[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
Linear Factor Models and the Term Structure of Interest Rates. (1995). Monfort, Alain ; gourieroux, christian ; Clement, Emmanuelle .
In: Annals of Economics and Statistics.
RePEc:adr:anecst:y:1995:i:40:p:37-65.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 52

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

    References contributed by pfo235-23408

  1. ARTZNER, P., DELBAEN, F. (1989). — "Term Structure of Interest Rates: The Martingale Approach", Advances in Applied Mathematics, 10, pp. 95-129. BALL, C., TOROUS, W. (1983). — "Bond Price Dynamics and Options", Journal of Financial and Quantitative Analysis, 18, pp. 517-531.
    Paper not yet in RePEc: Add citation now
  2. BIERWAG, G., GROVE, M. (1967). — "A Model of the Term Structure of Interest Rates", Review of Economics and Statistics, 49, pp. 50-62.
    Paper not yet in RePEc: Add citation now
  3. BLACK, F., DERMAN, E., Toy, W. (1990). — "A One Factor Model of Interest Rates and Its Application to Treasury Bond Options", Financial Analysis Journal, pp. 33-39.
    Paper not yet in RePEc: Add citation now

  4. BRENNAN, M. J., SCHWARTZ, E. S. (1977). — "Saving Bonds, Retractable Bonds and Callable Bonds", Journal of Financial Economics, vol. 5, n. 1, pp. 67-88.

  5. BRENNAN, M. J., SCHWARTZ, E. S. (1979). — "A Continuous-Time Approach to the Pricing of Bonds", Journal of Banking and Finance, 3, pp. 135-155.

  6. BRENNAN, M. J., SCHWARTZ, E. S. (1980). — "Conditional Predictions of Bond Prices and Returns", Journal of Finance, 35, pp. 405-417.

  7. BRENNAN, M. J., SCHWARTZ, E. S. (1982). — "An Equilibrium Model of Bond Pricing and a Test of Market Efficiency", Journal of Financial and Quantitative Analysis, 17, pp. 301-330.

  8. CARLETON, W., CHAMBERS, D., WALDMAN, D. (1984). — "A New Approach to Estimation of the Term Structure of Interest Rates", Journal of Financial and Quantitative Analysis, 19, pp. 233-252.

  9. CARLETON, W., COOPER, I. (1976). — "Estimation and Uses of the Term Structure of Interest rates", Journal of Finance, Vol. 31, pp. 1067-1083.

  10. CHEN, R., SCOTT, L. (1992). — "Pricing Interest Rate Options in a Two Factor Cox-Ingersoll-Ross Model of the Term Structure", Review of Financial Studies, 5, pp. 613-636.

  11. CLEMENT, E., GOURIÉROUX, C., MONFORT, A. (1993). — "Prediction of Contingent Price Measures", CEPREMAP D.P. Cox, J., INGERSOLL, J. E., Ross, S. A. (1981). — "A Reexamination of Traditional Hypotheses about the Term Structure of Interest Rates", Journal of Finance, 36, pp. 769-799.

  12. Cox, J., INGERSOLL, J. E., Ross, S. A. (1985). — "A, Theory of the Term Structure of Interest Rates", Econometrica, 53, pp. 385-407.

  13. CULBERTSON, J. M. (1957). — "The Term Structure of Interest Rates", Quarterly Journal of Economics, 71, pp. 485-517.

  14. DE BRANDT, J. (1988). — "La courbe des taux d'intérêt en France", Banque de France.
    Paper not yet in RePEc: Add citation now

  15. DOBSON, S., SUCHT, R., VANDERFORD, D. (1976). — "An Evaluation of Alternative Empirical Models of the Term Structure of Interest Rates", Journal of Finance, vol. 31, pp. 1035-1065.

