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Abstract: An Equilibrium Characterization of the Term Structure. (1977). Vasicek, Oldrich Alfonso .
In: Journal of Financial and Quantitative Analysis.
RePEc:cup:jfinqa:v:12:y:1977:i:04:p:627-627_02.

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  92. MCMC-based credit rating aggregation algorithm to tackle data insufficiency. (2022). Anton, Markov ; Lapshin, Viktor.
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  93. Can the stock market boost economic growth? Evidence from the Mexican real estate investment trust (REIT). (2022). Venegas-Martínez, Francisco ; Venegas-Martinez, Francisco ; Cruz-Ake, Salvador ; Razo-De, Jorge Omar.
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  94. Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods. (2022). Wu, Zhijian ; Ma, Chaoqun.
    In: Review of Derivatives Research.
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  95. Bayesian Estimation of the Skew Ornstein-Uhlenbeck Process. (2022). Zhuo, Xiaoyang ; Zhang, Haoyan ; Wang, Yongjin ; Bai, Yizhou.
    In: Computational Economics.
    RePEc:kap:compec:v:60:y:2022:i:2:d:10.1007_s10614-021-10156-z.

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  96. A Computational Analysis of the Tradeoff in the Estimation of Different State Space Specifications of Continuous Time Affine Term Structure Models. (2022). Juneja, Januj Amar.
    In: Computational Economics.
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  97. A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions. (2022). Schurle, Michael ; Paraschiv, Florentina ; Wahlstrom, Ranik Raaen.
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  98. Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate. (2022). Zhang, Yumo.
    In: Annals of Finance.
    RePEc:kap:annfin:v:18:y:2022:i:4:d:10.1007_s10436-022-00414-x.

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  99. Options on bonds: implied volatilities from affine short-rate dynamics. (2022). Suaysom, Natchanon ; Lorig, Matthew.
    In: Annals of Finance.
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  100. Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate. (2022). Villani, Giovanni ; di Bari, Antonio ; Bufalo, Michele.
    In: Annals of Finance.
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  101. ¿Can the stock market boost economic growth? evidence from the Mexican real estate investment trust (REIT). (2022). Venegas-Martínez, Francisco ; Venegas-Martinez, Francisco ; Cruz-Ake, Salvador ; Razo-De, Jorge Omar.
    In: Panorama Económico.
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  102. Is normal backwardation normal? Valuing financial futures with a local index-rate covariance. (2022). Zimmermann, Paul ; Raimbourg, Philippe.
    In: Post-Print.
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  103. Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model. (2022). Kamdem, Jules Sadefo ; Djeutcha, Eric.
    In: Post-Print.
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  104. On the Diversification of Fixed Income Assets. (2022). le Courtois, Olivier.
    In: Risks.
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  105. The Use of Principal Component Analysis (PCA) in Building Yield Curve Scenarios and Identifying Relative-Value Trading Opportunities on the Romanian Government Bond Market. (2022). Oprea, Andreea.
    In: JRFM.
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  106. Learning Forecast-Efficient Yield Curve Factor Decompositions with Neural Networks. (2022). Terada, Ana T ; Takada, Hellinton H ; Kauffmann, Piero C ; Stern, Julio M.
    In: Econometrics.
    RePEc:gam:jecnmx:v:10:y:2022:i:2:p:15-:d:780065.

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  107. A Cox model for gradually disappearing events. (2022). Dassios, Angelos ; Zhao, Hongbiao ; Qu, Yan ; Jang, Jiwook.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:112754.

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  108. Error bounds for model reduction of feedback-controlled linear stochastic dynamics on Hilbert spaces. (2022). Richter, Lorenz ; Redmann, Martin ; Hartmann, Carsten ; Becker, Simon.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:149:y:2022:i:c:p:107-141.

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  109. Super- and subdiffusive positions in fractional Klein–Kramers equations. (2022). Kawai, Reiichiro ; He, Yue.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:588:y:2022:i:c:s0378437121008438.

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  110. Log-growth rates of CO2: An empirical analysis. (2022). Ramos, Arturo ; Peña, Guillermo ; Sanz-Gracia, Fernando ; Puente-Ajovin, Miguel ; Pea, Guillermo.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:588:y:2022:i:c:s0378437121008232.

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  111. Bequest motives in consumption-portfolio decisions with recursive utility. (2022). Weiss, Farina ; Munk, Claus ; Kraft, Holger.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000280.

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  112. Interest rate uncertainty and sovereign default risk. (2022). Sosa-Padilla, Cesar ; Johri, Alok ; Khan, Shahed.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:139:y:2022:i:c:s0022199622001131.

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  113. International reserves and central bank independence. (2022). Samano, Agustin.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:139:y:2022:i:c:s0022199622001064.

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  114. The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing. (2022). Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Belitsky, Vladimir ; Arismendi-Zambrano, Juan.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921001261.

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  115. Fixed rate mortgages: The cost of interest rate risk aversion. (2022). Kim, Dongshin ; Jang, Hanwool ; Forsyth, Joetta ; Ahn, Kwangwon.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321002373.

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  116. Is normal backwardation normal? Valuing financial futures with a local index-rate covariance. (2022). ZIMMERMANN, Paul ; Raimbourg, Philippe.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:298:y:2022:i:1:p:351-367.

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  117. Affine arbitrage-free yield net models with application to the euro debt crisis. (2022). Niu, Linlin ; Zhang, Chen ; Hong, Zhiwu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:230:y:2022:i:1:p:201-220.

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  118. Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps. (2022). Zhang, Zhiyuan ; Liu, Guangying.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:229:y:2022:i:2:p:422-451.

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  119. Infinite Markov pooling of predictive distributions. (2022). Maheu, John ; Yang, Qiao ; Jin, Xin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:228:y:2022:i:2:p:302-321.

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  120. Exchange options for catastrophe risk management. (2022). Wang, Xingchun ; Shao, Xinjian.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001832.

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  121. Maximum likelihood estimation of diffusions by continuous time Markov chain. (2022). Nguyen, Nhu N ; Kirkby, J L.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:168:y:2022:i:c:s0167947321002425.

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  122. Closed-form formula for conditional moments of generalized nonlinear drift CEV process. (2022). Rujivan, Sanae ; Mekchay, Khamron ; Sutthimat, Phiraphat.
    In: Applied Mathematics and Computation.
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  123. FTPL and the Maturity Structure of Government Debt in the New Keynesian Model. (2022). Posch, Olaf ; Liemen, Max Ole.
    In: CESifo Working Paper Series.
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  124. Affine term structure models: A time?change approach with perfect fit to market curves. (2022). Vrins, Frederic ; Mbaye, Cheikh.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:32:y:2022:i:2:p:678-724.

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  125. A Theory of Equivalent Expectation Measures for Contingent Claim Returns. (2022). Zhuo, Xiaoyang ; Nawalkha, Sanjay K.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:77:y:2022:i:5:p:2853-2906.

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  126. Explicit Caplet Implied Volatilities for Quadratic Term-Structure Models. (2022). Suaysom, Natchanon ; Lorig, Matthew.
    In: Papers.
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  127. Numerical Method for Highly Non-linear Mean-reverting Asset Price Model with CEV-type Process. (2022). Coffie, Emmanuel.
    In: Papers.
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  128. On the deterministic-shift extended CIR model in a negative interest rate framework. (2022). di Francesco, Marco ; Kamm, Kevin.
    In: Papers.
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  129. Strategic mean-variance investing under mean-reverting stock returns. (2022). Jarner, Soren Fiig.
    In: Papers.
    RePEc:arx:papers:2201.05375.

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  130. Analysis of a five-factor capital market model. (2022). Preisel, Michael ; Jarner, Soren Fiig.
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  131. Sovereign Cocos. (2022). Onder, Yasin ; Roch, Francisco ; Martinez, Leonardo ; Hatchondo, Juan Carlos.
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  140. Discount rates, debt maturity, and the fiscal theory. (2021). Morales, Gonzalo ; Kung, Howard ; Kind, Thilo ; Corhay, Alexandre .
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  141. Life insurance convexity. (2021). Grundl, Helmut ; Grochola, Nicolaus ; Kubitza, Christian.
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  142. A Semiparametric Model for Bond Pricing with Life Cycle Fundamental. (2021). Niu, Linlin ; Chen, Jiazi ; Cai, Zongwu.
    In: Working Papers.
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  143. Dynamic term structure models for SOFR futures. (2021). Skovmand, David.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1520-1544.

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  144. Interest rates forecasting: Between Hull and White and the CIR#—How to make a single?factor model work. (2021). Orlando, Giuseppe ; Bufalo, Michele.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:40:y:2021:i:8:p:1566-1580.

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  145. Out?of?sample performance of bias?corrected estimators for diffusion processes. (2021). Guo, Ziyi.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:40:y:2021:i:2:p:243-268.

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  146. No?arbitrage priors, drifting volatilities, and the term structure of interest rates. (2021). Clark, Todd ; Carriero, Andrea ; Marcellino, Massimiliano.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:36:y:2021:i:5:p:495-516.

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  147. A Preferred?Habitat Model of the Term Structure of Interest Rates. (2021). Vayanos, Dimitri ; Vila, Jeanluc.
    In: Econometrica.
    RePEc:wly:emetrp:v:89:y:2021:i:1:p:77-112.

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  148. Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model. (2021). Es, Mohammed ; Es-Sebaiy, Khalifa.
    In: Statistical Methods & Applications.
    RePEc:spr:stmapp:v:30:y:2021:i:2:d:10.1007_s10260-020-00528-4.

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  149. Relative pricing of French Treasury inflation-linked and nominal bonds: an empirical approach using arbitrage strategies. (2021). Fonseca, Jose S ; Severac, Beatrice.
    In: Portuguese Economic Journal.
    RePEc:spr:portec:v:20:y:2021:i:3:d:10.1007_s10258-020-00185-1.

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  150. Ornstein-Uhlenbeck Processes of Bounded Variation. (2021). Ratanov, Nikita.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:23:y:2021:i:3:d:10.1007_s11009-020-09794-x.

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  151. Dynamics of reallocation within India’s income distribution. (2021). Jensen, Henrik Jeldtoft ; Sahasranaman, Anand.
    In: Indian Economic Review.
    RePEc:spr:inecre:v:56:y:2021:i:1:d:10.1007_s41775-021-00109-6.

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  152. Adaptive stochastic risk estimation of firm operating profit. (2021). Anakolu, Ethem ; Akca, Ahmet.
    In: Economia e Politica Industriale: Journal of Industrial and Business Economics.
    RePEc:spr:epolin:v:48:y:2021:i:3:d:10.1007_s40812-021-00184-z.

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  153. A revised version of the Cathcart & El-Jahel model and its application to CDS market. (2021). Radi, Davide ; Dvoakova, Hana ; Torri, Gabriele ; Hoang, Vu Phuong.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00350-x.

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  154. Modelling dynamic lapse with survival analysis and machine learning in CPI. (2021). Aleandri, Marco ; Eletti, Alessia.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:44:y:2021:i:1:d:10.1007_s10203-020-00285-9.

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  155. How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?. (2021). Juneja, Januj Amar.
    In: Computational Management Science.
    RePEc:spr:comgts:v:18:y:2021:i:1:d:10.1007_s10287-020-00380-7.

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  156. A decision-dependent randomness stochastic program for asset–liability management model with a pricing decision. (2021). Rus, Toma ; Kopa, Milo.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-020-03583-y.

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  157. What Drives the Nominal Yield Curve in Brazil?. (2021). Fernandes, Marcelo ; Reis, Yuri ; Nunes, Clemens.
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:40:y:2021:i:2:a:79438.

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  158. Seasonality in Indian Commodities Market: Insights for modeling from preceding commodity cycle. (2021). , Girish ; Jose, Sharon K.
    In: Bulletin of Applied Economics.
    RePEc:rmk:rmkbae:v:8:y:2021:i:1:p:167-173.

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  159. Improving the Estimation and Predictions of Small Time Series Models. (2021). Liu-Evans, Gareth.
    In: Working Papers.
    RePEc:liv:livedp:202106.

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  160. Multifactor Keynesian Models of the Long-Term Interest Rate. (2021). Akram, Tanweer.
    In: Economics Working Paper Archive.
    RePEc:lev:wrkpap:wp_991.

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  161. Determining an Optimal Principal Limit Factor for Reverse Mortgages under Economics-Based Models. (2021). An, Chien ; Tsai, Ming Shann ; Chiang, Shu Ling.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:63:y:2021:i:4:d:10.1007_s11146-020-09786-1.

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  162. Short-Term and Long-Term Discount Rates For Real Estate Investment Trusts. (2021). Zhao, Yanhui ; Giambona, Erasmo ; Giaccotto, Carmelo.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:63:y:2021:i:3:d:10.1007_s11146-020-09750-z.

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  163. A Quantitative Evaluation to Interest Rate Marketization Reform in China. (2021). Zhang, Zhengyi ; Cai, Zongwu ; Peng, Yan ; Yuan, Jing.
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
    RePEc:kan:wpaper:202122.

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  164. A Semiparametric Model for Bond Pricing with Life Cycle Fundamental. (2021). Liu, Linlin ; Chen, Jiazi ; Cai, Zongwu.
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
    RePEc:kan:wpaper:202102.

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  165. Information in the Term Structure: A Forecasting Perspective. (2021). Liu, Rui ; Jacobs, Kris ; Doshi, Hitesh.
    In: Management Science.
    RePEc:inm:ormnsc:v:67:y:2021:i:8:p:5255-5277.

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  166. Interest Rate Volatility and No-Arbitrage Affine Term Structure Models. (2021). Le, Anh ; Joslin, Scott.
    In: Management Science.
    RePEc:inm:ormnsc:v:67:y:2021:i:12:p:7391-7416.

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  167. Modelos de la estructura de plazos de las tasas de interés: Revisión, tendencias y perspectivas. (2021). Venegas-Martínez, Francisco ; Vasicek, Oldrich Alfons ; Venegas-Martinez, Francisco.
    In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance).
    RePEc:imx:journl:v:16:y:2021:i:2:p:1-28.

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  168. Models of the Term Structure of Interest Rates: Review, Trends, and Perspectives. (2021). Venegas-Martínez, Francisco ; Venegas-Martinez, Francisco ; Vasicek, Oldrich Alfons.
    In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance).
    RePEc:imx:journl:v:16:y:2021:i:2:a:11.

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  169. Modelos de la estructura de plazos de las tasas de interés: Revisión, tendencias y perspectivas. (2021). Venegas-Martínez, Francisco ; Venegas-Martinez, Francisco ; Vasicek, Oldrich Alfons.
    In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance).
    RePEc:imx:journl:v:16:y:2021:i:2:a:1.

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  170. Risk Mutualization in Central Clearing: An Answer to the Cross-Guarantee Phenomenon from the Financial Stability Viewpoint. (2021). Prepuk, Andrea ; Muratov-Szabo, Kira ; Friesz, Melinda ; Varadi, Kata.
    In: Risks.
    RePEc:gam:jrisks:v:9:y:2021:i:8:p:148-:d:617590.

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  171. Informed trading in government bond markets. (2021). Czech, Robert ; Lou, Dong ; Huang, Shiyang ; Wang, Tianyu.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:118857.

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  172. Information theoretic approach to high dimensional multiplicative models: stochastic discount factor and treatment effect. (2021). Otsu, Taisuke ; Qiu, Chen.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:110494.

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  173. Informed trading in government bond markets. (2021). Czech, Robert ; Wang, Tianyu ; Lou, Dong ; Huang, Shiyang.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:108504.

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  174. The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation. (2021). Tzavalis, Elias ; Argyropoulos, Efthymios.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:80:y:2021:i:c:p:785-796.

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  175. The distribution of strike size: Empirical evidence from Europe and North America in the 19th and 20th centuries. (2021). Ramos, Arturo ; Campolieti, Michele.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:563:y:2021:i:c:s0378437120307561.

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  176. Informed trading in government bond markets. (2021). Czech, Robert ; Lou, Dong ; Huang, Shiyang ; Wang, Tianyu.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:142:y:2021:i:3:p:1253-1274.

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  177. Optimal collective investment: The impact of sharing rules, management fees and guarantees. (2021). Rach, Manuel ; Nguyen, Thai ; Chen, AN.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:123:y:2021:i:c:s0378426620302739.

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  178. A closed formula for illiquid corporate bonds and an application to the European market. (2021). Nastasi, Emanuele ; Nassigh, Aldo ; Baviera, Roberto.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000020.

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  179. Return smoothing in life insurance from a client perspective. (2021). Schelling, Stefan ; Russ, Jochen.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:101:y:2021:i:pa:p:91-106.

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  180. Tail risk in the European sovereign bond market during the financial crises: Detecting the influence of the European Central Bank. (2021). Neumann, Christian ; Fendel, Ralf.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:50:y:2021:i:c:s1044028319302066.

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  181. Forecasting WTI crude oil futures returns: Does the term structure help?. (2021). O'Sullivan, Conall ; Bredin, Don ; Spencer, Simon.
    In: Energy Economics.
    RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002565.

