, Carl; Hassan, Nadima el - 1997

Persistent link: https://www.econbiz.de/10000985681

Estimating the term structure of volatility in bond prices by use of Kalman filter methodology

Bhar, Ramaprasad - In: Advances in Pacific Basin financial markets 3 (1997), pp. 243-256

Persistent link: https://www.econbiz.de/10001243735

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