Results 71 to 80 of about 775 (103)
Modeling long-range dependent Gaussian processes with application in continuous-time financial models [PDF]
This paper considers a class of nonstationary Gaussian processes with possible long-range dependence (LRD) and intermittency. The author proposes a new estimation method to simultaneously estimate both the LRD and intermittency parameter.
Gao, Jiti
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Estimating a Risky Term Structure of Uruguayan Sovereign Bonds. [PDF]
Based on a joint three – factor a¢ ne model, we estimate the term structure of interest rates and default spreads for Uruguay using the reduced - form approach developed by Du¢ e and Singleton.
Gabriel Katz, Serafín Frache
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Testing Linearity in Term Structures [PDF]
Recent empirical studies suggests that affine models, a popular framework to analyse term structures of interest rates, are misspecified. This evidence is mainly based on time series properties of the data.
Peroni, Chiara
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A Markovian Defaultable Term Structure Model with State Dependent Volatilities [PDF]
The defaultable forward rate is modeled as a jump diffusion process within the Schonbucher (2000, 2003) general Heath, jarrow and Morton (1992) framework where jumps in the defaultable term structure f d(t, T) cause jumps and defaults to the defaultable ...
Carl Chiarella +2 more
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This paper introduces, prices, and analyzes traffic light options. The traffic light option is an innovative structured OTC derivative developed independently by several London-based investment banks to suit the needs of Danish life and pension (L&P ...
Løchte, Peter
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Stationarity and the term structure of interest rates: a characterisation of stationary and unit root yield curves [PDF]
The nature of yield curve dynamics and the determinants of the integration order of yields are investigated using a benchmark economy in which the logarithmic expectations theory holds and the regularity condition of a limiting yield and limiting term ...
Clive G. Bowsher, Roland Meeks
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Mean-Variance Cointegration and the Expectations Hypothesis [PDF]
The present paper sheds further light on a well-known (alleged) violation of the expec- tations hypothesis of the term structure (EHT) - the frequent finding of unit roots in interest rate spreads.
Enzo Weber, Till Strohsal
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A Non-Parametric Dimension Test of the Term Structure [PDF]
Published as an article in: Studies in Nonlinear Dynamics & Econometrics, 2004, vol. 8, issue 3, article 6.
Gil Bazo, Javier +1 more
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Measuring Financial Cash Flow and Term Structure Dynamics [PDF]
Financial turbulence is a phenomenon occurring in anti - persistent markets. In contrast, financial crises occur in persistent markets. A relationship can be established between these two extreme phenomena of long term market dependence and the older ...
CORNELIS A. LOS
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Orbit Determination for the Lunar Reconnaissance Orbiter Using an Extended Kalman Filter [PDF]
Orbit determination (OD) analysis results are presented for the Lunar Reconnaissance Orbiter (LRO) using a commercially available Extended Kalman Filter, Analytical Graphics' Orbit Determination Tool Kit (ODTK). Process noise models for lunar gravity and
Lowe, Jonathan +2 more
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