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  182. Is convexity efficiently priced? Evidence from international swap markets. (2021). Ronzani, Riccardo ; Rebonato, Riccardo.
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  183. Can interest rate factors explain exchange rate fluctuations?. (2021). Yung, Julieta.
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  184. Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: A mixed-integer multistage stochastic model and a moving-horizon approach. (2021). Vogl, Nikolai ; Seith, Benjamin ; Schmidt, Martin ; Martin, Alexander ; Gatzert, Nadine.
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  185. Diffusion copulas: Identification and estimation. (2021). Kristensen, Dennis ; Hadri, Kaddour ; Bu, Ruijun.
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  186. Reliability index and Asian barrier option pricing formulas of the uncertain fractional first-hitting time model with Caputo type. (2021). Ding, Hui ; Jin, Ting ; Bao, Jinfeng ; Xia, Hongxuan.
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  187. Valuación de Títulos de Deuda Indexados al Comportamiento de un Índice Accionario: Un Modelo con Riesgo de Crédito, Parte 2. (2021). Perillo, Marcelo F.
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  188. Yield curve momentum. (2021). Sihvonen, Markus.
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  189. Risk-taking and uncertainty: do contingent convertible (CoCo) bonds increase the risk appetite of banks?. (2021). van Wijnbergen, Sweder ; Neamu, Ioana ; Fatouh, Mahmoud.
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  190. The Influences of Foreclosure Factors on the Value, Yield, Duration and Convexity of a Mortgage. (2021). Jiang, Shan ; Tsai, Ming Shann ; Chiang, Shu Ling.
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  191. Efficient valuation of variable annuity portfolios with dynamic programming. (2021). Moenig, Thorsten.
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  192. A Non-Knotty Inflation Risk Premium Model. (2021). Machado, Jose Valentim.
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  193. Discount Rates, Debt Maturity, and the Fiscal Theory. (2021). Morales, Gonzalo ; Kung, Howard ; Kind, Thilo ; Corhay, Alexandre.
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  194. Constructing the Yield Curve for Sri Lankas Government Bond Market. (2021). Pathirannehelage, Kangara ; Liyanage, Dewundara.
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  195. Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization. (2021). Bickersteth, Matthew ; Rutkowski, Marek.
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  196. Correlation Estimation in Hybrid Systems. (2021). Law, Baron .
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  197. Deep Calibration of Interest Rates Model. (2021). Sarr, Djibril ; Kebaier, Ahmed ; ben Alaya, Mohamed.
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  198. A bridge between Local GAAP and Solvency II frameworks to quantify Capital Requirement for demographic risk. (2021). Savelli, Nino ; della Corte, Francesco ; Clemente, Gian Paolo.
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  199. Sample Recycling Method -- A New Approach to Efficient Nested Monte Carlo Simulations. (2021). Li, Peng ; Feng, Runhuan.
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  200. Options on Bonds: Implied Volatilities from Affine Short-Rate Dynamics. (2021). Suaysom, Natchanon ; Lorig, Matthew.
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  201. How to handle negative interest rates in a CIR framework. (2021). Kamm, Kevin ; di Francesco, Marco.
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  202. Three little arbitrage theorems. (2021). Contreras, Mauricio ; Ortiz, Roberto .
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  203. Delay stochastic interest rate model with jump and strong convergence in Monte Carlo simulations. (2021). Coffie, Emmanuel.
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  204. Twitter Subjective Well-Being Indicator During COVID-19 Pandemic: A Cross-Country Comparative Study. (2021). Porro, Giuseppe ; Iacus, Stefano ; Carpi, Tiziana ; Hino, Airo.
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  205. Short Rate Dynamics: A Fed Funds and SOFR perspective. (2021). Schlogl, Erik ; Gellert, Karol.
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  206. Asymmetric short-rate model without lower bound. (2021). Wang, Linqi ; Vrins, Frederic.
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  207. The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper.
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  214. Forecasting interest rates through Vasicek and CIR models: A partitioning approach. (2020). Orlando, Giuseppe ; Bufalo, Michele ; Mininni, Rosa Maria.
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  215. Forecasting inflation using univariate continuous‐time stochastic models. (2020). Fergusson, Kevin.
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  216. Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process. (2020). Lemler, Sarah ; Dion, Charlotte.
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  217. Inference in a multivariate generalized mean-reverting process with a change-point. (2020). Shen, Lei ; Nkurunziza, Severien.
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  218. A comparative study of several bootstrap-based tests for the volatility in continuous-time diffusion models. (2020). Zhang, Liping ; Yan, Tianshun.
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  219. Stochastic Square of the Brennan-Schwartz Diffusion Process: Statistical Computation and Application. (2020). Nafidi, Ahmed ; Ramos-Abalos, Eva ; Gutierrez-Sanchez, Ramon ; Moutabir, Ghizlane.
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  220. Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate. (2020). Wang, Wentao ; Zhao, Yanyong ; Yan, Tianshun.
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  221. The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing. (2020). Arismendi Zambrano, Juan ; Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Belitsky, Vladimir ; Arismendi-Zambrano, J C.
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  222. Ecology, Economics, and Network Dynamics. (2020). Tsen, Chih-Jui ; Young-Taft, Tai ; Hastings, Harold M.
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  223. Forecasting the Term Structure of Interest Rates with Dynamic Constrained Smoothing B-Splines. (2020). Moura, Marcelo ; Alencar, Airlane Pereira ; Mineo, Eduardo ; Fabris, Antonio Elias.
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  224. Maximum Likelihood Estimation for the Fractional Vasicek Model. (2020). Yu, Jun ; Xiao, Weilin ; Tanaka, Katsuto.
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  225. No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates. (2020). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
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  226. Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein. (2020). van der Wel, M.
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  227. Explicit asymptotic on first passage times of diffusion processes. (2020). Li, Luting ; Dassios, Angelos.
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  228. Are NPL-backed securities an investment opportunity?. (2020). Miani, Stefano ; Stucchi, Patrizia ; Bolognesi, Enrica.
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  229. The valuation of deposit insurance allowing for the interest rate spread and early-bankruptcy risk. (2020). Tsai, Ming Shann ; Chiang, Shu Ling.
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  230. Term structure estimation with missing data: Application for emerging markets. (2020). Nagy, Krisztina.
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  231. The impact of the Basel III liquidity ratios on banks: Evidence from a simulation study. (2020). Kuhn, Andre ; Grundke, Peter.
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  232. Long-term prediction of the metals’ prices using non-Gaussian time-inhomogeneous stochastic process. (2020). Wyomaska, Agnieszka ; Bielak, Ukasz ; Szarek, Dawid.
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  233. Optimal capitalization and deposit insurance strategies with regard to moral hazard. (2020). Cheng, Jiang ; Mao, Hong.
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  234. Arbitrage-free relative Nelson–Siegel model. (2020). Ishii, Hokuto.
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  235. The other side of forward guidance: Are central banks constrained by financial markets?. (2020). Raffestin, Louis ; Picault, Matthieu.
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  236. Unifying Gaussian dynamic term structure models from a Heath–Jarrow–Morton perspective. (2020). Yu, Fan ; Ye, Xiaoxia ; Li, Haitao.
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  237. Structural recovery of face value at default. (2020). Tarelli, Andrea ; Sbuelz, Alessandro ; Guha, Rajiv.
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  238. GMM estimation of affine term structure models. (2020). Hlouskova, Jaroslava ; Sogner, Leopold.
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  239. Likelihood ratio testing in linear state space models: An application to dynamic stochastic general equilibrium models. (2020). Komunjer, Ivana ; Zhu, Yinchu.
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  240. Investment under uncertainty with a zero lower bound on interest rates. (2020). Dotsis, George.
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  241. Stochastic interest rates under rational inattention. (2020). Wu, Ting ; Niu, Yingjie ; Zhang, Yuhua.
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  242. Futures minimum variance hedge ratio determination: An ex-ante analysis. (2020). Wang, Andrew ; Leistikow, Dean ; Chen, Ren-Raw.
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  243. Financial risk and acquirers stockholder wealth in mergers and acquisitions. (2020). Cheng, Miao-Sih ; Hung, Pi-Hsia ; Chu, Hsiang-Hui.
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  244. A temperature stochastic model for option pricing and its impacts on the electricity market. (2020). Mora, José ; Prabakaran, Sellamuthu ; Garcia, Isabel C.
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  245. LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC. (2020). Fergusson, Kevin.
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  246. Informed Trading in Government Bond Markets. (2020). Lou, Dong.
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  247. Currency Uncertainty, Interest Guarantee, and Risk-Based Premiums in Life Insurance Guaranty Schemes. (2020). Yen-Kuan, Lee ; Bill, Chang Shih-Chieh.
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  248. Informed trading in government bond markets. (2020). Czech, Robert ; Wang, Tianyu ; Lou, Dong ; Huang, Shiyang.
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  249. Further Results on Pseudo?Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model. (2020). Iglesias, Emma.
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  250. Forecast Comparison of the Term Structure of Interest Rates of Mexico for Different Specifications of the Affine Model. (2020). Lelo-De, Alejandra.
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  251. Break-even inflation rates: the Italian case. (2020). Fanari, Marco ; di Iorio, Alberto.
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  252. State Space Vasicek Model of a Longevity Bond. (2020). Ikpe, Chinemerem Dennis ; Kalu, Georgina Onuma ; Gyamerah, Samuel Asante ; Oruh, Benjamin Ifeanyichukwu.
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  253. Price Impact on Term Structure. (2020). Neuman, Eyal ; Graceffa, Federico ; Brigo, Damiano.
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  254. Heteroscedasticity test of high-frequency data with jumps and microstructure noise. (2020). Liu, Zhi ; Zhang, Chuanhai.
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  255. Practical Option Valuations of Futures Contracts with Negative Underlying Prices. (2020). Martinez, Guillermo ; Soufiani, Elham ; Roldan-Contreras, Ana ; Swishchuk, Anatoliy ; Yao, Yao ; Agrawal, Nishant ; Seifi, Mohsen.
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  256. Equity warrant pricing under subdiffusive fractional Brownian motion of the short rate. (2020). Magdziarz, Marcin Marcin ; Shokrollahi, Foad .
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  257. Bond indifference prices and indifference yield curves. (2020). Lorig, Matthew.
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  258. A pure-jump mean-reverting short rate model. (2020). Hess, Markus.
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  259. The Gauss2++ Model -- A Comparison of Different Measure Change Specifications for a Consistent Risk Neutral and Real World Calibration. (2020). Pfeiffer, Julian ; Berninger, Christoph.
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  260. Addressing the Herd Immunity Paradox Using Symmetry, Convexity Adjustments and Bond Prices. (2020). Cotton, Peter.
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  261. Model order reduction for parametric high dimensional models in the analysis of financial risk. (2020). Mehrmann, Volker ; Jadhav, Onkar ; Binder, Andreas .
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  262. The Functional Stochastic Discount Factor. (2019). Tran, Ngoc-Khanh.
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  263. NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS. (2019). Zanette, Antonino ; Terenzi, Giulia ; Caramellino, Lucia ; Briani, Maya.
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  264. Estimating yield curves of the U.S. Treasury securities: An interpolation approach. (2019). Guo, Feng.
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  265. Time series of functional data with application to yield curves. (2019). Kluppelberg, Claudia ; Sen, Rituparna.
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  266. Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias.
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  267. Long-term swings and seasonality in energy markets. (2019). Platania, Federico ; Novales, Alfonso ; Moreno, Manuel.
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  268. Dependence of Default Probability and Recovery Rate in Structural Credit Risk Models: Case of Greek Banks. (2019). Jamel, Lamia.
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  269. Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis. (2019). Bacinello, Anna Rita ; Zoccolan, Ivan.
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  270. Mixed-asset portfolio allocation under mean-reverting asset returns. (2019). Prigent, Jean-Luc ; BERTRAND, Philippe ; Barthélémy, Fabrice ; Amedee-Manesme, Charles-Olivier ; Barthelemy, Fabrice.
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  271. Adjustment to Risk Free Rate/ Violation of Put-Call Parity. (2019). Simozar, Saied.
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  272. Optimální způsob sjednání derivátu za přítomnosti rizika protistrany. (2019). ediv, Jan .
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  273. Extracting global factors from local yield curves. (2019). Stagnol, Lauren.
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  274. Recent movement of oil prices and future scenarios [Movimentos recentes dos preços do petróleo e os cenários futuros]. (2019). Levy, Ariel ; Lucena, Fernando Antonio .
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  275. Superstitious Investors. (2019). Wachter, Jessica ; Guo, Hongye.
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  276. A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates. (2019). Prigent, Jean-Luc ; Abid, Ilyes ; Mkaouar, Farid.
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  277. An Optimal Mortgage Refinancing Strategy with Stochastic Interest Rate. (2019). Edwards, David A ; Xie, Dejun ; Wu, Xiaoxia.
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  278. Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching. (2019). Siu, Tak Kuen ; Ching, Wai-Ki ; Lu, Jiejun ; Zhu, Dong-Mei.
    In: Computational Economics.
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  279. Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela.
    In: Working Papers.
    RePEc:igi:igierp:639.

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  280. Geometric Asian Options Pricing under the Double Heston Stochastic Volatility Model with Stochastic Interest Rate. (2019). Zhong, Yanhong ; Deng, Guohe.
    In: Complexity.
    RePEc:hin:complx:4316272.

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  281. Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne.
    In: Working Papers.
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  282. Quantization-based Bermudan option pricing in the FX world. (2019). Pages, Gilles ; Montes, Thibaut ; Lemaire, Vincent ; Fayolle, Jean-Michel.
    In: Working Papers.
    RePEc:hal:wpaper:hal-02361667.

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  283. Construction of an aggregate consistent utility, without Pareto optimality. Application to Long-Term yield curve Modeling. (2019). Mrad, Mohamed ; Hillairet, Caroline ; el Karoui, Nicole.
    In: Post-Print.
    RePEc:hal:journl:hal-01721441.

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  284. American Options on High Dividend Securities: A Numerical Investigation. (2019). Rotondi, Francesco.
    In: Risks.
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  285. A Quantitative Analysis of Risk Premia in the Corporate Bond Market. (2019). Cecchetti, Sara.
    In: JRFM.
    RePEc:gam:jjrfmx:v:13:y:2019:i:1:p:3-:d:300251.

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  286. The Laws of Motion of the Broker Call Rate in the United States. (2019). Garivaltis, Alexander.
    In: IJFS.
    RePEc:gam:jijfss:v:7:y:2019:i:4:p:56-:d:272663.

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  287. Forecasting Term Structure of Interest Rates in Japan. (2019). Ishii, Hokuto.
    In: IJFS.
    RePEc:gam:jijfss:v:7:y:2019:i:3:p:39-:d:246648.

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  288. Risk Taking and Fiscal Smoothing with Sovereign Wealth Funds in Advanced Economies. (2019). Lindset, Snorre ; Mork, Knut Anton.
    In: IJFS.
    RePEc:gam:jijfss:v:7:y:2019:i:1:p:4-:d:196279.

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  289. The Czech Government Yield Curve Decomposition at the Lower Bound. (2019). Komarkova, Zlatuse ; Kucera, Adam ; Dvorak, Michal.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:69:y:2019:i:1:p:2-36.

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  290. Sovereign Credit Rating, Rating Migration, and the Risk-Free Rate: A Joint Markov Process and Random Walk Modelling of the Risk-Free Rate. (2019). Barnard, Brian.
    In: Expert Journal of Economics.
    RePEc:exp:econcs:v:7:y:2019:i:1:p:32-44.

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  291. Funding for longer lives. Retirement wallet and risk-sharing annuities. (2019). Bravo, Jorge ; Jorge, Eva Maria.
    In: EKONOMIAZ. Revista vasca de Economía.
    RePEc:ekz:ekonoz:2019212.

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  292. On the role of speed adaptation and spacing indifference in traffic instability: Evidence from car-following experiments and its stochastic model. (2019). Jia, Bin ; Gao, Zi-You ; Jiang, Rui ; Treiber, Martin ; Zhang, H M ; Tian, Junfang.
    In: Transportation Research Part B: Methodological.
    RePEc:eee:transb:v:129:y:2019:i:c:p:334-350.

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  293. Approximation of Markov semigroups in total variation distance under an irregular setting: An application to the CIR process. (2019). Rey, Clement.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:129:y:2019:i:2:p:539-571.

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  294. The impact of tradeoff between risk and return on mean reversion in sovereign CDS markets. (2019). Mili, Mehdi.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:48:y:2019:i:c:p:187-200.

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  295. Stochastic modeling of currency exchange rates with novel validation techniques. (2019). Michalak, Anna ; Sikora, Grzegorz ; Wyomaska, Agnieszka ; Mita, Pawe ; Bielak, Ukasz.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:523:y:2019:i:c:p:1202-1215.

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  296. Valuation and analysis on complex equity indexed annuities. (2019). Tsai, Chenghsien ; Hsieh, Ming-Hua ; Chiu, Yu-Fen.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x19301039.

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  297. An asset pricing approach to testing general term structure models. (2019). van der Wel, Michel ; Christensen, Bent Jesper.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:134:y:2019:i:1:p:165-191.

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  298. Endogenous asymmetric money illusion. (2019). Saporito, Yuri F ; Duarte, Diogo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:109:y:2019:i:c:s0378426619302559.

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  299. Volatility tail risk under fractionality. (2019). Santucci de Magistris, Paolo ; Morelli, Giacomo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302298.

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  300. Valuation of contingent convertible catastrophe bonds — The case for equity conversion. (2019). Burnecki, Krzysztof ; Giuricich, Mario Nicolo ; Palmowski, Zbigniew.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:88:y:2019:i:c:p:238-254.

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  301. Agreement matters: OPEC announcement effects on WTI term structure. (2019). Bredin, Don ; Spencer, Simon.
    In: Energy Economics.
    RePEc:eee:eneeco:v:80:y:2019:i:c:p:589-609.

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  302. Bond and option prices with permanent shocks. (2019). Al-Zoubi, Haitham A.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:53:y:2019:i:c:p:272-290.

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  303. Long-term swings and seasonality in energy markets. (2019). Novales, Alfonso ; Moreno, Manuel ; Platania, Federico.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:279:y:2019:i:3:p:1011-1023.

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  304. A new delta expansion for multivariate diffusions via the Itô-Taylor expansion. (2019). Wan, Xiangwei ; Chen, Nan ; Yang, Nian.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:209:y:2019:i:2:p:256-288.

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  305. Portfolio selection with inflation-linked bonds and indexation lags. (2019). Li, Kai.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:107:y:2019:i:c:10.

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  306. A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates. (2019). Ma, Zonggang ; Xiao, Shisong.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:123:y:2019:i:c:p:59-68.

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  307. A tale of two decades: the ECB’s monetary policy at 20. (2019). Rostagno, Massimo ; Altavilla, Carlo ; Yiangou, Jonathan ; Guilhem, Arthur Saint ; Motto, Roberto ; Lemke, Wolfgang ; Carboni, Giacomo.
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    RePEc:ecb:ecbwps:20192346.

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  308. “Sustainable and Affordable”? Actuarially Fair Contribution Rates for the USS Pension Scheme. (2019). wright, stephen ; Hori, Kenjiro.
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:1901.

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  309. Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela.
    In: BAFFI CAREFIN Working Papers.
    RePEc:baf:cbafwp:cbafwp19106.

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  310. Quantization-based Bermudan option pricing in the $FX$ world. (2019). Pages, Gilles ; Montes, Thibaut ; Lemaire, Vincent ; Fayolle, Jean-Michel.
    In: Papers.
    RePEc:arx:papers:1911.05462.

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  311. Statistical analysis and stochastic interest rate modelling for valuing the future with implications in climate change mitigation. (2019). Geanakoplos, John ; Farmer, Doyne J ; Masoliver, Jaume ; Montero, Miquel ; Perell, Josep .
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    RePEc:arx:papers:1910.01928.

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  312. Dynamics of income inequality under disequilibrium: The case of India. (2019). Jensen, Henrik Jeldtoft ; Sahasranaman, Anand.
    In: Papers.
    RePEc:arx:papers:1909.04452.

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  313. PDE models for the valuation of a non callable defaultable coupon bond under an extended JDCEV model. (2019). Pascucci, Andrea ; C. V'azquez, ; Diop, S ; Calvo-Garrido, M C.
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  314. Affine term structure models : a time-changed approach with perfect fit to market curves. (2019). Fr'ed'eric Vrins, ; Mbaye, Cheikh.
    In: Papers.
    RePEc:arx:papers:1903.04211.

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  315. Forecasting interest rates through Vasicek and CIR models: a partitioning approach. (2019). Bufalo, Michele ; Mininni, Rosa Maria ; Orlando, Giuseppe.
    In: Papers.
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  316. Affine term-structure models: A time-changed approach with perfect fit to market curves. (2019). Vrins, Frédéric ; Mbaye, Cheikh.
    In: LIDAM Discussion Papers LFIN.
    RePEc:ajf:louvlf:2019005.

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  317. Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne.
    In: AMSE Working Papers.
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  318. PRICING INTEREST RATE DERIVATIVES UNDER MONETARY CHANGES. (2018). de Genaro, Alan ; Avellaneda, Marco.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500371.

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  319. LÉVY–VASICEK MODELS AND THE LONG-BOND RETURN PROCESS. (2018). Brody, Dorje C ; Meier, David M ; Hughston, Lane P.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
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  320. Optimal asset allocation for a bank under risk control. (2018). Perera, Ryle S ; Sato, Kimitoshi.
    In: International Journal of Financial Engineering (IJFE).
    RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500226.

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  321. Financial Innovation: Theories, Models and Regulation. (2018). Satya, G V.
    In: Vernon Press Titles in Economics.
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  322. Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure. (2018). Fergusson, Kevin John.
    In: PhD Thesis.
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  323. Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure. (2018). Fergusson, Kevin John.
    In: PhD Thesis.
    RePEc:uts:finphd:3-2018.

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  324. Essays on model uncertainty in financial models. (2018). Li, Jing.
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:202cd910-7ef1-4db4-94ae-de174ab85dc2.

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  325. Estimation and testing in generalized mean-reverting processes with change-point. (2018). Zhang, Pei Patrick ; Nkurunziza, Severien.
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:21:y:2018:i:1:d:10.1007_s11203-016-9151-3.

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  326. Fixed-income securities: bibliometric review with network analysis. (2018). Liao, Zhewen ; Yan, Yan ; Chen, Xiaosong.
    In: Scientometrics.
    RePEc:spr:scient:v:116:y:2018:i:3:d:10.1007_s11192-018-2800-0.

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  327. Optimal Reinsurance-Investment Strategy Under Risks of Interest Rate, Exchange Rate and Inflation. (2018). Guo, Chang ; Pamen, Olivier Menoukeu ; Constantinescu, Corina ; Zhuo, Xiaoyang.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:20:y:2018:i:4:d:10.1007_s11009-018-9630-7.

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  328. The role of supervised learning in the decision process to fair trade US municipal debt. (2018). Vonella, Domenic ; Kajiji, Nina ; Dash, Gordon H.
    In: EURO Journal on Decision Processes.
    RePEc:spr:eurjdp:v:6:y:2018:i:1:d:10.1007_s40070-018-0079-2.

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  329. Individual optimal pension allocation under stochastic dominance constraints. (2018). Vitali, Sebastiano ; Moriggia, Vittorio ; Kopa, Milo.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2387-x.

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  330. Portfolio selection strategy for fixed income markets with immunization on average. (2018). Tich, Toma ; Cassader, Marco ; Vitali, Sebastiano ; Ortobelli, Sergio.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2182-8.

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  331. Inference for a change-point problem under a generalised Ornstein–Uhlenbeck setting. (2018). Nkurunziza, Severien ; Mamon, Rogemar ; Chen, Fuqi.
    In: Annals of the Institute of Statistical Mathematics.
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  332. The Term Structure of Government Bond Yields in an Emerging Market. (2018). Waliullah, ; Bari, Khadija Malik.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2018:i:3:p:5-28.

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  333. YIELD CURVE IN BOSNIA AND HERZEGOVINA: FINANCIAL AND MACROECONOMIC FRAMEWORK. (2018). Baskot, Bojan ; Mikerevic, Dejan ; Orsag, Silvije.
    In: UTMS Journal of Economics.
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  334. The Expectations Hypothesis in the Theory and Practice of Current Interest Rate Instruments. (2018). Staniek, Duan .
    In: Český finanční a účetní časopis.
    RePEc:prg:jnlcfu:v:2018:y:2018:i:2:id:513:p:61-79.

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  335. Conditional heteroskedasticity in crypto-asset returns. (2018). Shaw, Charles.
    In: MPRA Paper.
    RePEc:pra:mprapa:90437.

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  336. Measuring the Signaling Effect of the ECB’s Asset Purchase Programme at the Effective Lower Bound. (2018). Zhou, Siwen.
    In: MPRA Paper.
    RePEc:pra:mprapa:87084.

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  337. Un análisis comparativo entre GARCH-M, EGARCH y PJ-RS-EV para modelar la volatilidad de Índice de precios y cotizaciones de la Bolsa Mexicana de Valores. (2018). Venegas-Martínez, Francisco ; Reyes-Garcia, Nallely Jacqueline ; Cruz-Ake, Salvador ; Venegas-Martinez, Francisco.
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  338. Risk Premia and Volatilities in a Nonlinear Term Structure Model*. (2018). Illeditsch, Philipp ; Heyerdahl-Larsen, Christian ; Feldhutter, Peter.
    In: Review of Finance.
    RePEc:oup:revfin:v:22:y:2018:i:1:p:337-380..

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  339. Credit Risk Research: Review and Agenda. (2018). Zamore, Stephen ; Hobdari, Bersant ; Alon, Ilan ; Djan, Kwame Ohene.
    In: Emerging Markets Finance and Trade.
    RePEc:mes:emfitr:v:54:y:2018:i:4:p:811-835.

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  340. A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures. (2018). Li, Yuyi ; Jawadi, Fredj ; Bu, Ruijun.
    In: Working Papers.
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  341. Empirical performance of Gaussian affine dynamic term structure models in the presence of autocorrelation misspecification bias. (2018). Juneja, Januj.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:50:y:2018:i:3:d:10.1007_s11156-017-0643-z.

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  342. Bank Contingent Capital: Valuation and the Role of Market Discipline. (2018). Yu, Min-Teh ; Chang, Chia-Chien.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:54:y:2018:i:1:d:10.1007_s10693-016-0259-9.

