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Regime Switching and Bond Pricing
16 references·4 citing·37 second hopsampled
Regime Switching and Bond Pricing (2013)Regime Switching and Bond PricingEconometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Regime Switches in Interest Rates (2002)Regime Switches in Interest R…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Affine Term Structure Models and the Forward Premium Anomaly (2001)Affine Term Structure Models …Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…On cox processes and credit risky securities (1998)On cox processes and credit r…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…An Analysis of the Real Interest Rate Under Regime Shifts (1996)An Analysis of the Real Inter…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Long Swings in the Dollar: Ar…Rational-expectations econometric analysis of changes in regime (1988)Rational-expectations econome…The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)The Role of Conditioning Info…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The impact of Urban Enterprise Zones on establishment location decisions and labor market outcomes: evidence from France (2015)The impact of Urban Enterpris…The Dynamics of Bank Loans Short-Term Interest Rates in the Euro Area: What Lessons Can We Draw from the Current Crisis? (2014)The Dynamics of Bank Loans Sh…Voting in Committee: Firm Value vs. Back Scratching (2013)Voting in Committee: Firm Val…Heterogeneous Banking Efficiency: Allocative Distortions and Lending Fluctuations (2013)Heterogeneous Banking Efficie…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The arbitrage theory of capital asset pricing (1976)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Market Integration and Contagion (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)How Sovereign Is Sovereign Credit Risk? (2011)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Forecasting Volatility in Financial Markets: A Review (2003)Brownian Motion and Stochastic Calculus (2007)An equilibrium characterization of the term structure (1977)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)A NEW MEASURE OF RANK CORRELATION (1938)Liquidity Risk and Expected Stock Returns (2003)Market Liquidity and Funding Liquidity (2008)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Systemic Risk and Stability in Financial Networks (2015)CoVaR (2016)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The distribution of realized stock return volatility (2001)Asset pricing with liquidity risk (2005)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Discrete Choice Methods with Simulation (2001)
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References

  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,538 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,846 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?984 cited
  • 1987The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models980 cited
  • 1988Rational-expectations econometric analysis of changes in regime898 cited
  • 2002Regime Switches in Interest Rates874 cited
  • 1996An Analysis of the Real Interest Rate Under Regime Shifts

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779 cited
  • 2001Affine Term Structure Models and the Forward Premium Anomaly594 cited
  • Cited by

    • 2015The impact of Urban Enterprise Zones on establishment location decisions and labor market outcomes: evidence from France161 cited
    • 2013Heterogeneous Banking Efficiency: Allocative Distortions and Lending Fluctuations16 cited
    • 2014The Dynamics of Bank Loans Short-Term Interest Rates in the Euro Area: What Lessons Can We Draw from the Current Crisis?16 cited
    • 2013Voting in Committee: Firm Value vs. Back Scratching11 cited