  16. DOTHAN, L. U. (1978). — "On the Term Structure of Interest Rates", Journal of Financial Economics, 6, pp. 59-69.

  17. DUFFIE, D., KAN, R. (1993). — "A Yield Factor Model of Interest Rates", Stanford University, Graduate School of Business.
    Paper not yet in RePEc: Add citation now
  18. EL KAROUI, N., CHERIF, T. (1992). — "Modèle d'Évolution de la Courbe des Taux", Caisse Autonome de Refinancement.
    Paper not yet in RePEc: Add citation now
  19. EL KAROUI, N., LACOSTE, V. (1992). — "Multifactor Models of the Term Structure of Interest Rates", AFFI.
    Paper not yet in RePEc: Add citation now
  20. EL KAROUI, N., LEPAGE, C., MYNENI, R., ROSEAU, R., VISWANATHAN, R. (1991). — "The Valuation and Hedging of Contingent Claims with Markovian Interest Rates", DP.
    Paper not yet in RePEc: Add citation now
  21. FITOUSSI, J. P., SIKORAV, J. (1990). — "Courbe de Taux et Zéro-Coupons", Crédit Commercial de France.
    Paper not yet in RePEc: Add citation now
  22. FRACHOT, A., JANCI, D., LACOSTE, V. (1992). — "Factor Analysis of the Term Structure: A Probabilistic Approach", DP. Banque de France.
    Paper not yet in RePEc: Add citation now
  23. GALLANT, A. R., WHITE, H. (1988). — "A Unified Theory of Estimation and Inference for Non Linear Dynamic Models", Basil-Blackwell.
    Paper not yet in RePEc: Add citation now

  24. GOURIÉROUX, C., MONFORT, A. (1989). — "A General Framework for Testing a Null Hypothesis in a Mixed Form", Econometric Theory.

  25. GOURIÉROUX, C., MONFORT, A. (1990). — "Séries Temporelles et Modèles Dynamiques", Economica, Paris.
    Paper not yet in RePEc: Add citation now

  26. GOURIÉROUX, C., SCAILLET, O. (1994). — "Estimation of the Term Structure from Bond Data", CREST DP n. 9415.

  27. HEATH, D., JARROW, R., MORTON, A. (1990). — "Bond Pricing and the Term Structure of Interest rates: A Discrete Time Approximation", Journal of Financial and Quantitative Analysis, 25, pp. 419-490.

  28. HEATH, D., JARROW, R., MORTON, A. (1992). — "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claim Valuation", Econometrica, 60, pp. 77-106.

  29. HO, T. S., LEE, S. (1986). — "Term Structure Movements and Pricing Interest rate Contingent Claims", Journal of Finance, 41, pp. 1011-1028.

  30. HOGAN, M. (1992). — "Problems in Certain Two Factor Model", Citibank D.P., to appear in Annals of Applied Probability.
    Paper not yet in RePEc: Add citation now

  31. JAMSHIDIAN, F. (1989a). — "An Exact Bond Option Formula", Journal of Finance, 44, pp. 205-209.

  32. JAMSHIDIAN, F. (1989b). — "The Multifactor Gaussian Interest rate Model and Implementation", Fuji Bank, Londres.
    Paper not yet in RePEc: Add citation now

  33. LANGETIEG, T. C. (1980). — "A Multivariate Model of the Term Structure of Interest Rates", Journal of Finance, 35, pp. 71-97.

  34. LITTERMAN, R., SCHEINKMAN, J. (1988). — "Common Factors Affecting Bond Returns", Goldman-Sachs: Financial Strategies Group, Technical Report 62.
    Paper not yet in RePEc: Add citation now

  35. LONG, J. (1974). — "Stock Prices, Inflation and the Term Structure of Interest Rates", Journal of Financial Economics, 1, pp. 131-170.

  36. LONGSTAFF, F., SCHWARTZ, E. (1992). — "Interest Rate Volatility and the Term Structure: A Two Factor General Equilibrium Model", Journal of Finance, 47, pp. 1259-1282.

  37. MALKIEL, B. (1962). — "Expectations, Bond Prices and the Term Structure of Interest rates", Quarterly Journal of Economics, 21, pp. 197-218.

  38. MCCULLOCH, H. (1971). — "Measuring the Term Structure of Interest Rates", Journal of Business, pp. 19-31.

  39. MCCULLOCH, H. (1975). — "The Tax Adjusted Yield Curves", Journal of Finance, 30, pp. 811-830.
    Paper not yet in RePEc: Add citation now
  40. MEISELMAN, D. (1962). — "The Term Structure of Interest rates", Prentice Hall.
    Paper not yet in RePEc: Add citation now

  41. MERTON, R. C. (1973). — "The Theory of Rational Option Pricing", Bell Journal of Economics and Management Science, 4, pp. 141-232.

  42. MODIGLIANI, F., SHILLER, R. J. (1973). — "Inflation, Rational Expectations and the Term Structure of Interest Rates", Economica, 40, pp. 12-43.