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  343. Simulation Solution to a Two-Dimensional Mortgage Refinancing Problem. (2018). Edwards, David A ; Zhang, Nan ; Xie, Dejun.
    In: Computational Economics.
    RePEc:kap:compec:v:52:y:2018:i:2:d:10.1007_s10614-017-9689-1.

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  344. An Integrated Matching-Immunization Model for Bond Portfolio Optimization. (2018). Staikouras, C ; Bouzianis, G ; Hassapis, C ; Xidonas, P.
    In: Computational Economics.
    RePEc:kap:compec:v:51:y:2018:i:3:d:10.1007_s10614-016-9626-8.

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  345. On the Effect of Bank of Japan’s Outright Purchase on the JGB Yield Curve. (2018). Tokioka, Takami ; Takahashi, Soichiro ; Nakano, Masafumi.
    In: Asia-Pacific Financial Markets.
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  346. A Reinterpretation of the Optimal Demand for Risky Assets in Fund Separation Theorems. (2018). Milhau, Vincent ; Martellini, Lionel ; Deguest, Romain .
    In: Management Science.
    RePEc:inm:ormnsc:v:64:y:2018:i:9:p:4333-4347.

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  347. Construction of an aggregate consistent utility, without Pareto optimality. Application to Long-Term yield curve Modeling. (2018). Mrad, Mohamed ; Hillairet, Caroline ; el Karoui, Nicole.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01721441.

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  348. Dependence of default probability and recovery rate in structural credit risk models: Case of Greek banks. (2018). Jamel, Lamia ; Derbali, Abdelkader.
    In: Post-Print.
    RePEc:hal:journl:hal-01695998.

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  349. A Threshold Type Policy for Trading a Mean-Reverting Asset with Fixed Transaction Costs. (2018). Zhang, Qing ; Tie, Jingzhi ; Luu, Phong.
    In: Risks.
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  350. The Role of Inflation-Indexed Bond in Optimal Management of Defined Contribution Pension Plan During the Decumulation Phase. (2018). Guo, Junyi ; Zhang, Xiaoyi.
    In: Risks.
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  351. Longevity Risk Management and the Development of a Value-Based Longevity Index. (2018). Sherris, Michael ; Chang, Yang.
    In: Risks.
    RePEc:gam:jrisks:v:6:y:2018:i:1:p:10-:d:131400.

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  352. Modeling and Predictability of Exchange Rate Changes by the Extended Relative Nelson–Siegel Class of Models. (2018). Ishii, Hokuto.
    In: IJFS.
    RePEc:gam:jijfss:v:6:y:2018:i:3:p:68-:d:161340.

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  353. The moments of a diffusion process. (2018). Yun, Youngyun .
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:138:y:2018:i:c:p:36-41.

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  354. Lie symmetries, group-invariant solutions and conservation laws of the Vasicek pricing equation of mathematical finance. (2018). Khalique, Chaudry Masood ; Motsepa, Tanki.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:505:y:2018:i:c:p:871-879.

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  355. Sovereign default and maturity choice. (2018). Yurdagul, Emircan ; Sanchez, Juan ; Sapriza, Horacio.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:95:y:2018:i:c:p:72-85.

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  356. Assessing the predictive ability of sovereign default risk on exchange rate returns. (2018). Ravazzolo, Francesco ; Foroni, Claudia ; Sadaba, Barbara .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:81:y:2018:i:c:p:242-264.

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  357. Investment, Tobin’s q, and interest rates. (2018). Lin, Xiaoji ; Yang, Jinqiang ; Wang, Neng.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:130:y:2018:i:3:p:620-640.

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  358. An analysis of the Solvency II regulatory framework’s Smith-Wilson model for the term structure of risk-free interest rates. (2018). Jorgensen, Peter Lochte .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:97:y:2018:i:c:p:219-237.

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  359. Predictions of short-term rates and the expectations hypothesis. (2018). Guidolin, Massimo ; Thornton, Daniel L.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:34:y:2018:i:4:p:636-664.

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  360. Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts. (2018). Gambaro, Anna Maria ; Ghilarducci, Alessandro ; Fusai, Gianluca ; Casalini, Riccardo.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:81:y:2018:i:c:p:117-129.

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  361. Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates. (2018). Kang, Boda ; Ziveyi, Jonathan.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:79:y:2018:i:c:p:43-56.

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  362. Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee. (2018). Tang, Mei-Ling ; Wu, Ting-Pin ; Lai, Gene C ; Chen, Son-Nan.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:78:y:2018:i:c:p:87-104.

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  363. Replicating intergenerational longevity risk sharing in collective defined contribution pension plans using financial markets. (2018). Kurtbegu, Enareta .
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  364. Valuation of longevity-linked life annuities. (2018). Bravo, Jorge ; el Mekkaoui, Najat.
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  365. Option pricing under regime switching: Integration over simplexes method. (2018). Jang, Bong-Gyu ; Tae, Hyeon-Wuk.
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  366. Macroeconomic determinants of the term structure: Long-run and short-run dynamics. (2018). Doshi, Hitesh ; Liu, Rui ; Jacobs, Kris.
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  367. Estimating Chinese Treasury yield curves with Bayesian smoothing splines. (2018). Tong, Xiaojun ; Sun, Dongchu ; He, Zhuoqiong Chong.
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  368. Spot volatility estimation using the Laplace transform. (2018). Mancino, Maria Elvira ; Recchioni, Maria Cristina ; Curato, Imma Valentina .
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  369. Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets. (2018). Hui, Cho-Hoi ; Chau, Po-Hon ; Lo, Chi-Fai.
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  370. A term structure model under cyclical fluctuations in interest rates. (2018). Novales, Alfonso ; Platania, Federico ; Moreno, Manuel .
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  371. Capital structure decisions and the optimal design of corporate market debt prograams. (2018). Martellini, Lionel ; Tarelli, Andrea ; Milhau, Vincent .
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  372. Subjective value of the guarantees embedded in public cash-balance pension plans. (2018). Tang, Chun-Hua .
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  373. Affine Jump-Diffusions: Stochastic Stability and Limit Theorems. (2018). Glynn, Peter W ; Zhang, Xiaowei.
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  374. On the Normality of Negative Interest Rates. (2018). Lipton, Alexander ; Grasselli, Matheus R.
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  375. Optimal Dividend of Compound Poisson Process under a Stochastic Interest Rate. (2018). Zhang, Xiaoyi ; Tian, Linlin.
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  376. Explicit Asymptotics on First Passage Times of Diffusion Processes. (2018). Li, Luting ; Dassios, Angelos.
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  377. On The Calibration of Short-Term Interest Rates Through a CIR Model. (2018). Bufalo, Michele ; Mininni, Rosa Maria ; Orlando, Giuseppe.
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  378. Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs. (2018). Bianchi, Michele Leonardo.
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  379. Valuation of contingent convertible catastrophe bonds - the case for equity conversion. (2018). Burnecki, Krzysztof ; Palmowski, Zbigniew ; Nicol, Mario.
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  380. Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi.
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  388. Rising interest rates, lapse risk, and the stability of life insurers. (2017). Gründl, Helmut ; Kubitza, Christian ; Grundl, Helmut ; Berdin, Elia.
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  389. LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH. (2017). Leung, Tim ; Park, Hyungbin.
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  390. A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison). (2017). Rabinovitz, Yedidya.
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  391. Pricing currency options in the Heston/CIR double exponential jump-diffusion model. (2017). Ahlip, Rehez ; Prodan, Ante.
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  392. Sensitivities under G2++ model of the yield curve. (2017). Jaffal, H ; Yassine, A ; Rakotondratsimba, Y.
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  393. OPTIMAL INVESTMENT AND OPTIMAL ADDITIONAL VOLUNTARY CONTRIBUTION RATE OF A DC PENSION FUND IN A JUMP-DIFFUSION ENVIRONMENT. (2017). Nkeki, Charles I.
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  394. ASYMPTOTICS OF BOND YIELDS AND VOLATILITIES FOR EXTENDED VASICEK MODELS UNDER THE REAL-WORLD MEASURE. (2017). Fergusson, K.
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  395. Maximum Likelihood Estimation for Score-Driven Models. (2017). Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco.
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  396. Online Kernel estimation of stationary stochastic diffusion models. (2017). Wang, Xin.
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  397. HARA utility maximization in a Markov-switching bond–stock market. (2017). Escobar, M ; Zagst, R ; Neykova, D.
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  398. Enhancing Estimation for Interest Rate Diffusion Models With Bond Prices. (2017). Chen, Song ; Zou, Tao.
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  399. Valuing investment projects under interest rate risk: empirical evidence from European firms. (2017). Ballestra, Luca Vincenzo ; Radi, Davide ; Pacelli, Graziella.
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  400. Term structure forecasting in affine framework with time-varying volatility. (2017). Ullah, Wali ; Waliullah, .
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  401. A test for a parametric form of the volatility in second-order diffusion models. (2017). Mei, Changlin ; Yan, Tianshun.
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  402. Irrationality and Term Structure Anomaly. (2017). Kuo, Doun I.
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  403. Unconventional monetary policy: interest rates and low inflation. A review of literature and methods. (2017). Striaukas, Jonas ; Comunale, Mariarosaria.
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  404. Exchange Rate Dynamics and United States Dollar-Denominated Sovereign Bond Prices in Emerging Markets. (2017). Chau, Po-Hon ; Lo, Chi-Fai ; Hui, Cho-Hoi.
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  405. Sovereign Cocos and the Reprofiling of Debt Payments. (2017). Martinez, Leonardo ; Hatchondo, Juan.
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  406. Asymmetries in Yield Curves: Some Empirical Evidence from Ghana. (2017). .
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  407. Unconventional Monetary Policy: Interest Rates and Low Inflation. A Review of Literature and Methods. (2017). Striaukas, Jonas ; Comunale, Mariarosaria.
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  408. A Lattice Framework with Smooth Convergence for Pricing Real Estate Derivatives with Stochastic Interest Rate. (2017). Gong, PU ; Zou, Dong.
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  409. Valuing Vulnerable Mortgage Insurance Under Capital Forbearance. (2017). Yu, Min-Teh ; Chang, Chia-Chien.
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  410. Introducing global term structure in a risk parity framework. (2017). Stagnol, Lauren.
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  411. Interpretable Parsimonious Arbitrage-free Modeling of the Yield Curve. (2017). Bekker, Paul A.
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  412. How Germany benefits the most from its Eurozone membership. (2017). Juneja, Januj.
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  413. Invariance, observational equivalence, and identification: Some implications for the empirical performance of affine term structure models. (2017). Juneja, Januj.
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  414. Quantifying risks with exact analytical solutions of derivative pricing distribution. (2017). Zhang, Kun ; Wang, Jin ; Liu, Jing.
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  415. Research in finance: A review of influential publications and a research agenda. (2017). Linnenluecke, Martina K ; Zhu, Yushu ; Smith, Tom ; Ling, Xin ; Chen, Xiaoyan.
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  416. An empirical comparison of transformed diffusion models for VIX and VIX futures. (2017). JAWADI, Fredj ; Bu, Ruijun ; Li, Yuyi.
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  417. Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks. (2017). Han, Nan-Wei ; Hung, Mao-Wei.
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  418. Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform. (2017). Chang, Hao.
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  419. Intensity-based framework for surrender modeling in life insurance. (2017). Fabozzi, Frank J ; Russo, Vincenzo ; Giacometti, Rosella.
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  420. Time varying contagion in EMU government bond spreads. (2017). Leschinski, Christian ; Bertram, Philip .
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  421. Corporate cash-pool valuation in a multi-firm context: A closed formula. (2017). Berlinger, Edina ; Walter, Gyorgy ; Bihary, Zsolt.
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  422. Bayesian testing for short term interest rate models. (2017). Chen, Zhongtian ; Li, Yong ; Zhang, Yonghui.
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  423. Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models. (2017). Tunaru, Diana .
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  424. Fair division of costs in green energy markets. (2017). Hougaard, Jens ; Smilgins, Aleksandrs ; Kronborg, Dorte.
    In: Energy.
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  425. Idiosyncratic returns and relative value in the US Treasury market. (2017). Nielsen, Youngju ; Pungaliya, Raunaq S.
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  426. Risk-neutral valuation of the non-recourse protection in reverse mortgages: A case study for Korea. (2017). , Joseph.
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  427. Scenario generation for long run interest rate risk assessment. (2017). Roussellet, Guillaume ; Engle, Robert ; Siriwardane, Emil.
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  428. Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks. (2017). Lin, Shih-Kuei ; Xu, Lian-Wen ; Chen, Carl R ; Wang, Shin-Yun .
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  429. Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift☆. (2017). Li, Shaoyu ; Zheng, Tingguo .
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  430. Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds. (2017). Prigent, Jean-Luc ; Abid, Ilyes ; Mkaouar, Farid.
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  431. Explicit formula for the valuation of catastrophe put option with exponential jump and default risk. (2017). Kim, Geonwoo ; Koo, Eunho.
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  432. Pricing and simulating catastrophe risk bonds in a Markov-dependent environment. (2017). Shao, Jia ; Pantelous, Athanasios A ; Papaioannou, Apostolos D.
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  433. A stochastic forward-looking model to assess the profitability and solvency of European insurers. (2017). Pancaro, Cosimo ; Kok, Christoffer ; Berdin, Elia.
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  434. Introducing global term structure in a risk parity framework. (2017). Stagnol, Lauren.
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  435. Did Treasury Debt Markets Anticipate the Persistent Decline in Long-Term Interest Rates?: Working Paper 2017-07. (2017). Gamber, Edward N.
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  436. Specification analysis in regime-switching continuous-time diffusion models for market volatility. (2017). Ruijun, BU ; Kaddour, Hadri ; Jie, Cheng .
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  437. Portfolio Selection with Random Liability and Affine Interest Rate in the Mean-Variance Framework. (2017). Hao, Chang ; Zhenming, Fang ; Chunfeng, Wang.
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  438. Portfolio Optimization Under Solvency II: Implicit Constraints Imposed by the Market Risk Standard Formula. (2017). Braun, Alexander ; Schreiber, Florian ; Schmeiser, Hato.
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  439. Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns. (2017). Sadaba, Barbara ; Ravazzolo, Francesco ; Foroni, Claudia.
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  440. General Price Bounds for Guaranteed Annuity Options. (2017). Sabanis, Sotirios ; Bahl, Raj Kumari .
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  441. Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time. (2017). Oliva, Immacolata ; Mammi, Luca ; di Persio, Luca ; Bonollo, Michele .
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  442. The Long Bond, Long Forward Measure and Long-Term Factorization in Heath-Jarrow-Morton Models. (2017). Qin, Likuan ; Linetsky, Vadim.
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  443. Long-Term Factorization of Affine Pricing Kernels. (2017). Linetsky, Vadim ; Qin, Likuan.
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  444. Modeling the Premium and Contract Properties of Family Takaful (Islamic Life Insurance) نمذجة قسط وخصائص عقد التكافل الأسري (التأمين الإسلامي على الح. (2017). Sanusi, Nur Azura ; Kusairi, Suhal ; Saputra, Jumadil.
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  445. Modeling the Premium and Contract Properties of Family Takaful (Islamic Life Insurance) نمذجة قسط وخصائص عقد التكافل الأسري (التأمين الإسلامي على الح. (2017). Sanusi, Nur Azura ; Kusairi, Suhal ; Saputra, Jumadil.
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  446. A stochastic forward-looking model to assess the profitability and solvency of European insurers. (2016). Pancaro, Cosimo ; Kok, Christoffer ; Sorensen, Christoffer Kok ; Berdin, Elia.
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  447. Interest rate risk, longevity risk and the solvency of life insurers. (2016). Berdin, Elia.
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  448. A stochastic forward-looking model to assess the profitability and solvency of European insurers. (2016). Pancaro, Cosimo ; Kok, Christoffer ; Berdin, Elia ; Sorensen, Christoffer Kok .
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  449. PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE. (2016). Frahm, Gabriel.
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  450. Pricing corporate bonds with interest rates following double square-root process. (2016). Lo, Chi-Fai ; Hui, Cho-Hoi.
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  451. Control of price acceptability under the univariate Vasicek model. (2016). Dang-Nguyen, S ; Rakotondratsimba, Y.
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  452. Theory of long-term interest rates. (2016). Rey, Sebastian.
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  453. Efficient and exact simulation of the Gaussian affine interest rate models. (2016). Ostrovski, Vladimir.
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  454. MODELING DEPENDENCY OF VOLATILITY ON SAMPLING FREQUENCY VIA DELAY EQUATIONS. (2016). Luong, Chuong ; Dokuchaev, Nikolai.
    In: Annals of Financial Economics (AFE).
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  455. Empirical Performance of Commodity Pricing Models: When is it Worthwhile to Use a Stochastic Volatility Specification?. (2016). Cortazar, Gonzalo ; Ortega, Hector ; Gutierrez, Simon .
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  456. Pricing of long dated equity-linked life insurance contracts. (2016). Platen, Eckhard ; Chan, Leunglung.
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  457. A model for interest rates with clustering effects. (2016). Hainaut, Donatien.
    In: Quantitative Finance.
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  458. Exploring the total positivity of yields correlations. (2016). Goia, A ; Salinelli, E.
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  459. Pricing regime-switching risk in an HJM interest rate environment. (2016). Siu, Tak Kuen ; Elliott, Robert J.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:16:y:2016:i:12:p:1791-1800.

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  460. The challenge in managing new financial risks: adopting an heuristic or theoretical approach. (2016). Peltre, Nadege ; An, Hoai ; Damel, Pascal.
    In: Annals of Operations Research.
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  461. Option Pricing Models. (2016). .
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  462. CoRisk: measuring systemic risk through default probability contagion. (2016). Parisi, Laura ; Giudici, Paolo.
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  463. Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities. (2016). Longstaff, Francis ; Chernov, Mikhail ; Dunn, Brett R.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:22096.

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  464. The Term Structure of Interest Rates in India. (2016). Sinha, Arunima ; Mehra, Rajnish.
    In: NBER Working Papers.
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  465. Measuring sovereign credit risk using a structural model approach. (2016). Wang, Keh Luh ; Shih, Kuanyu ; Lee, Han-Hsing.
    In: Review of Quantitative Finance and Accounting.
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  466. Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options. (2016). Kao, Lie-Jane .
    In: Review of Derivatives Research.
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  467. Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model. (2016). Tedeschi, Gabriele ; Sun, YU ; Recchioni, Maria Cristina .
    In: Working Papers.
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  468. Pricing Corporate Bonds With Interest Rates Following Double Square-root Process. (2016). Hui, Cho-Hoi ; Lo, Chi-Fai.
    In: Working Papers.
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  469. Valuation of commodity derivatives with an unobservable convenience yield. (2016). LAI, Anh ; Mellios, Constantin .
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  470. A bivariate Hawkes process based model, for interest rates. (2016). Hainaut, Donatien.
    In: Post-Print.
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  471. Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view. (2016). Gente, Karine ; Dufrénot, Gilles ; Monsia, Fredia .
    In: Post-Print.
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  472. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making. (2016). Gueant, Olivier.
    In: Post-Print.
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  473. Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions. (2016). Loisel, Stéphane ; Salhi, Yahia ; el Karoui, Nicole ; Bensusan, Harry .
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  474. Term Structure of Interest Rates: Macro-Finance Approach. (2016). Stork, Zbynek .
    In: EcoMod2016.
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  475. Mortgage risk and the yield curve. (2016). Venter, Gyuri ; Vedolin, Andrea ; Mueller, Philippe ; Malkhozov, Aytek.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:64915.

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  476. Consistency of the plug-in functional predictor of the Ornstein–Uhlenbeck process in Hilbert and Banach spaces. (2016). Alvarez-Liebana, Javier ; Ruiz-Medina, Maria D ; Bosq, Denis .
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:117:y:2016:i:c:p:12-22.

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  477. Stock market recovery from the 2008 financial crisis: The differences across Europe. (2016). Ivanov, Ivan ; Bogdanova, Boryana ; Kabaivanov, Stanimir .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:37:y:2016:i:c:p:360-374.

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  478. Pairs trading: The performance of a stochastic spread model with regime switching-evidence from the S&P 500. (2016). Yang, Jen-Wei ; Chang, Chia-Chien ; Shyu, So-De ; Tsai, Shu-Yu .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:43:y:2016:i:c:p:139-150.

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  479. Portfolio choice with stochastic interest rates and learning about stock return predictability. (2016). Escobar Anel, Marcos ; Rubtsov, Alexey ; Ferrando, Sebastian.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:41:y:2016:i:c:p:347-370.

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  480. Interest rate next-day variation prediction based on hybrid feedforward neural network, particle swarm optimization, and multiresolution techniques. (2016). Lahmiri, Salim.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:444:y:2016:i:c:p:388-396.

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  481. Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view. (2016). Dufrénot, Gilles ; Monsia, Fredia ; Gente, Karine ; Dufrenot, Gilles.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:67:y:2016:i:c:p:123-146.

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  482. Assessing mortgage servicing rights using a reduced-form model: Considering the effects of interest rate risks, prepayment and default risks, and random state variables. (2016). Chiang, Shu Ling ; Tsai, Ming Shann ; Yang, Tyler T.
    In: Journal of Housing Economics.
    RePEc:eee:jhouse:v:32:y:2016:i:c:p:29-46.

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  483. The informational content of the embedded deflation option in TIPS. (2016). Grishchenko, Olesya ; Zhang, Jianing ; Vanden, Joel M.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:65:y:2016:i:c:p:1-26.

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  484. Tests of non linear Gaussian term structure models. (2016). Realdon, Marco.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:44:y:2016:i:c:p:128-147.

