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Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound · Study

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PreprintModifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound

Leo Krippner2011

OA

Preprintgreen2011

Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound

37 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Monetary Policy and Economic Impact Financial Markets and Investment Strategies

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 37 citations exist upstream.

References

1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1987Parsimonious Modeling of Yield Curves 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 1985An Intertemporal General Equilibrium Model of Asset Prices 2003Forecasting the Term Structure of Government Bond Yields 2000Specification Analysis of Affine Term Structure Models

Cited by

2017The impact of monetary policy on corporate bonds under regime shifts 2021Quantitative easing and exuberance in stock markets: Evidence from the euro area

Details

Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations37

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.2139/ssrn.1950439

openalex_workW2110352011

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