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Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk · Study

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PreprintDiscrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk

Anh Le2006

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Preprintgreen2006

Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk

Anh Le · Kenneth J. Singleton

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

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1986Generalized autoregressive conditional heteroskedasticity 1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 1987Cointegration and Tests of Present Value Models

Cited by

2008The role of no-arbitrage on forecasting: Lessons from a parametric term structure model 2006Quadratic term structure models in discrete time 2011Generalized Transform Analysis of Affine Processes and Applications in Finance 2012A Stochastic Volatility Model With Conditional Skewness 2017Term Premium Dynamics and the Taylor Rule

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2010Discrete-Time AffineℚTerm Structure Models with Generalized Market Prices of Riskarticle · 51 shared references 2006Switching VARMA Term Structure Modelsarticle · 24 shared references 2009Stochastic Volatilityother · 21 shared references 2008Econometric Asset Pricing Modellingarticle · 20 shared references 2013Bond Pricing and the Macroeconomychapter · 19 shared references 2010Affine Term Structure Modelschapter · 18 shared references

Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations55

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.889029

openalex_workW2151998305

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