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  485. Catastrophe equity put options with target variance. (2016). Wang, Xingchun.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:71:y:2016:i:c:p:79-86.

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  486. Valuation and risk assessment of participating life insurance in the presence of credit risk. (2016). Eckert, Johanna ; Martin, Michael ; Gatzert, Nadine.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:71:y:2016:i:c:p:382-393.

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  487. Valuing inflation-linked death benefits under a stochastic volatility framework. (2016). Sheng, Wenlong ; Liang, Zongxia .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:69:y:2016:i:c:p:45-58.

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  488. Partial splitting of longevity and financial risks: The longevity nominal choosing swaptions. (2016). Loisel, Stéphane ; el Karoui, Nicole ; Bensusan, Harry ; Salhi, Yahia.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:68:y:2016:i:c:p:61-72.

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  489. Assessing inflation risk in non-life insurance. (2016). Gatzert, Nadine ; Bohnert, Alexander ; Kolb, Andreas .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:66:y:2016:i:c:p:86-96.

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  490. On the structural estimation of an optimal portfolio rule. (2016). Castaneda, Pablo ; Devoto, Benjamin ; Castaeda, Pablo .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:16:y:2016:i:c:p:290-300.

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  491. A quantum derivation of a reputational risk premium. (2016). Vizcaino-Gonzalez, Marcos ; Pineiro-Chousa, Juan .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:47:y:2016:i:c:p:304-309.

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  492. Estimating the hedging value of an energy exchange in Turkey to a retail power consumer. (2016). Shcherbakova, Anastasia ; Kurucak, Abdurrahman .
    In: Energy.
    RePEc:eee:energy:v:101:y:2016:i:c:p:16-26.

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  493. Evaluating investments in renewable energy under policy risks. (2016). Gatzert, Nadine ; Vogl, Nikolai .
    In: Energy Policy.
    RePEc:eee:enepol:v:95:y:2016:i:c:p:238-252.

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  494. Business cycle and credit risk modeling with jump risks. (2016). Jang, Bong-Gyu ; Hee, JI ; Rhee, Yuna .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:39:y:2016:i:pa:p:15-36.

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  495. The exact discretisation of CARMA models with applications in finance. (2016). Thornton, Michael ; Chambers, Marcus.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:38:y:2016:i:pb:p:739-761.

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  496. An infinite hidden Markov model for short-term interest rates. (2016). YANG, QIAO ; Maheu, John.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:38:y:2016:i:pa:p:202-220.

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  497. Stochastic correlation and risk premia in term structure models. (2016). Chiarella, Carl ; To, Thuy-Duong ; Hsiao, Chih-Ying.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:37:y:2016:i:c:p:59-78.

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  498. Bond portfolio optimization using dynamic factor models. (2016). Santos, Andre ; Moura, Guilherme ; Caldeira, Joo F.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:37:y:2016:i:c:p:128-158.

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  499. Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability. (2016). Yao, Haixiang ; Li, Duan.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:252:y:2016:i:3:p:837-851.

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  500. A tractable interest rate model with explicit monetary policy rates. (2016). Renne, Jean-Paul.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:251:y:2016:i:3:p:873-887.

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  501. Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield. (2016). LAI, Anh ; Six, Pierre ; Mellios, Constantin .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:250:y:2016:i:2:p:493-504.

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  502. Local-momentum autoregression and the modeling of interest rate term structure. (2016). Duan, Jin-Chuan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:2:p:349-359.

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  503. Estimating dynamic equilibrium models using mixed frequency macro and financial data. (2016). van der Wel, Michel ; Posch, Olaf ; Christensen, Bent Jesper.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:1:p:116-137.

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  504. Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models. (2016). Ait-Sahalia, Yacine ; Park, Joon Y.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:192:y:2016:i:1:p:119-138.

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  505. Long memory affine term structure models. (2016). Golinski, Adam ; Zaffaroni, Paolo ; Goliski, Adam .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:191:y:2016:i:1:p:33-56.

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  506. Optimal funding and hiring/firing policies with mean reverting demand. (2016). Prigent, Jean-Luc ; Letifi, N ; Bouasker, O.
    In: Economic Modelling.
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  507. A bivariate Hawkes process for interest rate modeling. (2016). Hainaut, Donatien.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:57:y:2016:i:c:p:180-196.

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  508. Reducible diffusions with time-varying transformations with application to short-term interest rates. (2016). Hadri, Kaddour ; Bu, Ruijun ; Cheng, Jie.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:52:y:2016:i:pa:p:266-277.

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  509. Mean percentage of returns for stock market linked savings accounts. (2016). Feng, Ling ; Mao, Xuerong ; Huang, Zhigang.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:273:y:2016:i:c:p:1130-1147.

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  510. The Entropy of Transition and Crisis. (2016). Boiangiu, Costin ; Negrea, Bogdan-Cristian .
    In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH.
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  511. Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities. (2016). Chernov, Mikhail ; Dunn, Brett R ; Longstaff, Francis .
    In: CEPR Discussion Papers.
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  512. Explicit Solution of the Optimal Reinsurance-Investment Problem with Promotion Budget. (2016). Delei, Sheng.
    In: Journal of Systems Science and Information.
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  513. The Valuation Model for a Risky Asset When Its Risky Factors Follow Gamma Distributions. (2016). Tsai, Ming Shann ; Chiang, Shuling .
    In: International Review of Finance.
    RePEc:bla:irvfin:v:16:y:2016:i:3:p:421-444.

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  514. Forecasting the Government Bond Term Structure in Australia. (2016). Peat, Maurice ; Svec, Jiri ; Chen, Rui.
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  515. A Framework in Search of an Optimal Margining Policy for Official Institutions: The Canadian Experience. (2016). Nakashima, Tomo ; Cosma, Mihai ; Plong, Boran .
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  516. Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach. (2016). Leung, Tim ; Park, Hyungbin.
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  517. L\evy-Vasicek Models and the Long-Bond Return Process. (2016). Meier, David M ; Hughston, Lane P ; Brody, Dorje C.
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  518. Numerical and analytical methods for bond pricing in short rate convergence models of interest rates. (2016). Sevcovic, Daniel ; Stehlikova, Beata ; Buckova, Zuzana .
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  519. The Zero-Coupon Rate Model for Derivatives Pricing. (2016). Lin, Xiao.
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  520. Mortgages and Refinancing. (2016). Qureshi, Khizar ; Su, Cheng .
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  521. Polynomial term structure models. (2016). Tehranchi, Michael R. ; Cheng, SI.
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  522. Path Integral and Asset Pricing. (2016). Kakushadze, Zura.
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  523. Alternative Risk Transfer and Insurance-Linked Securities: Trends, Challenges and New Market Opportunities. (2015). Braun, Alexander ; ben Ammar, Semir ; Eling, Martin.
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  524. Model Risk in Financial Markets:From Financial Engineering to Risk Management. (2015). Tunaru, Radu.
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  525. APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS. (2015). Platen, Eckhard ; Fergusson, K.
    In: Annals of Financial Economics (AFE).
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  526. Application of Maximum Likelihood Estimation to Stochastic Short Rate Models. (2015). Platen, Eckhard ; Fergusson, Kevin.
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  527. Essays on intertemporal consumption and portfolio choice. (2015). van Bilsen, Servaas .
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  528. Evaluating discrete dynamic strategies in affine models. (2015). Angelini, Flavio ; Herzel, Stefano.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:15:y:2015:i:2:p:313-326.

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  529. Convertible bond valuation in a jump diffusion setting with stochastic interest rates. (2015). Ballotta, Laura ; Kyriakou, Ioannis.
    In: Quantitative Finance.
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  530. Path integral and asset pricing. (2015). Kakushadze, Zura.
    In: Quantitative Finance.
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  531. A General Pricing Model for a Mortgage Insurance Contract Considering the Effects of Multivariate Random Variables on Termination Probabilities and Loss Rate. (2015). Tsai, Ming Shann ; Chiang, Shuling .
    In: Housing Policy Debate.
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  532. Synthetic CDO pricing: the perspective of risk integration. (2015). Zhang, Xun ; Gao, Qiuming .
    In: Applied Economics.
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  533. Markov control models with unknown random state–action-dependent discount factors. (2015). Minjarez-Sosa, J.
    In: TOP: An Official Journal of the Spanish Society of Statistics and Operations Research.
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  534. Estimating doubly stochastic Poisson process with affine intensities by Kalman filter. (2015). Simonis, Adilson ; Genaro, Alan.
    In: Statistical Papers.
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  535. Stability of the filter with Poisson observations. (2015). Xiong, Jie ; Li, Zhiqiang.
    In: Statistical Inference for Stochastic Processes.
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  536. Optimal Debt Ratio and Consumption Strategies in Financial Crisis. (2015). Jin, Zhuo.
    In: Journal of Optimization Theory and Applications.
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  537. Derivative Security Pricing. (2015). He, Xue-Zhong ; Chiarella, Carl ; Nikitopoulos, Christina Sklibosios.
    In: Dynamic Modeling and Econometrics in Economics and Finance.
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  538. Interest rate risk immunisation for life insurers. (2015). Krajewska, Elbieta .
    In: Collegium of Economic Analysis Annals.
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  539. Financial Methods: A Quantitative Approach. (2015). Giandomenico, Rossano.
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  540. Enhancing Estimation for Interest Rate Diffusion Models with Bond Prices. (2015). Chen, Song ; Zou, Tao.
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  541. Inequality Constrained State Space Models. (2015). Qian, Hang.
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  542. An Infinite Hidden Markov Model for Short-term Interest Rates. (2015). YANG, QIAO ; Maheu, John.
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  543. Financial Asset Pricing Theory. (2015). Munk, Claus .
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  544. Volatility Dynamics in the Term Structure of Latin American Sovereign International Bonds. (2015). Thuraisamy, Kannan S.
    In: Emerging Markets Finance and Trade.
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  545. Risk Premiums in the Cross-Section of Commodity Convenience Yields. (2015). Bollinger, Thomas ; Kind, Axel .
    In: Working Paper Series of the Department of Economics, University of Konstanz.
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  546. The effect of stochastic interest rates on a firm’s capital structure under a generalized model. (2015). Yang, Chun-Chieh ; Lin, Jun-Biao ; Chang, Chuang-Chang.
    In: Review of Quantitative Finance and Accounting.
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  547. An evaluation of alternative methods used in the estimation of Gaussian term structure models. (2015). Juneja, Januj.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:44:y:2015:i:1:p:1-24.

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  548. Optimal investment in multidimensional Markov-modulated affine models. (2015). Escobar Anel, Marcos ; Zagst, Rudi ; Neykova, Daniela .
    In: Annals of Finance.
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  549. GMM Estimation of Affine Term Structure Models. (2015). Hlouskova, Jaroslava ; Sogner, Leopold .
    In: Economics Series.
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  550. Term-Structure Modelling at the Zero Lower Bound: Implications for Estimating the Term Premium. (2015). Chung, Tsz-Kin ; Li, Ka-Fai ; Hui, Cho-Hoi.
    In: Working Papers.
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  551. Interactions of Unconventional Monetary Policy Measures with the Euro Area Yield Curve. (2015). Gertler, Lubomira .
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:65:y:2015:i:2:p:106-126.

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  552. Modelos estocásticos en finanzas. (2015). Moreno, John Freddy .
    In: Books.
    RePEc:ext:figrig:97.

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  553. Least-Squares Monte Carlo Simulation for Time Value of Options and Guarantees Calculation. (2015). Komaski, Piotr ; Sokoliski, Oskar .
    In: Ekonomia journal.
    RePEc:eko:ekoeko:41_81.

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  554. Corporate asset pricing models and debt contracts. (2015). Janda, Karel ; Dozsa, Martin .
    In: CAMA Working Papers.
    RePEc:een:camaaa:2015-33.

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  555. Stochastic string models with continuous semimartingales. (2015). Navas, Javier ; Moreno, Manuel.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:433:y:2015:i:c:p:229-246.

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  556. Monetary policy and the yield curve at zero interest. (2015). Ichiue, Hibiki ; Ueno, Yoichi .
    In: Journal of the Japanese and International Economies.
    RePEc:eee:jjieco:v:38:y:2015:i:c:p:1-12.

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  557. Default and prepayment modelling in participating mortgages. (2015). Varlı, Yusuf ; Yildirim, Yildiray ; Varli, Yusuf .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:c:p:81-88.

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  558. Riding the swaption curve. (2015). Duyvesteyn, Johan ; de Zwart, Gerben .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:59:y:2015:i:c:p:57-75.

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  559. Trading strategies with implied forward credit default swap spreads. (2015). Urga, Giovanni ; Leccadito, Arturo ; Tunaru, Radu S.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:58:y:2015:i:c:p:361-375.

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  560. Credit spreads and state-dependent volatility: Theory and empirical evidence. (2015). Perrakis, Stylianos ; Zhong, Rui.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:55:y:2015:i:c:p:215-231.

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  561. Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks. (2015). Dai, Tian-Shyr ; Liu, Liang-Chih ; Yang, Sharon S.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:64:y:2015:i:c:p:364-379.

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  562. Assessing the solvency of insurance portfolios via a continuous-time cohort model. (2015). Regis, Luca ; Jevti, Petar .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:61:y:2015:i:c:p:36-47.

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  563. A simple model of market valuation and trend reversion for U.S. equities: 100 Years of bubbles, non-bubbles, and inverse-bubbles. (2015). Godek, Paul E..
    In: Finance Research Letters.
    RePEc:eee:finlet:v:13:y:2015:i:c:p:29-35.

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  564. The investment management for a downside-protected equity-linked annuity under interest rate risk. (2015). Han, Nan-Wei ; Hung, Mao-Wei.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:13:y:2015:i:c:p:113-124.

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  565. A review of the literature on methods of computing the implied cost of capital. (2015). Echterling, F ; Ketterer, S ; Eierle, B.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:42:y:2015:i:c:p:235-252.

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  566. Real term structure forecasts of consumption growth. (2015). Tzavalis, Elias ; Argyropoulos, Efthymios .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:33:y:2015:i:c:p:208-222.

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  567. Consumption risk and the cross-section of government bond returns. (2015). Abhyankar, Abhay ; Lee, Soyeon ; Klinkowska, Olga .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:32:y:2015:i:c:p:180-200.

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  568. A cyclical square-root model for the term structure of interest rates. (2015). Moreno, Manuel ; Platania, Federico.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:241:y:2015:i:1:p:109-121.

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  569. Quasi-likelihood estimation of a threshold diffusion process. (2015). Su, Fei ; Chan, Kung-Sik.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:189:y:2015:i:2:p:473-484.

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  570. Explicit form of approximate transition probability density functions of diffusion processes. (2015). Choi, Seungmoon.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:1:p:57-73.

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  571. Asymptotically distribution-free tests for the volatility function of a diffusion. (2015). Chen, Qiang ; Pan, Zhiyuan ; Zheng, XU.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:184:y:2015:i:1:p:124-144.

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  572. Bias in the estimation of mean reversion in continuous-time Lévy processes. (2015). Yu, Jun ; Bao, Yong ; Wang, Yun ; Ullah, Aman ; Amanullah, .
    In: Economics Letters.
    RePEc:eee:ecolet:v:134:y:2015:i:c:p:16-19.

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  573. Prediction bias correction for dynamic term structure models. (2015). Raviv, Eran .
    In: Economics Letters.
    RePEc:eee:ecolet:v:129:y:2015:i:c:p:112-115.

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  574. Asymptotic theory for linear diffusions under alternative sampling schemes. (2015). Zhou, Qiankun ; Yu, Jun.
    In: Economics Letters.
    RePEc:eee:ecolet:v:128:y:2015:i:c:p:1-5.

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  575. Option pricing under truncated Gram–Charlier expansion. (2015). Huang, Hung-Hsi ; Lin, Shin-Hung .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:32:y:2015:i:c:p:77-97.

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  576. Dynamic mean–variance portfolio selection with liability and stochastic interest rate. (2015). Chang, Hao.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:51:y:2015:i:c:p:172-182.

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  577. Catastrophe options with double compound Poisson processes. (2015). JunYu, .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:50:y:2015:i:c:p:291-297.

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  578. Modeling loss given default with stochastic collateral. (2015). Frontczak, Robert ; Rostek, Stefan .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:44:y:2015:i:c:p:162-170.

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  579. Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions. (2015). Huang, Jia-Ping ; Sumita, Ushio.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:251:y:2015:i:c:p:453-468.

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  580. Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects. (2015). Tzavalis, Elias ; Efthymios, Argyropoulos ; Elias, Tzavalis .
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:19:y:2015:i:1:p:49-70:n:2.

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  581. Maximum Likelihood Estimation of Continuous-Time Diffusion Models for Korean Short-Term Interest Rates. (2015). Choi, Seungmoon.
    In: Economic Analysis (Quarterly).
    RePEc:bok:journl:v:21:y:2015:i:4:p:28-58.

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  582. How Did We Get to Where We Are Now? Reflections on 50 Years of Macroeconomic and Financial Econometrics. (2015). Wickens, Michael .
    In: Manchester School.
    RePEc:bla:manchs:v:83:y:2015:i::p:60-82.

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  583. A Discrete Monitoring Method for Pricing Asian Interest Rate Options. (2015). da Silva, Allan Jonathan ; Valentim, Jose ; Baczynskiy, Jack .
    In: Working Papers Series.
    RePEc:bcb:wpaper:409.

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  584. Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates. (2015). Li, Fu Chun.
    In: Staff Working Papers.
    RePEc:bca:bocawp:15-17.

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  585. A computational spectral approach to interest rate models. (2015). di Persio, Luca ; Pellegrini, Gregorio ; Bonollo, Michele .
    In: Papers.
    RePEc:arx:papers:1508.06236.

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  586. GMM Estimation of Affine Term Structure Models. (2015). Hlouskova, Jaroslava ; Sogner, Leopold .
    In: Papers.
    RePEc:arx:papers:1508.01661.

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  587. Modelling the Uruguayan debt through gaussians models. (2015). Sosa, Andr'Es ; Mordecki, Ernesto.
    In: Papers.
    RePEc:arx:papers:1508.00108.

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  588. Coping with Negative Short-Rates. (2015). Kakushadze, Zura.
    In: Papers.
    RePEc:arx:papers:1502.06074.

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  589. Optimal strategies of investment in a linear stochastic model of market. (2015). Kambarbaeva, G. S. ; Rozanova, O. S..
    In: Papers.
    RePEc:arx:papers:1501.07124.

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  590. Smile with the Gaussian term structure model. (2015). Ahdida, Abdelkoddousse ; Palidda, Ernesto ; Alfonsi, Aur'elien .
    In: Papers.
    RePEc:arx:papers:1412.7412.

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  591. Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery and Long-Term Pricing. (2015). Qin, Likuan ; Linetsky, Vadim.
    In: Papers.
    RePEc:arx:papers:1411.3075.

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  592. A lattice framework for pricing display advertisement options with the stochastic volatility underlying model. (2015). Chen, Bowei ; Wang, Jun.
    In: Papers.
    RePEc:arx:papers:1409.0697.

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  593. Dynamic Model of Markets of Homogenous Non-Durable. (2015). Kaldasch, Joachim.
    In: Papers.
    RePEc:arx:papers:1109.5791.

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  594. Efficient Estimation for Diffusions Sampled at High Frequency Over a Fixed Time Interval. (2015). Sorensen, Michael ; Jakobsen, Nina Munkholt .
    In: CREATES Research Papers.
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  595. How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics. (2014). Wickens, Michael.
    In: Discussion Papers.
    RePEc:yor:yorken:14/17.

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  596. Thinly traded securities and risk management. (2014). Beuermann, Diether ; Bernales, Alejandro ; Cortazar, Gonzalo.
    In: Estudios de Economia.
    RePEc:udc:esteco:v:41:y:2014:i:1:p:5-48.

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  597. Exact Distribution of the Mean Reversion Estimator in the Ornstein-Uhlenbeck Process. (2014). Ullah, Aman ; Bao, Yong ; Amanullah, ; Wang, Yun.
    In: Working Papers.
    RePEc:ucr:wpaper:201413.

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  598. International financial transmission of the Feds monetary policy. (2014). Mirkov, Nikola.
    In: International Journal of Business and Economic Sciences Applied Research (IJBESAR).
    RePEc:tei:journl:v:7:y:2014:i:2:p:7-49.

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  599. Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities. (2014). Hilliard, Jimmy E..
    In: Quantitative Finance.
    RePEc:taf:quantf:v:14:y:2014:i:1:p:101-110.

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  600. Mean-variance cointegration and the expectations hypothesis. (2014). Weber, Enzo ; Strohsal, Till.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:14:y:2014:i:11:p:1983-1997.

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  601. An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions. (2014). RODRIGO, MARIANITO R. ; MAMON, ROGEMAR S..
    In: Quantitative Finance.
    RePEc:taf:quantf:v:14:y:2014:i:11:p:1961-1970.

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  602. Local composite quantile regression estimation of time-varying parameter vector for multidimensional time-inhomogeneous diffusion models. (2014). Wang, Ji-Xia ; Xiao, Qing-Xian .
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:41:y:2014:i:11:p:2437-2449.

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  603. The Bickel–Rosenblatt test for continuous time stochastic volatility models. (2014). Lee, Sangyeol ; Guo, Meihui ; Lin, Liang-Ching.
    In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
    RePEc:spr:testjl:v:23:y:2014:i:1:p:195-218.

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  604. Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach. (2014). Janczura, Joanna.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:79:y:2014:i:1:p:1-30.

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  605. Optimal Portfolio Decision Rule Under Nonparametric Characterization of the Interest Rate Dynamics. (2014). Kung, James J.
    In: Journal of Optimization Theory and Applications.
    RePEc:spr:joptap:v:161:y:2014:i:1:d:10.1007_s10957-013-0298-4.

