SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

A Markov Model of the Term Structure · Study

ArticleShelves

ArticleA Markov Model of the Term Structure

Gordon B. Pye1966

Article1966

A Markov Model of the Term Structure

45 citations·0/0 files stored·The Quarterly Journal of Economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Monetary Policy and Economic Impact Economic theories and models

Abstract

Introduction, 60. — A Markov expectations model, 61. — Markov forecasts of the future interest rates, 66. — Observed yield curves, 69.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 45 citations exist upstream.

Cited by

2008Portfolio selection in stochastic markets with exponential utility functions 1971DYNAMIC PROGRAMMING APPLICATIONS IN FINANCE 2015Nash equilibrium strategy for a multi-period mean–variance portfolio selection problem with regime switching 2011HARA frontiers of optimal portfolios in stochastic markets 1993Mortgages and Markov Chains: A Simplified Evaluation Model 2003A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL 1972THE ECONOMIC VALUE OF THE CALL OPTION*1973Optimal Inventory and Credit-Granting Strategies Under Inflation and Devaluation

Details

Year1966

Typearticle

Published1966-02-01

VenueThe Quarterly Journal of Economics

ISSN-L0033-5533

Languageen

Citations45

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.2307/1880579

openalex_workW2117930452

Links

Imported from OpenAlex (CC0) — nothing here is generated.