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ArticleDiscrete time Wishart term structure models

Christian Gouriéroux2011

Article2011

Discrete time Wishart term structure models

Christian Gouriéroux · Razvan Sufana

31 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Economic theories and models

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References

1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 1985An Intertemporal General Equilibrium Model of Asset Prices 2000Specification Analysis of Affine Term Structure Models 2002Term Premia and Interest Rate Forecasts in Affine Models 1996Modeling the conditional distribution of interest rates as a regime-switching process 2003Affine processes and applications in finance

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Year2011

Typearticle

Published2011-01-19

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations31

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jedc.2011.01.007

openalex_workW2073311570

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