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  606. Valuation of finance/insurance contracts: Efficient hedging and stochastic interest rates modeling. (2014). Melnikov, Alexander ; Tong, Shuo .
    In: Risk and Decision Analysis.
    RePEc:ris:iosrda:0002.

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  607. Reducible Diffusions with Time-Varying Transformations with Application to Short-Term Interest Rates. (2014). Hadri, Kaddour ; Bu, Ruijun ; Cheng, Jie.
    In: Economics Working Papers.
    RePEc:qub:wpaper:1401.

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  608. Finance & Stochastic. (2014). Giandomenico, Rossano.
    In: MPRA Paper.
    RePEc:pra:mprapa:71627.

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  609. Modelling the short-term interest rate with stochastic differential equation in continuous time: linear and nonlinear models. (2014). Muteba Mwamba, John Weirstrasd ; Uwilingiye, Josine ; Thabo, Lethaba .
    In: MPRA Paper.
    RePEc:pra:mprapa:64386.

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  610. Caracterización del Precio de un Bono Cupón Cero en un Modelo de Equilibrio General. (2014). Venegas-Martínez, Francisco ; Venegas-Martinez, Francisco.
    In: MPRA Paper.
    RePEc:pra:mprapa:54847.

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  611. On the Fundamental Relation Between Equity Returns and Interest Rates. (2014). Choi, Jae Won ; Whitelaw, Robert F. ; Richardson, Matthew P..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20187.

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  612. Valuación con opciones reales de proyectos con flujos correlacionados con fundamentales económicos y con saltos extremos Viabilidad del caso COMERCI UCB. (2014). Venegas-Martínez, Francisco ; Cruz-Ake, Salvador ; Salvador, Cruz Ake ; Sergio, Mendoza Sandoval .
    In: Contaduría y Administración.
    RePEc:nax:conyad:v:59:y:2014:i:1:p:63-93.

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  613. The impact of quantitative easing on the US term structure of interest rates. (2014). Jarrow, Robert ; Li, Hao.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:17:y:2014:i:3:p:287-321.

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  614. Does modeling framework matter? A comparative study of structural and reduced-form models. (2014). Gündüz, Yalin ; Gunduz, Yalin ; Uhrig-Homburg, Marliese.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:17:y:2014:i:1:p:39-78.

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  615. Capturing the Regime-Switching and Memory Properties of Interest Rates. (2014). Xiaojing Xi, ; Mamon, Rogemar.
    In: Computational Economics.
    RePEc:kap:compec:v:44:y:2014:i:3:p:307-337.

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  616. Portfolio management with stochastic interest rates and inflation ambiguity. (2014). Munk, Claus ; Rubtsov, Alexey.
    In: Annals of Finance.
    RePEc:kap:annfin:v:10:y:2014:i:3:p:419-455.

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  617. Robust portfolio choice with stochastic interest rates. (2014). Flor, Christian ; Larsen, Linda.
    In: Annals of Finance.
    RePEc:kap:annfin:v:10:y:2014:i:2:p:243-265.

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  618. Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation. (2014). Prigent, Jean-Luc ; MKAOUAR, Farid ; Mkouar, Farid .
    In: Working Papers.
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  619. Impulse Control of Interest Rates. (2014). Mitchell, Daniel ; Feng, Haolin ; Muthuraman, Kumar.
    In: Operations Research.
    RePEc:inm:oropre:v:62:y:2014:i:3:p:602-615.

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  620. Real Term Structure and Inflation Compensation in the Euro Area. (2014). Pericoli, Marcello.
    In: International Journal of Central Banking.
    RePEc:ijc:ijcjou:y:2014:q:1:a:1.

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  621. Assessing the solvency of insurance portfolios via a continuous time cohort model. (2014). Regis, Luca ; Jevtic, Petar .
    In: Working Papers.
    RePEc:ial:wpaper:7/2014.

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  622. A regime switching model to evaluate bonds in a quadratic term structure of interest rates. (2014). PORCHER, Thomas ; Goutte, Stéphane ; Homayoun, Raphael .
    In: Working Papers.
    RePEc:hal:wpaper:hal-01090846.

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

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  624. Term Structure Modeling with Supply Factors and the Federal Reserves Large Scale Asset Purchase Programs. (2014). Li, Canlin ; Wei, Min.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2014-07.

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  625. Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach. (2014). Neto, Armenio Westin .
    In: International Econometric Review (IER).
    RePEc:erh:journl:v:6:y:2014:i:2:p:78-100.

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  626. Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach. (2014). Laurini, Márcio ; Neto, Armenio Westin .
    In: International Econometric Review (IER).
    RePEc:erh:journl:v:6:y:2014:i:2:p:77-99.

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  627. The valuation of European call options on zero-coupon bonds in the run-up to a fixed exchange-rate regime. (2014). Wilfling, Bernd ; Reher, Gerrit .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:29:y:2014:i:c:p:483-496.

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  628. Applying real options to IT investment evaluation: The case of radio frequency identification (RFID) technology in the supply chain. (2014). Tsekrekos, Andrianos ; Dimakopoulou, Andriana G. ; Pramatari, Katerina C..
    In: International Journal of Production Economics.
    RePEc:eee:proeco:v:156:y:2014:i:c:p:191-207.

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  629. Chaos recognition and fractal analysis in the term structure of Shanghai Interbank Offered Rate. (2014). Gu, Rongbao ; Li, Xinjie ; Chen, XI.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:412:y:2014:i:c:p:101-112.

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  630. The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate. (2014). Zhang, Weiguo ; Chen, Xiaoyan ; Xiao, Weilin.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:394:y:2014:i:c:p:320-337.

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  631. Risk premia in crude oil futures prices. (2014). Wu, Jing Cynthia ; Hamilton, James.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:42:y:2014:i:c:p:9-37.

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  632. An approximation approach for valuing reverse mortgages. (2014). Buttimer, Richard ; Lin, Che-Chun ; Prather, Larry J. ; Tsay, Jing-Tang .
    In: Journal of Housing Economics.
    RePEc:eee:jhouse:v:25:y:2014:i:c:p:39-52.

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  633. Advancing the universality of quadrature methods to any underlying process for option pricing. (2014). Newton, David P. ; Harkonen, Hannu J. ; Chen, Ding.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:114:y:2014:i:3:p:600-612.

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  634. Electricity price forecasting: A review of the state-of-the-art with a look into the future. (2014). Weron, Rafał.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:30:y:2014:i:4:p:1030-1081.

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  635. Valuing risky debt: A new model combining structural information with the reduced-form approach. (2014). Pacelli, Graziella ; Ballestra, Luca Vincenzo.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:55:y:2014:i:c:p:261-271.

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  636. Corporate yield spreads and real interest rates. (2014). Batten, Jonathan ; Jacoby, Gady ; Liao, Rose C..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:34:y:2014:i:c:p:89-100.

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  637. Intra-market sovereign linkages of key Latin American markets. (2014). Thuraisamy, Kannan.
    In: Economic Systems.
    RePEc:eee:ecosys:v:38:y:2014:i:2:p:140-160.

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  638. An asymptotic analysis of likelihood-based diffusion model selection using high frequency data. (2014). Choi, Hwan-sik ; Jeong, Minsoo ; Park, Joon Y..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:178:y:2014:i:p3:p:539-557.

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  639. Testing of the mean reversion parameter in continuous time models. (2014). Iglesias, Emma.
    In: Economics Letters.
    RePEc:eee:ecolet:v:122:y:2014:i:2:p:187-189.

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  640. Term structure estimation in the presence of autocorrelation. (2014). Juneja, Januj.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:28:y:2014:i:c:p:119-129.

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  641. The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables. (2014). Kim, Dong H. ; Stock, Duane .
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:26:y:2014:i:c:p:20-35.

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  642. No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates. (2014). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9848.

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  643. How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics. (2014). Wickens, Michael.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10197.

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  644. Securitization, Risk-Taking and the Option to Change Strategy. (2014). Order, Robert ; Lai, Rose Neng.
    In: Real Estate Economics.
    RePEc:bla:reesec:v:42:y:2014:i:2:p:343-362.

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  645. CONVERTIBLE BOND PRICING MODELS. (2014). Batten, Jonathan ; Young, Martin R. ; Khaw, Karren Lee-Hwei.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:28:y:2014:i:5:p:775-803.

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  646. Interest rate models and Whittaker functions. (2014). Muravey, Dmitry .
    In: Papers.
    RePEc:arx:papers:1405.2459.

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  647. .

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  648. The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models. (2013). Spencer, Peter.
    In: Discussion Papers.
    RePEc:yor:yorken:13/22.

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  649. The Discrete-Time Framework of the Arbitrage-Free Nelson-Siegel Class of Term Structure Models. (2013). Niu, Linlin ; Zeng, Gengming .
    In: Working Papers.
    RePEc:wyi:wpaper:002050.

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  650. Some Recent Developments in Nonparametric Finance. (2013). Hong, Yongmiao ; CAI, ZONGWU.
    In: Working Papers.
    RePEc:wyi:wpaper:002011.

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  651. Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametri. (2013). Hong, Yongmiao ; Chen, Bin.
    In: Working Papers.
    RePEc:wyi:wpaper:001992.

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  652. Currency‐Protected Swaps and Swaptions with Nonzero Spreads in a Multicurrency LMM. (2013). chen, son-nan ; Chang, JuiJane ; Wu, TingPin .
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:33:y:2013:i:9:p:827-867.

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  653. Commodity Derivative Pricing Under the Benchmark Approach. (2013). Du, KE.
    In: PhD Thesis.
    RePEc:uts:finphd:2.

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  654. Commodity Derivative Pricing Under the Benchmark Approach. (2013). Du, KE.
    In: PhD Thesis.
    RePEc:uts:finphd:1-2013.

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  655. Pricing and hedging in the VIX derivative market. (2013). Kozarski, R..
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:221fefe0-241e-4914-b6bd-c20f50ead2d2.

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  656. Prediction Bias Correction for Dynamic Term Structure Models. (2013). Raviv, Eran .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130041.

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  657. An options-based approach to forecast competing bids: evidence for Canadian takeover battles. (2013). Eichler, Stefan ; Maltritz, Dominik .
    In: Applied Economics.
    RePEc:taf:applec:v:45:y:2013:i:34:p:4805-4819.

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  658. A Path-Independent Humped Volatility Model for Option Pricing. (2013). Costabile, Massimo ; Russo, Emilio.
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:20:y:2013:i:3:p:191-210.

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  659. Valuation of liabilities in hybrid pension plans. (2013). Broeders, Dirk ; Chen, AN ; Rijsbergen, David .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:23:y:2013:i:15:p:1215-1229.

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  660. Interest Rate Derivatives. (2013). Beyna, Ingo.
    In: Lecture Notes in Economics and Mathematical Systems.
    RePEc:spr:lnecms:978-3-642-34925-6.

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  661. The Cheyette Model Class. (2013). Beyna, Ingo.
    In: Lecture Notes in Economics and Mathematical Systems.
    RePEc:spr:lnechp:978-3-642-34925-6_2.

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  662. Option-based risk management of a bond portfolio under regime switching interest rates. (2013). Ramponi, Alessandro ; Scarlatti, Sergio ; Antonelli, Fabio.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:36:y:2013:i:1:p:47-70.

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  663. Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes. (2013). Yu, Jun ; Ullah, Aman ; Bao, Yong ; Amanullah, ; Wang, Yun.
    In: Working Papers.
    RePEc:siu:wpaper:02-2013.

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  664. Density and Conditional Distribution Based Specification Analysis. (2013). Swanson, Norman ; Duong, Diep .
    In: Departmental Working Papers.
    RePEc:rut:rutres:201312.

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  665. A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry. (2013). Bouri, Abdelfettah ; Jarraya, Bilel.
    In: International Journal of Finance & Banking Studies.
    RePEc:rbs:ijfbss:v:2:y:2013:i:4:p:30-44.

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  666. Forecasting the yield curve - Forecast performance of the dynamic Nelson-Siegel model from 1971 to 2008. (2013). Hemminga, Marcus ; Molenaars, Tomas K. ; Reinerink, Nick H..
    In: MPRA Paper.
    RePEc:pra:mprapa:61862.

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  667. A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry. (2013). Jarraya, Bilel ; Bouri, Abdelfettah.
    In: MPRA Paper.
    RePEc:pra:mprapa:53534.

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  668. Cross-Hedging of Inflation Derivatives on Commodities: The Informational Content of Futures Markets. (2013). Fulli-Lemaire, Nicolas ; Palidda, Ernesto .
    In: MPRA Paper.
    RePEc:pra:mprapa:49687.

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  669. Credit Contagion in Financial Markets: A Network-Based Approach. (2013). Steinbacher, Mitja.
    In: MPRA Paper.
    RePEc:pra:mprapa:49616.

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  670. Parameter Estimation and Model Testing for Markov Processes via Conditional Characteristic Functions. (2013). Yu, Cindy ; Chen, Song Xi ; Song Xi Chen, ; Peng, Liang.
    In: MPRA Paper.
    RePEc:pra:mprapa:46273.

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  671. Investment, Tobins q, and Interest Rates. (2013). Wang, Neng ; Yang, Jinqiang.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19327.

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  672. Risk Premia in Crude Oil Futures Prices. (2013). Wu, Jing Cynthia ; Hamilton, James.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19056.

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  673. Non-fully invested derivative-free bond index replication. (2013). Oeuvray, Rodrigue ; Tuchschmid, Nils ; Markov, Iliya.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:27:y:2013:i:1:p:101-124.

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  674. Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations. (2013). Shiohama, Takayuki ; Miura, Masakazu ; Tamaki, Kenichiro .
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:20:y:2013:i:4:p:311-344.

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  675. Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations. (2013). Chen, Nan ; Huang, Zhengyu .
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:38:y:2013:i:3:p:591-616.

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  676. Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies. (2013). Munk, Claus ; Bick, Bjorn ; Kraft, Holger.
    In: Management Science.
    RePEc:inm:ormnsc:v:59:y:2013:i:2:p:485-503.

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  677. Estimating Parameters of Short-Term Real Interest Rate Models. (2013). Khramov, Vadim.
    In: IMF Working Papers.
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  678. Testing the Preferred-Habitat Theory: The Role ofTime-Varying Risk Aversion. (2013). Strohsal, Till.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2013-043.

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  679. Pricing Rainfall Derivatives at the CME. (2013). Ritter, Matthias ; Odening, Martin ; López Cabrera, Brenda.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2013-005.

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  680. The informational content of the embedded deflation option in TIPS. (2013). Grishchenko, Olesya ; Zhang, Jianing ; Vanden, Joel M..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2013-24.

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  681. Estimating term structure models with the Kalman filter. (2013). Prokopczuk, Marcel ; Wu, Yingying.
    In: Chapters.
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  682. A semi-Markov modulated interest rate model. (2013). Salvi, Giovanni ; Manca, Raimondo ; Damico, Guglielmo.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:83:y:2013:i:9:p:2094-2102.

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  683. Generalized Ornstein–Uhlenbeck process by Doob’s theorem and the time evolution of financial prices. (2013). Figueiredo, Annibal ; de Castro, Marcio T. ; Mendes, Fabio M. ; da Fonseca, Regina C. B., .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:7:p:1671-1680.

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  684. Existence of financial equilibria in continuous time with potentially complete markets. (2013). Riedel, Frank ; Herzberg, Frederik.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:49:y:2013:i:5:p:398-404.

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  685. An evaluation of some popular investment strategies under stochastic interest rates. (2013). Kung, James J. ; Wu, E-Ching, .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:94:y:2013:i:c:p:96-108.

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  686. Goodness-of-fit test for stochastic volatility models. (2013). Lin, Liang-Ching ; Lee, Sangyeol ; Guo, Meihui .
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:116:y:2013:i:c:p:473-498.

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  687. Minimax regret discounting. (2013). Iverson, Terrence.
    In: Journal of Environmental Economics and Management.
    RePEc:eee:jeeman:v:66:y:2013:i:3:p:598-608.

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  688. Asymmetry in government bond returns. (2013). Nagakura, Daisuke ; Koerber, Lena ; Fujiwara, Ippei ; Korber, Lena Mareen .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:8:p:3218-3226.

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  689. Asset financing with credit risk. (2013). Golbeck, Steven ; Linetsky, Vadim.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:1:p:43-59.

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  690. Predicting short-term interest rates using Bayesian model averaging: Evidence from weekly and high frequency data. (2013). Tsiaplias, Sarantis ; Suardi, Sandy ; Chua, Chew.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:29:y:2013:i:3:p:442-455.

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  691. Market Value Margin calculations under the Cost of Capital approach within a Bayesian chain ladder framework. (2013). Robert, Christian Y..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:53:y:2013:i:1:p:216-229.

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  692. When can insurers offer products that dominate delayed old-age pension benefit claiming?. (2013). De Waegenaere, Anja ; Nijman, Theo E. ; Sanders, Lisanne .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:53:y:2013:i:1:p:134-149.

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  693. Pricing catastrophe risk bonds: A mixed approximation method. (2013). Ma, Chao-Qun.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:52:y:2013:i:2:p:243-254.

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  694. Bond Pricing and the Macroeconomy. (2013). Duffee, Gregory R.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-b-907-967.

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  695. Density approximations for multivariate affine jump-diffusion processes. (2013). Filipovi, Damir ; Schneider, Paul ; Mayerhofer, Eberhard .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:176:y:2013:i:2:p:93-111.

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  696. Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach. (2013). SONG, ZHAOGANG ; Chen, Bin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:173:y:2013:i:1:p:83-107.

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  697. Valuation of double trigger catastrophe options with counterparty risk. (2013). Yang, Sheng-Yung ; Wang, Alan T. ; Liu, Yu-Hong ; Jiang, I-Ming, .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:25:y:2013:i:c:p:226-242.

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  698. Upper and lower bounds for convex value functions of derivative contracts. (2013). Ben-Ameur, Hatem ; Diaby, Vacaba ; Fakhfakh, Tarek ; de Frutos, Javier.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:34:y:2013:i:c:p:69-75.

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  699. An empirical estimation for mean-reverting coal prices with long memory. (2013). Sun, QI ; Xiao, Weilin ; Xu, Weijun.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:33:y:2013:i:c:p:174-181.

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  700. Forecasting the yield curve and the role of macroeconomic information in Turkey. (2013). Kaya, Huseyin.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:33:y:2013:i:c:p:1-7.

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  701. The yield curve and the macroeconomy: Evidence from Turkey. (2013). Kaya, Huseyin.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:32:y:2013:i:c:p:100-107.

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  702. Factors causing movements of yield curve in India. (2013). Kanjilal, Kakali.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:31:y:2013:i:c:p:739-751.

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  703. A fractal version of the Hull–White interest rate model. (2013). Hainaut, Donatien.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:31:y:2013:i:c:p:323-334.

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  704. Pricing bond options under a Markovian regime-switching Hull–White model. (2013). Siu, Tak Kuen ; Shen, Yang.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:30:y:2013:i:c:p:933-940.

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  705. Interest rate volatility: a consol rate-based measure. (2013). Durré, Alain ; Durre, Alain ; Brousseau, Vincent .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20131505.

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  706. Pricing of Corporate Loan : Credit Risk and Liquidity cost. (2013). Papin, Timothee.
    In: Economics Thesis from University Paris Dauphine.
    RePEc:dau:thesis:123456789/12545.

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  707. Mean-variance target-based optimisation in DC plan with stochastic interest rate. (2013). Menoncin, Francesco ; Vigna, Elena.
    In: Carlo Alberto Notebooks.
    RePEc:cca:wpaper:337.

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  708. Banks Stockholdings and the Correlation between Bonds and Stocks: A Portfolio Theoretic Approach. (2013). Kan, Kazutoshi ; Fukuda, Yoshiyuki ; Sugihara, Yoshihiko.
    In: Bank of Japan Working Paper Series.
    RePEc:boj:bojwps:13-e-6.

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  709. Term Structure Modeling and Forecasting of Government Bond Yields. (2013). Waliullah, ; Tsukuda, Yoshihiko ; Matsuda, Yasumasa.
    In: Economic Papers.
    RePEc:bla:econpa:v:32:y:2013:i:4:p:535-560.

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  710. Forecasting the Term Structure of Interest Rates in Mexico Using an Affine Model. (2013). Elizondo, Rocio.
    In: Working Papers.
    RePEc:bdm:wpaper:2013-03.

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  711. Hedging Against the Interest-rate Risk by Measuring the Yield-curve Movement. (2013). Tuo, Zhongliang .
    In: Papers.
    RePEc:arx:papers:1312.6841.

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  712. Extrapolating the term structure of interest rates with parameter uncertainty. (2013). Pelsser, Antoon ; Balter, Anne ; Schotman, Peter .
    In: Papers.
    RePEc:arx:papers:1312.5073.

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  713. Markov switching quadratic term structure models. (2013). Goutte, Stéphane.
    In: Papers.
    RePEc:arx:papers:1305.2693.

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  714. International Financial Transmission of the US Monetary Policy: An Empirical Assessment. (2012). Mirkov, Nikola.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2012:01.

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  715. Term Structure Modeling and Forecasting of Government Bond Yields : Does Macroeconomic Factors Imply Better Out-of-Sample Forecasts?. (2012). Waliullah, ; Matsuda, Yasumasa.
    In: TERG Discussion Papers.
    RePEc:toh:tergaa:304.

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  716. Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Does Macroeconomic Factors Imply Better Out-of-Sample Forecasts?. (2012). Matsuda, Yasumasa ; Waliullah, ; Tsukuda, Yoshihiko.
    In: TERG Discussion Papers.
    RePEc:toh:tergaa:287.

