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Modelling the dynamics of the term structure of interest rates · Study

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ArticleModelling the dynamics of the term structure of interest rates

James M. Steeley1990

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Articlegreen1990

Modelling the dynamics of the term structure of interest rates

James M. Steeley

61 citations·0/0 files stored·Arrow@dit (Dublin Institute of Technology)

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Stochastic processes and financial applications Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

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Available from British Library Document Supply Centre- DSC:9350.122(KU-DEMS-WP--90-4) / BLDSC - British Library Document Supply Centre

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References

1986Generalized autoregressive conditional heteroskedasticity 1990ARCH models as diffusion approximations 1979A continuous time approach to the pricing of bonds 1971Measuring the Term Structure of Interest Rates 2008Term Structure of Interest Rates 1986The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates 1972Factor Analysis as a Statistical Method. 2nd ed.1978An arbitrage model of the term structure of interest rates

Cited by

2002A comparison of yield curve estimation techniques using UK data 2017Investor sentiment, flight-to-quality, and corporate bond comovement 2005Volatility transmission between stock and bond markets 2007Level–Slope–Curvature – Fact or Artefact?2000A Critique of Factor Analysis of Interest Rates 2003Duration models and IRR management: A question of dimensions?

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2002Fitting term structure of interest rates using B-splines: the case of Taiwanese Government bondsarticle · 5 shared references 1990Chapter 13 The term structure of interest rateschapter · 4 shared references 1987The Term Structure of Interest Ratesreport · 4 shared references 1996Estimating the Term Structure of Interest Rates for Monetary Policy Analysisarticle · 4 shared references 1989The Term Structure of Interest Rates in a Partially Observable Economyarticle · 4 shared references 1994A survey of stochastic continuous time models of the term structure of interest ratesarticle · 4 shared references

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Year1990

Typearticle

Published1990-01-01

VenueArrow@dit (Dublin Institute of Technology)

Languageen

Citations61

Files0 public / 0

ShelfStochastic processes and financial applications

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openalex_workW2201428280

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2002

Fitting term structure of interest rates using B-splines: the case of Taiwanese Government bonds