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Discrete time Wishart term structure models
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
  • 2002Regime Switches in Interest Rates854 cited
  • 2002Quadratic Term Structure Models: Theory and Evidence469 cited
  • 2002Term Structure of Interest Rates with Regime Shifts456 cited
  • 1992A Theory of the Nominal Term Structure of Interest Rates387 cited
  • 2010Affine Term Structure Models384 cited
  • 2003Term Structure Dynamics in Theory and Reality367 cited
  • 2001Estimation of affine asset pricing models using the empirical characteristic function

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366 cited

Cited by

  • 2016Credit and liquidity in interbank rates: A quadratic approach24 cited
  • 2012A mean-reverting SDE on correlation matrices21 cited
  • 2013Credit and Liquidity in Interbank Rates: A Quadratic Approach21 cited
  • 2016The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options20 cited
  • 2012Affine Diffusions with Non-Canonical State Space19 cited