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  717. Aggregating Credit and Market Risk: The Impact of Model Specification. (2012). Verhoef, Bastiaan ; Lucas, Andre.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20120057.

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  718. Term structure movements implicit in Asian option prices. (2012). Almeida, Caio ; Vicente, Jose.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:12:y:2012:i:1:p:119-134.

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  719. Bonds and Options in Exponentially Affine Bond Models. (2012). Bermin, Hans-Peter .
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:19:y:2012:i:6:p:513-534.

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  720. Robust parameter estimation for the Ornstein–Uhlenbeck process. (2012). Rieder, Sonja .
    In: Statistical Methods & Applications.
    RePEc:spr:stmapp:v:21:y:2012:i:4:p:411-436.

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  721. A vector-autoregression analysis of credit and liquidity factor dynamics in US LIBOR and Euribor swap markets. (2012). Murphy, Finbarr.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:36:y:2012:i:2:p:351-370.

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  722. Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations. (2012). Hurlimann, Werner.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:35:y:2012:i:2:p:171-202.

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  723. Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes. (2012). Zhou, Qiankun ; Yu, Jun.
    In: Working Papers.
    RePEc:siu:wpaper:11-2012.

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  724. Non-Parametric Pricing of Interest Rates Options. (2012). Mauad, Roberto ; Laurini, Márcio.
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:32:y:2012:i:2:a:13534.

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  725. Bayesian Semiparametric Dynamic Nelson-Siegel Model. (2012). Çakmaklı, Cem ; Akmakli, Cem .
    In: Working Paper series.
    RePEc:rim:rimwps:59_12.

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  726. VOLATILITY REGIMES FOR THE VIX INDEX. (2012). Marabel Romo, Jacinto.
    In: Revista de Economia Aplicada.
    RePEc:rev:reveca:v:20:y:2012:i:2:p:111-134.

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  727. Delta Hedging in Discrete Time under Stochastic Interest Rate. (2012). Herzel, Stefano.
    In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
    RePEc:pia:wpaper:110/2012.

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  728. Estimation of the Term Structure of Interest Rates: Methodology and Applications. (2012). Gimeno, Ricardo ; Berenguer, Emma ; Berenguer-Carceles, Emma ; Nave, Juan M..
    In: Working Papers.
    RePEc:pab:fiecac:12.06.

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  729. On the Asset Market View of Exchange Rates. (2012). Burnside, Craig ; Graveline, Jeremy J..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18646.

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  730. Valuation Risk and Asset Pricing. (2012). Rebelo, Sergio ; Eichenbaum, Martin ; Albuquerque, Rui.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18617.

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  731. Identification and Estimation of Gaussian Affine Term Structure Models. (2012). Wu, Jing Cynthia ; Hamilton, James.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17772.

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  732. Valuación financiera de proyectos de inversión en nuevas tecnologías con opciones reales. (2012). Venegas-Martínez, Francisco ; Pablo, Lopez Sarabia .
    In: Contaduría y Administración.
    RePEc:nax:conyad:v:57:y:2012:i:3:p:115-145.

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  733. Semiparametric Methods in Nonlinear Time Series Analysis: A Selective Review. (2012). Saart, Patrick ; GAO, Jiti.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2012-21.

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  734. Using Richardson extrapolation techniques to price American options with alternative stochastic processes. (2012). TSAI, WEI-CHE ; Wang, Yaw-Huei ; Lin, Jun-Biao ; Chang, Chuang-Chang.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:39:y:2012:i:3:p:383-406.

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  735. Analytical bounds for Treasury bond futures prices. (2012). Yeh, Shih-Kuo ; Chen, Ren-Raw.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:39:y:2012:i:2:p:209-239.

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  736. What Drives Short Rate Dynamics? A Functional Gradient Descent Approach. (2012). Audrino, Francesco.
    In: Computational Economics.
    RePEc:kap:compec:v:39:y:2012:i:3:p:315-335.

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  737. The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices. (2012). Faria, Gonçalo ; Correia-da-Silva, Joao ; João Correia-da-Silva, ; João Correia-da-Silva, .
    In: Annals of Finance.
    RePEc:kap:annfin:v:8:y:2012:i:4:p:507-531.

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  738. Bond pricing and the macroeconomy. (2012). Duffee, Greg.
    In: Economics Working Paper Archive.
    RePEc:jhu:papers:598.

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  739. A Framework for Extracting the Probability of Default from Stock Option Prices. (2012). Vinogradov, Dmitri ; Takeyama, Azusa ; Constantinou, Nick .
    In: IMES Discussion Paper Series.
    RePEc:ime:imedps:12-e-14.

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  740. Forecasting Term Structure of HIBOR Swap Rates. (2012). Tai, Shih-Wen ; Kuo, Mei-Mei ; Lin, Bing-Huei.
    In: The International Journal of Business and Finance Research.
    RePEc:ibf:ijbfre:v:6:y:2012:i:4:p:87-100.

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  741. WHY DO BANKS DEFAULT WHEN ASSET QUALITY IS HIGH?. (2012). Chen, Tai-Yuan ; Wu, Po-Cheng ; Kao, Lie-Jane .
    In: The International Journal of Business and Finance Research.
    RePEc:ibf:ijbfre:v:6:y:2012:i:1:p:83-96.

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  742. Determinants and Dynamics of Price Disparity in Onshore and Offshore Renminbi Forward Exchange Rate Markets. (2012). Li, Ka Fai ; Hui, Cho-Hoi ; Chung, Tsz-Kin.
    In: Working Papers.
    RePEc:hkm:wpaper:242012.

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  743. Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions. (2012). SALHI, Yahia ; Loisel, Stéphane ; Bensusan, Harry ; el Karoui, Nicole.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00768526.

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  744. Term structure modelling with supply factors and the Federal Reserves Large Scale Asset Purchase programs. (2012). Wei, Min ; Li, Canlin.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2012-37.

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  745. Independent Spike Models: Estimation and Validation. (2012). Lindstrom, Erik ; Regland, Fredric .
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:62:y:2012:i:2:p:180-196.

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  746. Occupation times of the Ornstein–Uhlenbeck process: Functional PCA and evidence from electricity prices. (2012). Densing, Martin.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:23:p:5818-5826.

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  747. Spontaneous symmetry breaking of arbitrage. (2012). Choi, Jaehyung .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:11:p:3206-3218.

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  748. Testing for the Box–Cox parameter for an integrated process. (2012). McAleer, Michael ; Huang, Jian ; Kobayashi, Masahito .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:83:y:2012:i:c:p:1-9.

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  749. Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models. (2012). Beliaeva, Natalia ; Nawalkha, Sanjay .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:1:p:151-163.

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  750. Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields. (2012). Hautsch, Nikolaus ; Ou, Yangguoyi .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:11:p:2988-3007.

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  751. Quantifying credit and market risk under Solvency II: Standard approach versus internal model. (2012). Martin, Michael ; Gatzert, Nadine.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:51:y:2012:i:3:p:649-666.

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  752. Optimal asset allocation for DC pension plans under inflation. (2012). Hung, Mao-Wei ; Han, Nan-Wei .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:51:y:2012:i:1:p:172-181.

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  753. Delta–Gamma hedging of mortality and interest rate risk. (2012). Regis, Luca ; luciano, elisa ; Vigna, Elena.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:50:y:2012:i:3:p:402-412.

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  754. The relationship between reciprocal currency futures prices. (2012). Bick, Avi .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:9:y:2012:i:4:p:194-201.

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  755. Modeling extreme dependence between European electricity markets. (2012). Lindstrm, Erik ; Regland, Fredrik .
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:4:p:899-904.

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  756. Estimation of semiparametric locally stationary diffusion models. (2012). LINTON, OLIVER ; Koo, Bonsoo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:170:y:2012:i:1:p:210-233.

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  757. Stationarity-based specification tests for diffusions when the process is nonstationary. (2012). Ait-Sahalia, Yacine ; Park, Joon Y..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:169:y:2012:i:2:p:279-292.

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  758. Bias in the estimation of the mean reversion parameter in continuous time models. (2012). Yu, Jun ; JunYu, .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:169:y:2012:i:1:p:114-122.

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  759. Identification and estimation of Gaussian affine term structure models. (2012). Wu, Jing Cynthia ; Hamilton, James.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:168:y:2012:i:2:p:315-331.

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  760. Quantile regression estimation for discretely observed SDE models with compound Poisson jumps. (2012). Noh, Jungsik ; Lee, Seung Y..
    In: Economics Letters.
    RePEc:eee:ecolet:v:117:y:2012:i:3:p:734-738.

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  761. A new energy model to capture the behavior of energy price processes. (2012). Sun, QI ; Xiao, Weilin ; Xu, Weijun.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:5:p:1585-1591.

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  762. The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts. (2012). Munk, Claus ; Larsen, Linda Sandris .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:2:p:266-293.

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  763. 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.

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  764. Information ratio test for model misspecification on parametric structures in stochastic diffusion models. (2012). Zhang, Shulin ; Zhou, Qian M ; Shi, Daimin ; PEter, .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:12:p:3975-3987.

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  765. Bayesian inference in a Stochastic Volatility Nelson–Siegel model. (2012). Yang, Fuyu ; Hautsch, Nikolaus.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:11:p:3774-3792.

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  766. Robust analysis of default intensity. (2012). Riani, Marco ; bellini, tiziano.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:11:p:3276-3285.

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  767. An arbitrage-free interest rate model consistent with economic constraints for Long-Term Asset Liability Management. (2012). Vialas, Christine ; Aid, Rene ; Touzi, Nizar.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/11497.

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  768. TESTING FOR THE MARKOV PROPERTY IN TIME SERIES. (2012). Hong, Yongmiao ; Chen, Bin.
    In: Econometric Theory.
    RePEc:cup:etheor:v:28:y:2012:i:01:p:130-178_00.

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  769. Estimación dinámica de una estructura de tasas de interés para Colombia: análisis empírico con filtros de Kalman. (2012). Pantoja, Javier ; Javier Orlando Pantoja Robayo, ; Castao, Rogelio Maldonado ; Rueda, Natalia Zapata .
    In: DOCUMENTOS DE TRABAJO CIEF.
    RePEc:col:000122:010631.

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  770. Inflation Derivatives Under Inflation Target Regimes. (2012). Raviv, Alon ; Hilscher, Jens ; Avriel, Mordecai .
    In: Working Papers.
    RePEc:brd:wpaper:43.

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  771. Modified Logistic Model for Mortality Forecasting and the Application of Mortality-Linked Securities. (2012). Huang, Hong-Chih ; Hwang, Yawen .
    In: Asia-Pacific Journal of Risk and Insurance.
    RePEc:bpj:apjrin:v:6:y:2012:i:1:n:4.

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  772. Evaluating Natural Resource Investments under Different Model Dynamics: Managerial Insights. (2012). Tsekrekos, Andrianos ; Shackleton, Mark ; Wojakowski, Rafa.
    In: European Financial Management.
    RePEc:bla:eufman:v:18:y:2012:i:4:p:543-575.

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  773. A Semi-Markov Modulated Interest Rate Model. (2012). Salvi, Giovanni ; Manca, Raimondo ; D'Amico, Guglielmo.
    In: Papers.
    RePEc:arx:papers:1210.3164.

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

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  775. Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM. (2012). Charles-Cadogan, G..
    In: Papers.
    RePEc:arx:papers:1206.4562.

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  776. Pricing electricity derivatives within a Markov regime-switching model. (2012). Janczura, Joanna.
    In: Papers.
    RePEc:arx:papers:1203.5442.

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  777. Spontaneous symmetry breaking of arbitrage. (2012). Choi, Jaehyung .
    In: Papers.
    RePEc:arx:papers:1107.5122.

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  778. Evolutionary Model of Non-Durable Markets. (2011). Kaldasch, Joachim.
    In: EconStor Preprints.
    RePEc:zbw:esprep:50531.

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  779. Optimal portfolio‐consumption choice under stochastic inflation with nominal and indexed bonds. (2011). Hung, Maowei ; Han, Nanwei ; Chou, Yingyin.
    In: Applied Stochastic Models in Business and Industry.
    RePEc:wly:apsmbi:v:27:y:2011:i:6:p:691-706.

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  780. Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility. (2011). Maina, Samuel Chege .
    In: PhD Thesis.
    RePEc:uts:finphd:5.

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  781. Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility. (2011). Maina, Samuel Chege .
    In: PhD Thesis.
    RePEc:uts:finphd:1-2011.

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  782. Affine Term Structure Constraints on Euribor data. (2011). Tarditi, Giulio.
    In: Department of Economics University of Siena.
    RePEc:usi:wpaper:613.

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  783. Testing the Box-Cox Parameter for an Integrated Process. (2011). McAleer, Michael ; Kobayashi, Masahito ; Huang, Jian.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1119.

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  784. Volatile earnings growth, the price of earnings and the Value premium. (2011). Alcock, Jamie ; Wood, James ; Mollee, Thomas .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2011:i:6:p:805-815.

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  785. A comprehensive structural model for defaultable fixed-income bonds. (2011). Agliardi, Rossella.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2011:i:5:p:749-762.

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  786. Asset Prices, Booms and Recessions. (2011). Semmler, Willi.
    In: Springer Books.
    RePEc:spr:sprbok:978-3-642-20680-1.

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  787. Numerical Evaluation of Dynamic Behavior of Ornstein–Uhlenbeck Processes Modified by Various Boundaries and its Application to Pricing Barrier Options. (2011). Gotoh, Jun-Ya ; Sumita, Ushio ; Jin, Hui.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:13:y:2011:i:1:d:10.1007_s11009-009-9152-4.

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  788. Real and nominal UK interest rates, ERM membership, and inflation targeting. (2011). Reschreiter, Andreas.
    In: Empirical Economics.
    RePEc:spr:empeco:v:40:y:2011:i:3:p:559-579.

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  789. No-Arbitrage One-Factor Models of the South African Term-Structure of Interest Rates. (2011). Hassan, Shakill ; Aling, Peter .
    In: Working Papers.
    RePEc:rza:wpaper:246.

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  790. Comparison of Bayesian Model Selection Criteria and Conditional Kolmogorov Test as Applied to Spot Asset Pricing Models. (2011). SHEN, XIANGJIN ; Tsurumi, Hiroki .
    In: Departmental Working Papers.
    RePEc:rut:rutres:201126.

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  791. In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008. (2011). Swanson, Norman ; Cai, Lili .
    In: Departmental Working Papers.
    RePEc:rut:rutres:201102.

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  792. On the Approximate Maximum Likelihood Estimation for Diffusion Processes. (2011). Chang, Jinyuan ; Chen, Song Xi ; Song Xi Chen, .
    In: MPRA Paper.
    RePEc:pra:mprapa:46279.

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  793. Evolutionary Model of Non-Durable Markets. (2011). Kaldasch, Joachim.
    In: MPRA Paper.
    RePEc:pra:mprapa:33743.

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  794. One numerical procedure for two risk factors modeling. (2011). Cocozza, Rosa ; De Simone, Antonio .
    In: MPRA Paper.
    RePEc:pra:mprapa:30859.

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  795. Sources of Entropy in Representative Agent Models. (2011). Zin, Stanley ; Chernov, Mikhail ; Backus, David.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17219.

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  796. Currency Total Return Swaps: Valuation and Risk Factor Analysis. (2011). Hübner, Georges ; Hubner, Georges ; Cuchet, Romain ; Franois, Pascal.
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:1128.

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  797. 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.

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  798. Delta and Gamma hedging of mortality and interest rate risk. (2011). Regis, Luca ; luciano, elisa ; Vigna, Elena.
    In: ICER Working Papers - Applied Mathematics Series.
    RePEc:icr:wpmath:01-2011.

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  799. Predicting Short-Term Interest Rates: Does Bayesian Model Averaging Provide Forecast Improvement?. (2011). Tsiaplias, Sarantis ; Suardi, Sandy ; Chua, Chew.
    In: Melbourne Institute Working Paper Series.
    RePEc:iae:iaewps:wp2011n01.

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  800. Continuous Time Models of Interest Rate: Testing Peso-Dollar Exchange Rate. (2011). Ortega, Elizabeth ; Nuez, Jose Antonio .
    In: Economía: teoría y práctica.
    RePEc:ety:journl:v:34:y:2011:i:1:p:43-63.

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  801. Testing the Box-Cox Parameter for an Integrated Process. (2011). McAleer, Michael ; Huang, Jingzhi ; Kobayashi, M..
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:22150.

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  802. Capital Investments and Real Options: New Proposals. (2011). Aragon, Beatriz Mota .
    In: Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics).
    RePEc:ega:rafega:201105.

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  803. Statistical properties of derivatives: A journey in term structures. (2011). Lautier, Delphine ; Raynaud, Franck.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:11:p:2009-2019.

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  804. Gaussian estimation of continuous time diffusions of UK interest rates. (2011). Ben Nowman, K..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:81:y:2011:i:8:p:1618-1624.

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  805. Time-variation in term premia: International survey-based evidence. (2011). Wolff, Christian ; Verschoor, Willem ; Jongen, Ron ; Wolff, Christian C. P., ; Verschoor, Willem F. C., .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:30:y:2011:i:4:p:605-622.

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  806. Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models. (2011). Mele, Antonio ; Kristensen, Dennis.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:102:y:2011:i:2:p:390-415.

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  807. Optimal close-to-home biases in asset allocation. (2011). Walker, Eduardo ; Varas, Felipe.
    In: Journal of Business Research.
    RePEc:eee:jbrese:v:64:y:2011:i:3:p:328-337.

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  808. The term structure of banking crisis risk in the United States: A market data based compound option approach. (2011). Eichler, Stefan ; Karmann, Alexander ; Maltritz, Dominik .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:4:p:876-885.

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  809. Term structure modelling with observable state variables. (2011). Huse, Cristian.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:12:p:3240-3252.

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  810. Forecasting temperature to price CME temperature derivatives. (2011). Dupuis, Debbie J..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y::i:2:p:602-618.

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  811. Forecasting the term structures of Treasury and corporate yields using dynamic Nelson-Siegel models. (2011). Yu, Wei-Choun ; Zivot, Eric .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y::i:2:p:579-591.

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  812. Forecasting temperature to price CME temperature derivatives. (2011). Dupuis, Debbie J..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y:2011:i:2:p:602-618.

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  813. Forecasting the term structures of Treasury and corporate yields using dynamic Nelson-Siegel models. (2011). Yu, Wei-Choun ; Zivot, Eric .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y:2011:i:2:p:579-591.

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  814. Pricing catastrophe swaps: A contingent claims approach. (2011). Braun, Alexander.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:49:y:2011:i:3:p:520-536.

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  815. Exponential change of measure applied to term structures of interest rates and exchange rates. (2011). Bo, Lijun.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:49:y:2011:i:2:p:216-225.

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  816. On optimal pension management in a stochastic framework with exponential utility. (2011). Ma, Qing-Ping .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:49:y:2011:i:1:p:61-69.

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  817. Calibrating affine stochastic mortality models using term assurance premiums. (2011). Fabozzi, Frank ; Russo, Vincenzo ; Rachev, Svetlozar ; Ortobelli, Sergio ; Giacometti, Rosella.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:49:y:2011:i:1:p:53-60.

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  818. Risk analysis and valuation of life insurance contracts: Combining actuarial and financial approaches. (2011). Kling, Alexander ; Graf, Stefan ; Ru, Jochen .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:49:y:2011:i:1:p:115-125.

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  819. Fast approximations of bond option prices under CKLS models. (2011). Tangman, D. Y. ; Thakoor, N. ; Bhuruth, M. ; Dookhitram, K..
    In: Finance Research Letters.
    RePEc:eee:finlet:v:8:y:2011:i:4:p:206-212.

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  820. A note on the predictability of excess bond returns and regime shifts. (2011). Zhu, Xiaoneng .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:8:y:2011:i:2:p:101-109.

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  821. Forecasting the yield curve with linear factor models. (2011). Moreira, Ajax ; Matsumura, Marco ; VICENTE, JOS .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:20:y:2011:i:5:p:237-243.

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  822. In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008. (2011). Swanson, Norman ; Cai, Lili .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:4:p:743-764.

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  823. Modelling and forecasting short-term interest rate volatility: A semiparametric approach. (2011). Suardi, Sandy ; Hou, Aijun .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:4:p:692-710.

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  824. How arbitrage-free is the Nelson-Siegel model?. (2011). Coroneo, Laura ; Nyholm, Ken ; Vidova-Koleva, Rositsa .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:3:p:393-407.

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  825. A mixed integer linear programming model for optimal sovereign debt issuance. (2011). Canepa, Alessandra ; Date, P. ; Abdel-Jawad, M..
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:214:y:2011:i:3:p:749-758.

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  826. Interest rate term structure modelling. (2011). Schmidt, Wolfgang M..
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:214:y:2011:i:1:p:1-14.

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  827. Generalized spectral testing for multivariate continuous-time models. (2011). Hong, Yongmiao ; Chen, Bin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:164:y:2011:i:2:p:268-293.

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  828. Nonparametric model validations for hidden Markov models with applications in financial econometrics. (2011). Zhao, Zhibiao.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:162:y:2011:i:2:p:225-239.

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  829. A martingale approach for testing diffusion models based on infinitesimal operator. (2011). SONG, ZHAOGANG.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:162:y:2011:i:2:p:189-212.

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  830. Bias in estimating multivariate and univariate diffusions. (2011). Yu, Jun ; Wang, Xiaohu ; Phillips, Peter ; Phillips, Peter C. B., .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:161:y:2011:i:2:p:228-245.

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  831. Affine Nelson-Siegel model. (2011). Alfaro, Rodrigo.
    In: Economics Letters.
    RePEc:eee:ecolet:v:110:y:2011:i:1:p:1-3.