  43. NEWEY, W., WEST, K. (1987). — "A Simple Positive Definite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix", Econometrica, 55, pp. 703-708.

  44. PYE, G. (1966). — "A Markov Model of the Term Structure", Quarterly Journal of Economics, 25, pp. 60-72.

  45. RICHARD, S. (1978). — "An Arbitrage Model of the Term Structure of Interest Rates", Journal of Financial Economics, 6, pp. 33-57.

  46. SANDMANN, K., SONDERMANN, D. (1989). — "A Term Structure Model and the Pricing of Interest Rate Options", DP B 129, Bonn Univ.
    Paper not yet in RePEc: Add citation now

  47. SHEA, G. (1985). — "Interest Rate Term Structure with Exponential Splines: A Note", Journal of Finance, 40, pp. 319-325.

  48. SHILLER, R. J. (1979). — "The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure", Journal of Political Economy, 87, pp. 1190-1219.

  49. SZROETER, J. (1983). — "Generalized Wald Methods for Testing Non Linear Implicit and Overidentifying Restrictions", Econometrica, 51, pp. 335-348.

  50. VAN HORNE, J. C. (1965). — "Interest Rate Risk and the Term Structure of Interest rates", Journal of Political Economy, 73, pp. 344-351.

  51. VASICEK, O. (1977). — "An Equilibrium Characterization of the Term Structure", Journal of Financial Economics, 5, pp. 177-188.

  52. VASICEK, O., FONG, G. (1982). — "Term Structure Modeling Using Exponential Splines", Journal of Finance, 37, pp. 339-348.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Pricing compound and extendible options under mixed fractional Brownian motion with jumps. (2017). Shokrollahi, Foad.
    In: Papers.
    RePEc:arx:papers:1708.04829.

    Full description at Econpapers || Download paper

  2. Numerical and analytical methods for bond pricing in short rate convergence models of interest rates. (2016). Sevcovic, Daniel ; Stehlikova, Beata ; Buckova, Zuzana .
    In: Papers.
    RePEc:arx:papers:1607.04968.

    Full description at Econpapers || Download paper

  3. A Hybrid Model for Pricing and Hedging of Long Dated Bonds. (2014). Platen, Eckhard ; Baldeaux, Jan ; Fung, Man Chung ; Ignatieva, Katja.
    In: Research Paper Series.
    RePEc:uts:rpaper:343.

    Full description at Econpapers || Download paper

  4. Arbitrage-free affine models of the forward price of foreign currency. (2014). Durham, J. Benson.
    In: Staff Reports.
    RePEc:fip:fednsr:665.

    Full description at Econpapers || Download paper

  5. Valuation of American partial barrier options. (2013). Ku, Hyejin ; Jun, Doobae.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:16:y:2013:i:2:p:167-191.

    Full description at Econpapers || Download paper

  6. Estimating Parameters of Short-Term Real Interest Rate Models. (2013). Khramov, Vadim.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2013/212.

    Full description at Econpapers || Download paper

  7. Escaping TARP. (2012). Wu, Yan Wendy ; Wilson, Linus.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:8:y:2012:i:1:p:32-42.

    Full description at Econpapers || Download paper

  8. Evaluating callable and putable bonds: An eigenfunction expansion approach. (2012). Lim, Dongjae ; Linetsky, Vadim.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:12:p:1888-1908.

    Full description at Econpapers || Download paper

  9. Evaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach. (2012). Lim, Dongjae ; Linetsky, Vadim.
    In: Papers.
    RePEc:arx:papers:1206.5046.

    Full description at Econpapers || Download paper

  10. American options and callable bonds under stochastic interest rates and endogenous bankruptcy. (2011). Nunes, Joo.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:14:y:2011:i:3:p:283-332.

    Full description at Econpapers || Download paper

  11. Modeling the Term Structure of Interest Rates: A Review of the Literature. (2010). Talay, Denis ; Gibson, Rajna ; Lhabitant, Francois-Serge .
    In: Foundations and Trends(R) in Finance.
    RePEc:now:fntfin:0500000032.

    Full description at Econpapers || Download paper

  12. Derivatives, Risk Management & Value. (2009). Bellalah, Mondher.
    In: World Scientific Books.
    RePEc:wsi:wsbook:7175.