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  832. The effects of the monetary policy regime shift to inflation targeting on the real interest rate in the United Kingdom. (2011). Reschreiter, Andreas.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:28:y:2011:i:1:p:754-759.

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  833. Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy. (2011). Zhang, Chi ; He, Ting ; Gao, Quansheng .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:28:y:2011:i:1:p:147-156.

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  834. The effects of the monetary policy regime shift to inflation targeting on the real interest rate in the United Kingdom. (2011). Reschreiter, Andreas.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:28:y:2011:i:1-2:p:754-759.

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  835. Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy. (2011). Zhang, Chi ; He, Ting ; Gao, Quansheng .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:28:y:2011:i:1-2:p:147-156.

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  836. Discrete time Wishart term structure models. (2011). gourieroux, christian ; Sufana, Razvan .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:35:y:2011:i:6:p:815-824.

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  837. Goodness-of-fit test for interest rate models: An approach based on empirical processes. (2011). Monsalve-Cobis, Abelardo ; Gonzalez-Manteiga, Wenceslao ; Febrero-Bande, Manuel.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:55:y:2011:i:12:p:3073-3092.

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  838. An impact assessment of electricity and emission allowances pricing in optimised expansion planning of power sector portfolios. (2011). Rentizelas, Athanasios A. ; Tolis, Athanasios I..
    In: Applied Energy.
    RePEc:eee:appene:v:88:y:2011:i:11:p:3791-3806.

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  839. Valuation of Liabilities in Hybrid Pension Plans. (2011). Broeders, Dirk ; Chen, AN ; Rijsbergen, David .
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:326.

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  840. Statistical properties of derivatives: a journey in term structures. (2011). Lautier, Delphine ; Raynaud, Franck.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/5528.

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  841. Stress Tests for Banking Sector: A Technical Note. (2011). Sagner, Andres ; Alfaro, Rodrigo.
    In: Working Papers Central Bank of Chile.
    RePEc:chb:bcchwp:610.

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  842. Recovering Risk-Neutral Densities from Brazilian Interest Rate Options. (2011). ORNELAS, JOSE ; Haas, Jose Renato ; Takami, Marcelo Yoshio.
    In: Brazilian Review of Finance.
    RePEc:brf:journl:v:9:y:2011:i:1:p:9-26.

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  843. On the Term Structure of Interest Rates of the Mexican Government. (2011). Garcia-Verdu, Santiago.
    In: Working Papers.
    RePEc:bdm:wpaper:2011-18.

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  844. Multifractal modeling of short-term interest rates. (2011). Rypdal, M. ; Lovsletten, O..
    In: Papers.
    RePEc:arx:papers:1111.5265.

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  845. A Stochastic Model for the Analysis of Demographic Risk in Pay-As-You-Go Pension Funds. (2011). Maccioni, Alessandro Fiori.
    In: Papers.
    RePEc:arx:papers:1106.5081.

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  846. STOCHASTIC FILTERING WITH APPLICATIONS IN FINANCE:. (2010). Bhar, Ramaprasad.
    In: World Scientific Books.
    RePEc:wsi:wsbook:7736.

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  847. Shrinkage drift parameter estimation for multi‐factor Ornstein–Uhlenbeck processes. (2010). Ahmed, Ejaz S ; Nkurunziza, Severien.
    In: Applied Stochastic Models in Business and Industry.
    RePEc:wly:apsmbi:v:26:y:2010:i:2:p:103-124.

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  848. Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios. (2010). , Ming.
    In: PhD Thesis.
    RePEc:uts:finphd:4-2010.

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  849. Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios. (2010). Huang, Ming Xi .
    In: PhD Thesis.
    RePEc:uts:finphd:15.

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  850. When Can Insurers Offer Products That Dominate Delayed Old-Age Pension Benefit Claiming?. (2010). Nijman, T E ; De Waegenaere, A. M. B., ; De Waegenaere , A. M. B., ; Sanders, E. A. T., .
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:ea3f9bbb-92ce-4dfe-a1fe-e9d0bf305651.

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  851. When Can Insurers Offer Products That Dominate Delayed Old-Age Pension Benefit Claiming?. (2010). Nijman, Theo ; De Waegenaere, Anja ; De Waegenaere , A. M. B., ; Sanders, E. A. T., ; De Waegenaere, A. M. B., .
    In: Discussion Paper.
    RePEc:tiu:tiucen:ea3f9bbb-92ce-4dfe-a1fe-e9d0bf305651.

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  852. Pricing a defaultable bond with a stochastic recovery rate. (2010). Tsai, Ming-Shann ; Chiang, Shu-Ling .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:10:y:2010:i:1:p:49-58.

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  853. Liquidity spreads in the corporate bondmarket: Estimation using a semi-parametric model. (2010). Chang, Jung Hsien ; Hung, Maowei.
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:37:y:2010:i:3:p:359-374.

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  854. On the future contract quality option: a new look. (2010). Balbas, Alejandro ; Reichardt, Susana .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:20:y:2010:i:15:p:1217-1229.

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  855. Extended black sovereign credit default swap pricing model. (2010). Realdon, Marco ; Shi, Cheng Qin .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:17:y:2010:i:12:p:1133-1137.

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  856. On the look-out for a white knight: options-based calculation of probability and expected value of increased bids in hostile takeover battles. (2010). Eichler, Stefan ; Maltritz, Dominik .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:17:y:2010:i:11:p:1033-1036.

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  857. Bayesian Inference Applied to Dynamic Nelson-Siegel Model with Stochastic Volatility. (2010). Laurini, Márcio ; Portugal, Marcelo S ; Caldeira, Joo F.
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:30:y:2010:i:1:a:3502.

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  858. An Application of Contingent Claim Analysis to the Portuguese Banking System. (2010). Silva, Nuno ; Antunes, António.
    In: Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies.
    RePEc:ptu:bdpart:r201002.

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  859. Inference for Noisy Long Run Component Process. (2010). Jasiak, Joann ; Gourieroux, Christian.
    In: MPRA Paper.
    RePEc:pra:mprapa:98987.

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  860. Long-term interest rates and consol bond valuation. (2010). Villaverde, Michael ; Medova, Elena A.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:11:y:2010:i:2:d:10.1057_jam.2010.7.

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  861. On Correlation and Default Clustering in Credit Markets. (2010). Berndt, Antje ; Sun, Zhiqiang ; Ritchken, Peter .
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:23:y:2010:i:7:p:2680-2729.

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  862. Adaptive LASSO-type estimation for ergodic diffusion processes. (2010). De Gregorio, Alessandro .
    In: Departmental Working Papers.
    RePEc:mil:wpdepa:2010-13.

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  863. Cointegration Analysis with State Space Models. (2010). Wagner, Martin.
    In: Economics Series.
    RePEc:ihs:ihsesp:248.

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  864. The efficacy of large-scale asset purchases at the zero lower bound. (2010). Doh, Taeyoung.
    In: Economic Review.
    RePEc:fip:fedker:y:2010:i:qii:p:5-34:n:v.95no.2.

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  865. Can oil prices help estimate commodity futures prices? The cases of copper and silver. (2010). Eterovic, Francisco ; Cortazar, Gonzalo.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:35:y:2010:i:4:p:283-291.

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  866. Wicksells Classical Dichotomy: Is the natural rate of interest independent of the money rate of interest?. (2010). Beenstock, Michael ; Ilek, Alex .
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:32:y:2010:i:1:p:366-377.

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  867. Estimating affine multifactor term structure models using closed-form likelihood expansions. (2010). Ait-Sahalia, Yacine ; Kimmel, Robert L..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:98:y:2010:i:1:p:113-144.

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  868. Dynamic asset allocation with stochastic income and interest rates. (2010). Munk, Claus ; Sorensen, Carsten .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:96:y:2010:i:3:p:433-462.

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  869. Analytic valuation formulas for range notes and an affine term structure model with jump risks. (2010). Jang, Bong-Gyu ; Yoon, Jihee.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:9:p:2132-2145.

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  870. Chinas official rates and bond yields. (2010). Johansson, Anders ; Fan, Longzhen .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:5:p:996-1007.

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  871. Is the Home Equity Conversion Mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform. (2010). Chen, Hua ; Wang, Shaun S. ; Cox, Samuel H..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:46:y:2010:i:2:p:371-384.

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  872. A benchmarking approach to optimal asset allocation for insurers and pension funds. (2010). Wong, Bernard ; Lim, Andrew E. B., .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:46:y:2010:i:2:p:317-327.

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  873. On a variational formulation used in credit risk modeling. (2010). Pacelli, Graziella ; Ballestra, Luca Vincenzo.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:7:y:2010:i:2:p:110-118.

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  874. Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations. (2010). Tamaki, Kenichiro ; Honda, Tetsuhiro ; Shiohama, Takayuki .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:7:y:2010:i:1:p:60-69.

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  875. Modelling the UK and Euro yield curves using the Generalized Vasicek model: Empirical results from panel data for one and two factor models. (2010). Ben Nowman, Khalid .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:19:y:2010:i:5:p:334-341.

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  876. Modelling short and long-term risks in power markets: Empirical evidence from Nord Pool. (2010). Nomikos, Nikos K. ; Soldatos, Orestes A..
    In: Energy Policy.
    RePEc:eee:enepol:v:38:y:2010:i:10:p:5671-5683.

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  877. An empirical comparison of alternate regime-switching models for electricity spot prices. (2010). Weron, Rafał ; Janczura, Joanna.
    In: Energy Economics.
    RePEc:eee:eneeco:v:32:y:2010:i:5:p:1059-1073.

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  878. Analysis of model implied volatility for jump diffusion models: Empirical evidence from the Nordpool market. (2010). Nomikos, Nikos K. ; Soldatos, Orestes A..
    In: Energy Economics.
    RePEc:eee:eneeco:v:32:y:2010:i:2:p:302-312.

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  879. Pricing caps with HJM models: The benefits of humped volatility. (2010). Falini, Jury .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:207:y:2010:i:3:p:1358-1367.

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  880. A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model. (2010). Hu, Cheng-Feng ; Chen, Homing .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:204:y:2010:i:2:p:343-354.

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  881. Top-down approaches for integrated risk management: How accurate are they?. (2010). Grundke, Peter.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:203:y:2010:i:3:p:662-672.

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  882. Intelligible factors for the yield curve. (2010). Lenz, Carlos ; Lengwiler, Yvan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:157:y:2010:i:2:p:481-491.

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  883. Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models. (2010). Kristensen, Dennis.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:156:y:2010:i:2:p:239-259.

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  884. Tail return analysis of Bear Stearns credit default swaps. (2010). Mizrach, Bruce ; Li, Liuling.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:27:y:2010:i:6:p:1529-1536.

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  885. A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation. (2010). Li, Minqiang.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:2:p:132-157.

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  886. Efficient importance sampling maximum likelihood estimation of stochastic differential equations. (2010). Rossi, Eduardo ; Pastorello, S..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:54:y:2010:i:11:p:2753-2762.

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  887. Stochastic interest rates in the analysis of energy investments: Implications on economic performance and sustainability. (2010). Doukelis, Aggelos ; Tatsiopoulos, Ilias ; Tolis, Athanasios .
    In: Applied Energy.
    RePEc:eee:appene:v:87:y:2010:i:8:p:2479-2490.

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  888. REWEIGHTED FUNCTIONAL ESTIMATION OF DIFFUSION MODELS. (2010). Xu, Ke-Li.
    In: Econometric Theory.
    RePEc:cup:etheor:v:26:y:2010:i:02:p:541-563_10.

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  889. Analytical Pricing of the Unit-Linked Endowment with Guarantees and Periodic Premiums. (2010). Hurlimann, Werner.
    In: ASTIN Bulletin: The Journal of the International Actuarial Association.
    RePEc:cup:astinb:v:40:y:2010:i:02:p:631-653_00.

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  890. The Term Structure of Interest Rates in a New Keynesian Model with Time-Varying Macro Volatility. (2010). Burren, Daniel .
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2010:v:11:i:2:p:277-299.

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  891. Forward premium puzzle and term structure of interest rates: the case of New Zealand. (2010). Silva, Carmen Gloria .
    In: Working Papers Central Bank of Chile.
    RePEc:chb:bcchwp:570.

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  892. Pricing Asian Interest Rate Options with a Three-Factor HJM Model. (2010). Lion, Octavio Bessada ; Barbedo, Claudio Henrique ; Machado, Jose Valentim.
    In: Brazilian Review of Finance.
    RePEc:brf:journl:v:8:y:2010:i:1:p:9-23.

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  893. Term structure forecasting using macro factors and forecast combination. (2010). van Dijk, Dick ; Ravazzolo, Francesco ; De Pooter, Michiel.
    In: Working Paper.
    RePEc:bno:worpap:2010_01.

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  894. INVESTIGATION OF STOCHASTIC PAIRS TRADING STRATEGIES UNDER DIFFERENT VOLATILITY REGIMES. (2010). İ. İLKAY BODUROĞLU, ; BARONYAN, SAYAT R. ; EMRAH ŞENER, .
    In: Manchester School.
    RePEc:bla:manchs:v:78:y:2010:i:s1:p:114-134.

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  895. INFLATION AND THE MEAN-REVERTING LEVEL OF THE SHORT RATE. (2010). Reschreiter, Andreas.
    In: Manchester School.
    RePEc:bla:manchs:v:78:y:2010:i:1:p:76-91.

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  896. On the Economics of Postassessments in Insurance Guaranty Funds: A Stakeholders Perspective. (2010). Bernier, Gilles ; Mahfoudhi, Ridha M..
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:77:y:2010:i:4:p:857-892.

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  897. Numerical Analysis of Volatility Change Point Estimators for Discretely Sampled Stochastic Differential Equations. (2010). Yoshida, Nakahiro ; Iacus, Stefano M.
    In: Economic Notes.
    RePEc:bla:ecnote:v:39:y:2010:i:1-2:p:107-127.

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  898. A public guarantee of a minimum return to defined contribution pension scheme members. (2010). Grande, Giuseppe ; Visco, Ignazio.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_762_10.

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  899. Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields. (2009). Hautsch, Nikolaus ; Ou, Yangguoyi .
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200903.

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

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  901. Implied deterministic volatility functions: An empirical test for Euribor options. (2009). Kuo, IDoun ; Wang, Kaili .
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:29:y:2009:i:4:p:319-347.

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  902. Testing the Box-Cox Parameter in an Integrated Process. (2009). McAleer, Michael ; Kobayashi, Masahito ; Huang, Jian.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf661.

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  903. Estimating the cost of deposit insurance with stochastic interest rates: the case of Taiwan. (2009). Yu, Min-Teh ; Chuang, Hwei-Lin ; Lin, Yi-Chun ; Lee, Shih-Cheng .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:9:y:2009:i:1:p:1-8.

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  904. Standardized versus customized portfolio: a compensating variation approach. (2009). Prigent, Jean-Luc ; Palma, Andre.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:165:y:2009:i:1:p:161-185:10.1007/s10479-008-0447-6.

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  905. Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips Work and Some New Results. (2009). Yu, Jun.
    In: Working Papers.
    RePEc:siu:wpaper:21-2009.

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  906. Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models. (2009). Yu, Jun.
    In: Working Papers.
    RePEc:siu:wpaper:16-2009.

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  907. Modelling Multivariate Interest Rates using Time-Varying Copulas and Reducible Non-Linear Stochastic Differential. (2009). Lubrano, Michel ; Hadri, Kaddour ; Bu, Ruijun ; Giet, Ludovic .
    In: Economics Working Papers.
    RePEc:qub:wpaper:0902.

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  908. Asset Liability Management in Insurance Company. (2009). Giandomenico, Rossano ; Giandomenico, Research Fellow, Rossano.
    In: MPRA Paper.
    RePEc:pra:mprapa:16333.

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  909. Arbitrage Theory in Continuous Time. (2009). Bjork, Tomas .
    In: OUP Catalogue.
    RePEc:oxp:obooks:9780199574742.

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  910. Should governments minimize debt service cost and risk? A closer look at the debt strategy. Simulation approach. (2009). Vergni, Davide ; Bernaschi, Massimo.
    In: Departmental Working Papers.
    RePEc:mil:wpdepa:2009-53.

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  911. An Admissible Macro-Finance Model of the US Treasury Market.. (2009). Spencer, Peter.
    In: Multinational Finance Journal.
    RePEc:mfj:journl:v:13:y:2009:i:1-2:p:1-38.

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  912. A Convergence Model of the Term Structure of Interest Rates. (2009). Vitola, Kristine ; Ajevskis, Viktors.
    In: Working Papers.
    RePEc:ltv:wpaper:200901.

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  913. Parsimonious modeling and forecasting of corporate yield curve. (2009). Yu, Wei-Choun ; Salyards, Donald M..
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:28:y:2009:i:1:p:73-88.

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  914. THEORETICAL AND NUMERICAL VALUATION OF CALLABLE BONDS. (2009). Xie, Dejun.
    In: The International Journal of Business and Finance Research.
    RePEc:ibf:ijbfre:v:3:y:2009:i:2:p:71-82.

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  915. A preferred-habitat model of the term structure of interest rates. (2009). Vayanos, Dimitri ; Vila, Jean-Luc .
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:29308.

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  916. Bipower-type estimation in a noisy diffusion setting. (2009). Podolskij, Mark ; Vetter, Mathias .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:119:y:2009:i:9:p:2803-2831.

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  917. Empirical performance of multifactor term structure models for pricing and hedging Eurodollar futures options. (2009). Kuo, I-Doun, ; Lin, Yueh-Neng .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:18:y:2009:i:1:p:23-32.

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  918. 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.

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  919. Estimation and inference in the yield curve model with an instantaneous error term. (2009). Fukushige, Mototsugu ; UBUKATA, M..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2009:i:9:p:2938-2946.

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  920. Analyzing yield, duration and convexity of mortgage loans under prepayment and default risks. (2009). Tsai, Ming-Shann ; Liao, Szu-Lang ; Chiang, Shu-Ling .
    In: Journal of Housing Economics.
    RePEc:eee:jhouse:v:18:y:2009:i:2:p:92-103.

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  921. Can interest rate volatility be extracted from the cross section of bond yields?. (2009). Jones, Christopher S. ; Goldstein, Robert S. ; Collin-Dufresne, Pierre.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:94:y:2009:i:1:p:47-66.

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  922. Bank credit risk and structural credit models: Agency and information asymmetry perspectives. (2009). Lu, Chia-Wu ; Chen, Tsung-Kang ; Liao, Hsien-Hsing.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:8:p:1520-1530.

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  923. An analysis of the true notional bond system applied to the CBOT T-bond futures. (2009). Ben-Ameur, Hatem ; Ben-Abdallah, Ramzi ; Breton, Michele.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:3:p:534-545.

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  924. Linear-quadratic term structure models - Toward the understanding of jumps in interest rates. (2009). Yan, Shu ; Jiang, George .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:3:p:473-485.

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  925. Long time behaviour of stochastic interest rate models. (2009). Zhao, Juan.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:44:y:2009:i:3:p:459-463.

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  926. Analytical valuation of catastrophe equity options with negative exponential jumps. (2009). Chang, Lung-Fu ; Hung, Mao-Wei.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:44:y:2009:i:1:p:59-69.

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  927. The practice of estimating the term structure of discount rates. (2009). Freeman, Mark C..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:19:y:2009:i:3:p:219-234.

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  928. Extended Black term structure models. (2009). Realdon, Marco.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:18:y:2009:i:5:p:232-238.

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  929. Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting. (2009). Wang, Chieh ; Date, Paresh .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:195:y:2009:i:1:p:156-166.

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  930. Importance sampling for integrated market and credit portfolio models. (2009). Grundke, Peter.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:194:y:2009:i:1:p:206-226.

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  931. Empirical likelihood-based inference for nonparametric recurrent diffusions. (2009). Xu, Ke-Li.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:153:y:2009:i:1:p:65-82.

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  932. A two-stage realized volatility approach to estimation of diffusion processes with discrete data. (2009). Yu, Jun ; Phillips, Peter ; Phillips, Peter C. B., .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:150:y:2009:i:2:p:139-150.

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  933. Parameter estimation and bias correction for diffusion processes. (2009). Chen, Song ; Tang, Chengyong ; Song Xi Chen, .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:149:y:2009:i:1:p:65-81.

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  934. Saddlepoint approximations for affine jump-diffusion models. (2009). Kim, Kyoung-Kuk ; Glasserman, Paul.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:33:y:2009:i:1:p:15-36.

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  935. The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach. (2009). Chiarella, Carl ; Hung, Hing ; T, Thuy-Duong, .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:6:p:2075-2088.

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  936. Using subspace algorithm cointegration analysis: Simulation performance and application to the term structure. (2009). Wagner, Martin ; Bauer, Dietmar.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:6:p:1954-1973.

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  937. A bootstrap test for the comparison of nonlinear time series. (2009). Dette, Holger ; Weibach, Rafael .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:4:p:1339-1349.

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  938. Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results. (2009). Yu, Jun ; JunYu, .
    In: Microeconomics Working Papers.
    RePEc:eab:microe:23046.

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  939. Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models. (2009). Yu, Jun ; JunYu, .
    In: Microeconomics Working Papers.
    RePEc:eab:microe:23045.

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  940. Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate. (2009). Choi, Seungmoon.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:13:y:2009:i:1:n:4.

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  941. Getting Feedback on Defined Contribution Pension Plans. (2009). Andrew J. G. Cairns, ; MacDonald, Bonnie-Jeanne.
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:76:y:2009:i:2:p:385-417.

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  942. Estimation Uncertainty and the Equity Premium-super-. (2009). yan, hong.
    In: International Review of Finance.
    RePEc:bla:irvfin:v:9:y:2009:i:3:p:243-268.