    Full description at Econpapers || Download paper

  13. Investigating the effectiveness of convertible bonds in reducing agency costs: A Monte-Carlo approach. (2009). Siddiqi, Mazhar A..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:49:y:2009:i:4:p:1360-1370.

    Full description at Econpapers || Download paper

  14. Short-term spot rate models with nonparametric deterministic drift. (2009). Al-Zoubi, Haitham.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:49:y:2009:i:3:p:731-747.

    Full description at Econpapers || Download paper

  15. Fast indirect robust generalized method of moments. (2009). Takane, Marina ; Loisel, Sebastien .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:10:p:3571-3579.

    Full description at Econpapers || Download paper

  16. Indirect robust estimation of the short-term interest rate process. (2007). Karolyi, G. ; Ronchetti, Elvezio ; Czellar, Veronika .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:4:p:546-563.

    Full description at Econpapers || Download paper

  17. A dynamic programming approach for pricing options embedded in bonds. (2007). Ben-Ameur, Hatem ; L'Ecuyer, Pierre ; Breton, Michele ; Karoui, Lotfi.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:7:p:2212-2233.

    Full description at Econpapers || Download paper

  18. Testing the stabilization hypothesis in the UK short-term interest rates: Evidence from a GARCH-X model. (2006). Staikouras, Sotiris K..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:46:y:2006:i:2:p:169-189.

    Full description at Econpapers || Download paper

  19. Are they still called late? The effect of notice period on calls of convertible bonds. (2005). Butler, Alexander ; Altintig, Ayca Z..
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:11:y:2005:i:1-2:p:337-350.

    Full description at Econpapers || Download paper

  20. Indirect Robust Estimation of the Short-term Interest Rate Process. (2005). Karolyi, G. ; Czellar, Veronika ; Ronchetti, Elvezio .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2005-4.

    Full description at Econpapers || Download paper

  21. Bond Selection for Managed Portfolios. (2005). WM. Steven Smith, .
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:32:y:2005-01:i:1-2:p:389-413.

    Full description at Econpapers || Download paper

  22. A Dynamic Programming Approach for Pricing Options Embedded in Bonds. (2004). Ben-Ameur, Hatem ; Breton, Michle .
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:237.

    Full description at Econpapers || Download paper

  23. The compound option approach to American options on jump-diffusions. (2004). Gukhal, C. R. Chandrasekhar Reddy, .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:28:y:2004:i:10:p:2055-2074.

    Full description at Econpapers || Download paper

  24. Intertemporal asset pricing theory. (2003). Duffie, Darrell.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-11.

    Full description at Econpapers || Download paper

  25. Probability of call and likelihood of the call feature in a corporate bond. (2001). Sarkar, Sudipto.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:25:y:2001:i:3:p:505-533.

    Full description at Econpapers || Download paper

  26. Valuation of segregated funds: shout options with maturity extensions. (2001). Windcliff, H. ; Forsyth, P. A. ; Vetzal, K. R..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:29:y:2001:i:1:p:1-21.

    Full description at Econpapers || Download paper

  27. Politique de remboursement anticipé des obligations. (2001). BELLIER DELIENNE, Annie ; Bellier-Delienne, Annie.
    In: Revue Finance Contrôle Stratégie.
    RePEc:dij:revfcs:v:4:y:2001:i:q4:p:5-27.

    Full description at Econpapers || Download paper

  28. Valuation of adjustable rate mortgages with automatic stretching maturity. (2000). Huang, Charles ; Chow, Ying-Foon ; Liu, Ming.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:24:y:2000:i:11:p:1809-1829.

    Full description at Econpapers || Download paper

  29. Mean reversion and volatility of short-term London Interbank Offer Rates: An empirical comparison of competing models. (1999). Krehbiel, Tim ; Adkins, Lee.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:8:y:1999:i:1:p:45-54.

    Full description at Econpapers || Download paper

  30. THE SURVIVAL ZONE FOR A BOND WITH BOTH CALL AND PUT OPTIONS EMBEDDED. (1998). Martzoukos, Spiros H. ; Barnhill, Theodore M..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:21:y:1998:i:4:p:419-430.

    Full description at Econpapers || Download paper

  31. Uses of Equilibrium Models in Real Estate Research. (1996). hendershott, patric.
    In: Research in Financial Economics.
    RePEc:wop:ohsrfe:9612.

    Full description at Econpapers || Download paper

  32. A contingent claims analysis of the interest rate risk characteristics of corporate liabilities. (1996). Nawalkha, Sanjay.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:20:y:1996:i:2:p:227-245.

    Full description at Econpapers || Download paper

  33. A comparative evaluation of alternative models of the term structure of interest rates. (1996). Torricelli, Costanza ; Boero, Gianna.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:93:y:1996:i:1:p:205-223.

    Full description at Econpapers || Download paper

  34. EXCESS RETURNS AND RISK AT THE LONG END OF THE TREASURY MARKET: AN EGARCH-M APPROACH. (1996). Brunner, Allan D. ; Simon, David P..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:19:y:1996:i:3:p:443-457.

    Full description at Econpapers || Download paper

  35. Excess returns and risk at the long end of the Treasury market: an EGARCH-M approach. (1995). Brunner, Allan ; Simon, David P..
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:522.

    Full description at Econpapers || Download paper

  36. Analysis of U.S. savings bonds. (1995). Potts, Tom L. ; Reichenstein, William .
    In: Financial Services Review.
    RePEc:eee:finser:v:4:y:1995:i:1:p:41-56.

    Full description at Econpapers || Download paper

  37. Linear Factor Models and the Term Structure of Interest Rates. (1995). Monfort, Alain ; gourieroux, christian ; Clement, Emmanuelle .
    In: Annals of Economics and Statistics.
    RePEc:adr:anecst:y:1995:i:40:p:37-65.

    Full description at Econpapers || Download paper

  38. On Markovian representations of the term structure. (1992). Sankarasubramanian, L. ; Ritchken, Peter .
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:9214.

    Full description at Econpapers || Download paper

  39. AN EMPIRICAL TEST OF THE TIMING OF BOND-REFUNDING DECISIONS. (1992). Thatcher, Janet S..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:15:y:1992:i:3:p:219-230.

    Full description at Econpapers || Download paper

  40. Finance Theory and Investment Management. (1991). Solnik, Bruno.
    In: Swiss Journal of Economics and Statistics (SJES).
    RePEc:ses:arsjes:1991-iii-2.

    Full description at Econpapers || Download paper

  41. Bond options and bond portfolio insurance. (1991). Sercu, P..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:10:y:1991:i:3:p:203-230.

    Full description at Econpapers || Download paper

  42. BOND REFUNDING IN EFFICIENT MARKETS: A DYNAMIC ANALYSIS WITH TAX EFFECTS. (1991). Narayanan, M P ; Chiang, Raymond C.
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:14:y:1991:i:4:p:287-302.

    Full description at Econpapers || Download paper

  43. Integration of Mortgage and Capital Markets and the Accumulation of Residential Capital. (1989). Van Order, Robert ; hendershott, patric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:2847.

    Full description at Econpapers || Download paper

  44. Optimal Mortgage Refinancing with Stochastic Interest Rates. (1989). Ling, David ; Chen, Andrew H..
    In: Real Estate Economics.
    RePEc:bla:reesec:v:17:y:1989:i:3:p:278-299.

    Full description at Econpapers || Download paper

  45. On the Determinants of the Value of Call Options on Default-Free Bonds. (1988). Sanders, Anthony ; hendershott, patric ; Buser, Stephen A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:2529.

    Full description at Econpapers || Download paper

  46. Interest-Only/Principal-Only Mortgage-Backed Strips: A Valuation and Risk Analysis. (1987). Marcus, Alan ; Kling, Arnold .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:2340.

    Full description at Econpapers || Download paper

  47. Pricing Mortgages: An Interpretation of the Models and Results. (1987). Van Order, Robert ; hendershott, patric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:2290.

    Full description at Econpapers || Download paper

  48. Mortgage Pricing: What Have We Learned So Far?. (1986). hendershott, patric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:1959.

    Full description at Econpapers || Download paper

  49. Calculating abandonment value using option pricing theory. (1983). Majd, Saman., ; Myers, Stewart C..
    In: Working papers.
    RePEc:mit:sloanp:2056.

    Full description at Econpapers || Download paper

  50. DURATION AND THE NONSTATIONARITY OF SYSTEMATIC RISK FOR BONDS. (1982). Jahankhani, Ali ; Pinches, George E..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:5:y:1982:i:2:p:151-160.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-15 08:12:06 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.