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  943. Short Rate Dynamics and Regime Shifts-super-. (2009). LI, HAITAO ; Xu, Yuewu .
    In: International Review of Finance.
    RePEc:bla:irvfin:v:9:y:2009:i:3:p:211-241.

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  944. A Term Structure Decomposition of the Australian Yield Curve. (2009). Finlay, Richard ; Chambers, Mark .
    In: The Economic Record.
    RePEc:bla:ecorec:v:85:y:2009:i:271:p:383-400.

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  945. Frequency-domain analysis of debt service in a macro-finance model for the euro area.. (2009). Renne, Jean-Paul ; Renne, J-P., .
    In: Working papers.
    RePEc:bfr:banfra:261.

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  946. Pricing Asian Interest Rate Options with a Three-Factor HJM Model. (2009). Vicente, José Valentim ; Bessada Lion, Octavio ; Claudio Henrique da Silveira Barbedo, ; Octavio Manuel Bessada Lion, ; Jose Valentim Machado Vicente, .
    In: Working Papers Series.
    RePEc:bcb:wpaper:188.

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  947. The Term Structure of Interest Rates. (2009). Jarrow, Robert.
    In: Annual Review of Financial Economics.
    RePEc:anr:refeco:v:1:y:2009:p:69-96.

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  948. Prognose des CO2-Zertifikatepreisrisikos. (2008). Ehrenfeld, Wilfried ; Dannenberg, Henry.
    In: IWH Discussion Papers.
    RePEc:zbw:iwhdps:iwh-5-08.

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  949. Asymptotic Maturity Behavior of the Term Structure. (2008). Schulze, Klaas.
    In: Bonn Econ Discussion Papers.
    RePEc:zbw:bonedp:112008.

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  950. Testing Term Structure Estimation Methods: Evidence from the UK STRIPS Market. (2008). Steeley, James.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:40:y:2008:i:7:p:1489-1512.

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  951. The compatibility of one‐factor market models in caps and swaptions markets: Evidence from their dynamic hedging performance. (2008). Suo, Wulin ; An, Yunbi.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:28:y:2008:i:2:p:109-130.

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  952. A Factor Allocation Approach to Optimal Bond Portfolio. (2008). Takahashi, Akihiko ; Nakayama, Keita .
    In: CIRJE F-Series.
    RePEc:tky:fseres:2008cf547.

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  953. Bond pricing when the short-term interest rate follows a threshold process. (2008). Lemke, Wolfgang ; Archontakis, Theofanis .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:8:y:2008:i:8:p:811-822.

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  954. A multi-factor jump-diffusion model for commodities. (2008). Crosby, John.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:8:y:2008:i:2:p:181-200.

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  955. Dynamic strategies for fixed-income investment. (2008). Kung, James .
    In: Applied Economics.
    RePEc:taf:applec:v:40:y:2008:i:10:p:1341-1354.

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  956. Finite-dimensional Realizations of Regime-switching HJM Models. (2008). Elhouar, Mikael.
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:15:y:2008:i:4:p:331-354.

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  957. Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives. (2008). Nomikos, N. K. ; Soldatos, O..
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:15:y:2008:i:1:p:41-71.

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  958. Pricing Bonds in the Australian Market. (2008). Sullivan, James ; Bilson, Christopher M. ; Brailsford, Timothy J. ; Treepongkaruna, Sirimon.
    In: Australian Journal of Management.
    RePEc:sae:ausman:v:33:y:2008:i:1:p:123-143.

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  959. Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds. (2008). Viceira, Luis ; Campbell, John ; Sunderam, Adi.
    In: 2008 Meeting Papers.
    RePEc:red:sed008:355.

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  960. Asset Liability Management for Banks. (2008). Giandomenico, Rossano.
    In: MPRA Paper.
    RePEc:pra:mprapa:18848.

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  961. Optimal portfolio allocation under asset and surplus VaR constraints. (2008). Monfort, Alain.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:9:y:2008:i:3:d:10.1057_jam.2008.6.

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  962. A Dynamic Model for the Forward Curve. (2008). Stine, Robert .
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:21:y:2008:i:1:p:265-310.

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  963. Affine General Equilibrium Models. (2008). Eraker, Bjorn .
    In: Management Science.
    RePEc:inm:ormnsc:v:54:y:2008:i:12:p:2068-2080.

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  964. Socially Efficient Discounting under Ambiguity Aversion. (2008). Gollier, Christian ; Gierlinger, Johannes.
    In: IDEI Working Papers.
    RePEc:ide:wpaper:9848.

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  965. Declining Discount Rates: Economic Justifications and Implications for Long-Run Policy. (2008). Pantelidis, Theologos ; Koundouri, Phoebe ; Gollier, Christian.
    In: IDEI Working Papers.
    RePEc:ide:wpaper:9344.

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  966. Discounting with Fat-Tailed Economic Growth. (2008). Gollier, Christian.
    In: IDEI Working Papers.
    RePEc:ide:wpaper:9342.

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  967. Bond supply and excess bond returns. (2008). Vayanos, Dimitri ; Greenwood, Robin.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24425.

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  968. Moments of the first passage time of one-dimensional diffusion with two-sided barriers. (2008). Yin, Chuancun ; Wang, Huiqing.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:78:y:2008:i:18:p:3373-3380.

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  969. A note on the central limit theorem for bipower variation of general functions. (2008). Podolskij, Mark ; Kinnebrock, Silja .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:118:y:2008:i:6:p:1056-1070.

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  970. A parametric study of the term structure dynamics. (2008). Vergni, Davide ; Bernaschi, Massimo ; Tacconi, Elisa .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:387:y:2008:i:5:p:1264-1272.

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  971. Understanding saving and portfolio choices with predictable changes in assets returns. (2008). Gollier, Christian.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:44:y:2008:i:5-6:p:445-458.

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  972. Structural models of credit risk are useful: Evidence from hedge ratios on corporate bonds. (2008). Strebulaev, Ilya ; Schaefer, Stephen M..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:90:y:2008:i:1:p:1-19.

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  973. Utilitarianism and fairness in portfolio positioning. (2008). Prigent, Jean-Luc ; de Palma, André.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:8:p:1648-1660.

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  974. Interest rate futures and forwards: Evidence from the sterling futures and FRA markets. (2008). Poskitt, Russell .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:18:y:2008:i:5:p:399-412.

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  975. Static super-replicating strategies for a class of exotic options. (2008). Dhaene, Jan ; chen, xingquan ; Deelstra, G. ; Vanmaele, M..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:42:y:2008:i:3:p:1067-1085.

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  976. Pension fund investments and the valuation of liabilities under conditional indexation. (2008). de Jong, Frank.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:42:y:2008:i:1:p:1-13.

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  977. The truth about interest rate futures and forwards: Evidence from high frequency data. (2008). Poskitt, Russell .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:18:y:2008:i:3:p:319-336.

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  978. A comparison of international short-term rates under no arbitrage condition. (2008). Mahdavi, Mahnaz.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:18:y:2008:i:3:p:303-318.

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  979. The value of embedded real options: Evidence from consumer automobile lease contracts--A note. (2008). Gamba, Andrea ; Rigon, Riccardo.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:5:y:2008:i:4:p:213-220.

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  980. Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates. (2008). Christiansen, Charlotte.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:17:y:2008:i:5:p:925-948.

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  981. Euro and FIBOR interest rates: A continuous time modelling analysis. (2008). Nowman, K. B. ; Yahia, B. B. H., .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:17:y:2008:i:5:p:1029-1035.

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  982. Price dynamics in the market for Liquid Petroleum Gas transport. (2008). Jia, Haiying ; Adland, Roar ; Lu, Jing.
    In: Energy Economics.
    RePEc:eee:eneeco:v:30:y:2008:i:3:p:818-828.

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  983. Market price of risk implied by Asian-style electricity options and futures. (2008). Weron, Rafał.
    In: Energy Economics.
    RePEc:eee:eneeco:v:30:y:2008:i:3:p:1098-1115.

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  984. Is long memory necessary? An empirical investigation of nonnegative interest rate processes. (2008). Duan, Jin-Chuan ; Jacobs, Kris.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:3:p:567-581.

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  985. Term structure of interest rates and the expectation hypothesis: The euro area. (2008). D'Ecclesia, Rita Laura ; Musti, Silvana .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:185:y:2008:i:3:p:1596-1606.

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  986. Expected life-time utility and hedging demands in a partially observable economy. (2008). Lundtofte, Frederik.
    In: European Economic Review.
    RePEc:eee:eecrev:v:52:y:2008:i:6:p:1072-1096.

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  987. Econometric estimation in long-range dependent volatility models: Theory and practice. (2008). GAO, Jiti ; Casas, Isabel.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:147:y:2008:i:1:p:72-83.

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  988. Estimation of partial differential equations with applications in finance. (2008). Kristensen, Dennis.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:144:y:2008:i:2:p:392-408.

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  989. Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility. (2008). Chen, Gongmeng ; Choi, Yoon K. ; Zhou, Yong.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:143:y:2008:i:2:p:227-262.

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  990. Testing the parametric form of the volatility in continuous time diffusion models--a stochastic process approach. (2008). Podolskij, Mark ; Dette, Holger.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:143:y:2008:i:1:p:56-73.

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  991. Interest rate option pricing and volatility forecasting: An application to Brazil. (2008). Tabak, Benjamin ; Takami, Marcelo Yoshio.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:38:y:2008:i:3:p:755-763.

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  992. NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS. (2008). Renò, Roberto ; Reno, Roberto.
    In: Econometric Theory.
    RePEc:cup:etheor:v:24:y:2008:i:05:p:1174-1206_08.

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  993. Closed-Form Mortgage Valuation Using Reduced-Form Model. (2008). Tsai, Ming-Shann ; Liao, Szu-Lang ; Chiang, Shu-Ling .
    In: Real Estate Economics.
    RePEc:bla:reesec:v:36:y:2008:i:2:p:313-347.

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  994. Selecting a Bond‐Pricing Model for Trading: Benchmarking, Pooling, and Other Issues. (2008). Vinaimont, Tom ; Sercu, Piet.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:35:y:2008:i:1-2:p:250-280.

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  995. Threshold Dynamics of Short‐term Interest Rates: Empirical Evidence and Implications for the Term Structure. (2008). Lemke, Wolfgang ; Archontakis, Theofanis .
    In: Economic Notes.
    RePEc:bla:ecnote:v:37:y:2008:i:1:p:75-117.

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  996. Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets. (2007). Wu, Shu.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:39:y:2007:i:2-3:p:423-442.

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  997. Macroeconomic Sources of Risk in the Term Structure. (2007). Balfoussia, Hiona ; Wickens, Mike .
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:39:y:2007:i:1:p:205-236.

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  998. Multifactor and analytical valuation of treasury bond futures with an embedded quality option. (2007). João Pedro Vidal Nunes, ; Luis Alberto Ferreira De Oliveira, .
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:27:y:2007:i:3:p:275-303.

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  999. Pricing of Contingent Claims Under the Real-World Measure. (2007). Miller, Shane .
    In: PhD Thesis.
    RePEc:uts:finphd:25.

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  1000. Pricing of Contingent Claims Under the Real-World Measure. (2007). Miller, Shane.
    In: PhD Thesis.
    RePEc:uts:finphd:2-2007.

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  1001. A Factor Allocation Approach to Optimal Bond Portfolio. (2007). Takahashi, Akihiko ; Nakayama, Keita .
    In: CIRJE F-Series.
    RePEc:tky:fseres:2007cf494.

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  1002. Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters. (2007). van der Wel, Michel ; Koopman, Siem Jan ; Max I. P. Mallee, .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070095.

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  1003. Examining the Nelson-Siegel Class of Term Structure Models. (2007). De Pooter, Michiel.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070043.

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  1004. Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information. (2007). van Dijk, Dick ; Ravazzolo, Francesco ; De Pooter, Michiel.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070028.

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  1005. A positive interest rate model with sticky barrier. (2007). Кабанов, Юрий ; Kijima, Masaaki ; Kabanov, Yuri ; Rinaz, Sofiane.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:7:y:2007:i:3:p:269-284.

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  1006. Asymmetric Mean Reversion in European Interest Rates: A Two-factor Model. (2007). Philippatos, George ; Koutmos, Gregory .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:13:y:2007:i:8:p:741-750.

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  1007. A Technique for Reducing Discretization Bias from Monte Carlo Simulations: Option Pricing under Stochastic Interest Rates. (2007). Lund, Arne-Christian ; Lindset, Snorre.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:13:y:2007:i:6:p:545-564.

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  1008. Mean Reversion Level Extensions of Time-Homogeneous Affine Term Structure Models. (2007). Oh Kang Kwon, .
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:14:y:2007:i:4:p:291-302.

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  1009. Shrunken interest rate forecasts are better forecasts. (2007). Smith, Gary ; Dorsey-Palmateer, Reid.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:6:p:425-430.

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  1010. Interest rate options valuation under incomplete information. (2007). Mellios, Constantin.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:151:y:2007:i:1:p:99-117:10.1007/s10479-006-0128-2.

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  1011. A portfolio-based evaluation of affine term structure models. (2007). Colla, Paolo ; Beltratti, Andrea.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:151:y:2007:i:1:p:193-222:10.1007/s10479-006-0134-4.

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  1012. Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions. (2007). Bali, Turan .
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:151:y:2007:i:1:p:151-178:10.1007/s10479-006-0116-6.

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  1013. Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models. (2007). Carriero, Andrea.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp612.

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  1014. Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models. (2007). Carriero, Andrea.
    In: Working Papers.
    RePEc:qmw:qmwecw:612.

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  1015. Nonlinear time series: semiparametric and nonparametric methods. (2007). GAO, Jiti.
    In: MPRA Paper.
    RePEc:pra:mprapa:39563.

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  1016. Understanding Saving and Portfolio Choices with Predictable Changes in Assets Returns. (2007). Gollier, Christian.
    In: IDEI Working Papers.
    RePEc:ide:wpaper:6720.

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  1017. Pricing freight rate options. (2007). Koekebakker, Steen ; Adland, Roar ; Sodal, Sigbjorn .
    In: Transportation Research Part E: Logistics and Transportation Review.
    RePEc:eee:transe:v:43:y:2007:i:5:p:535-548.

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  1018. A generalization of reset options pricing formulae with stochastic interest rates. (2007). Sun, Chao ; Li, Shujin.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:21:y:2007:i:2:p:119-133.

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  1019. Momentum and industry growth. (2007). Safieddine, Assem ; Sonti, Ramana .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:16:y:2007:i:2:p:203-215.

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  1020. An equilibrium model of wealth distribution. (2007). Wang, Neng.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:54:y:2007:i:7:p:1882-1904.

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  1021. Risk, return, and dividends. (2007). LIU, JUN ; Ang, Andrew.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:85:y:2007:i:1:p:1-38.

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  1022. Market price of risk specifications for affine models: Theory and evidence. (2007). Filipovic, Damir ; Kimmel, Robert L. ; Cheridito, Patrick.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:83:y:2007:i:1:p:123-170.

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  1023. Arbitrage-free valuation of interest rate securities under forward curves with stochastic speed and acceleration. (2007). Pandher, Gurupdesh .
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:137:y:2007:i:1:p:432-459.

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  1024. Bond durations: Corporates vs. Treasuries. (2007). Munk, Claus ; Kraft, Holger.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:12:p:3720-3741.

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  1025. Traffic light options. (2007). Jørgensen, Peter ; Jorgensen, Peter Lochte .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:12:p:3698-3719.

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  1026. A dynamic model of active portfolio management with benchmark orientation. (2007). Zhao, Yonggan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:11:p:3336-3356.

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  1027. Valuation of catastrophe reinsurance with catastrophe bonds. (2007). Yu, Min-Teh ; Lee, Jin-Ping .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:41:y:2007:i:2:p:264-278.

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  1028. An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates. (2007). de Schepper, Ann ; Koch, Inge .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:40:y:2007:i:3:p:386-402.

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  1029. US-Swiss term structures and exchange rate dynamics. (2007). Inci, Ahmet Can .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:18:y:2007:i:2:p:270-288.

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  1030. Valuation of derivatives based on single-factor interest rate models. (2007). Sorwar, Ghulam ; Allegretto, Walter ; Barone-Adesi, Giovanni .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:18:y:2007:i:2:p:251-269.

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  1031. Investment option under CIR interest rates. (2007). CARMONA, JULIO ; Leon, Angel .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:4:y:2007:i:4:p:242-253.

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  1032. An analytic approximation formula for pricing zero-coupon bonds. (2007). Wirjanto, Tony ; Choi, Youngsoo.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:4:y:2007:i:2:p:116-126.

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  1033. 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.

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  1034. 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.

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  1035. A Monte Carlo approach for the American put under stochastic interest rates. (2007). Lund, Arne-Christian ; Lindset, Snorre.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:4:p:1081-1105.

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  1036. Investment under uncertainty--Does competition matter?. (2007). Odening, Martin ; Hirschauer, Norbert ; Balmann, Alfons ; Musshoff, Oliver.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:3:p:994-1014.

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  1037. Financial markets in continuous time. (2007). Jeanblanc, Monique ; Dana, Rose-Anne .
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/5374.

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  1038. Markov‐Switching Mean Reversion in Short‐Term Interest Rates: Evidence from East Asian Economies. (2007). Suardi, Sandy ; Chua, Chew.
    In: The Economic Record.
    RePEc:bla:ecorec:v:83:y:2007:i:263:p:383-397.

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  1039. The Heath, Jarrow, Morton Model. (2007). Vasicek, Oldrich Alfons .
    In: Economic Notes.
    RePEc:bla:ecnote:v:36:y:2007:i:3:p:205-207.

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  1040. Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation. (2007). Fan, Jianqing ; Jiang, Jiancheng .
    In: Journal of the American Statistical Association.
    RePEc:bes:jnlasa:v:102:y:2007:m:june:p:618-631.

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  1041. Diffusion Processes with Polynomial Eigenfunctions. (2007). Renault, Eric ; gourieroux, christian ; Valery, Pascale .
    In: Annals of Economics and Statistics.
    RePEc:adr:anecst:y:2007:i:85:p:115-130.

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  1042. Diffusion Processes with Polynomial Eigenfunctions. (2007). Valery, Pascale ; Gourieroux, Christian.
    In: Annals of Economics and Statistics.
    RePEc:adr:anecst:y:2007:i:85:p:05.

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  1043. .

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  1044. Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps. (2006). Podolskij, Mark ; Vetter, Mathias .
    In: Technical Reports.
    RePEc:zbw:sfb475:200651.

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  1045. A Bootstrap Test for the Comparison of Nonlinear Time Series - with Application to Interest Rate Modelling. (2006). Dette, Holger ; Weibach, Rafael .
    In: Technical Reports.
    RePEc:zbw:sfb475:200630.

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  1046. Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach. (2006). Weron, Rafal .
    In: HSC Books.
    RePEc:wuu:hsbook:hsbook0601.

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  1047. A joint model for the term structure of interest rates and the macroeconomy. (2006). Maes, Konstantijn ; Lyrio, Marco ; Dewachter, Hans.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:21:y:2006:i:4:p:439-462.

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  1048. Term Structure Modeling and Estimation in a State Space Framework. (2006). Bundesbank, Deutsche ; Lemke, Wolfgang.
    In: Lecture Notes in Economics and Mathematical Systems.
    RePEc:spr:lnecms:978-3-540-28344-7.

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  1049. Pricing of the Policy Life in Absence of Default Risk and Asset Liability Management. (2006). Giandomenico, Rossano.
    In: MPRA Paper.
    RePEc:pra:mprapa:18844.

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  1050. Les modèles HJM et LMM revisités. (2006). Racicot, François-Éric ; Theoret, Raymond .
    In: RePAd Working Paper Series.
    RePEc:pqs:wpaper:042006.

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  1051. OPTIMAL PORTFOLIOS IN DEFINED CONTRIBUTION PENSION SYSTEMS. (2006). Walker, Eduardo.
    In: Abante.
    RePEc:pch:abante:v:9:y:2006:i:2:p:99-129.

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  1052. The Derivatives Sourcebook. (2006). Scholes, Myron ; merton, robert ; Lo, Andrew ; Lim, Terence.
    In: Foundations and Trends(R) in Finance.
    RePEc:now:fntfin:0500000005.

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  1053. A multi-factor model for the valuation and risk managment of demand deposits. (2006). Lyrio, Marco ; Dewachter, Hans.
    In: Working Paper Research.
    RePEc:nbb:reswpp:200605-2.

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  1054. On the Effects of Dimension Reduction Techniques on Some High-Dimensional Problems in Finance. (2006). Wang, Xiaoqun.
    In: Operations Research.
    RePEc:inm:oropre:v:54:y:2006:i:6:p:1063-1078.

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  1055. Extending the universality of the Heath-Jarrow-Morton model. (2006). Grant, Dwight ; Vora, Gautam .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:15:y:2006:i:2:p:129-157.

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  1056. 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.

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  1057. Tests of alternate models for the pricing of Korean Treasury bond futures contracts. (2006). Park, Hyoung-Jin ; Kang, Jangkoo.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:14:y:2006:i:4:p:410-425.

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  1058. Generalizing the permanent-income hypothesis: Revisiting Friedmans conjecture on consumption. (2006). Wang, Neng.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:53:y:2006:i:4:p:737-752.

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  1059. Term structure estimation without using latent factors. (2006). Duffee, Greg.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:79:y:2006:i:3:p:507-536.

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  1060. Nonlinear term structure dependence: Copula functions, empirics, and risk implications. (2006). Szimayer, Alex ; Wagner, Niklas ; Junker, Markus.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:4:p:1171-1199.

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  1061. Integrating market and credit risk: A simulation and optimisation perspective. (2006). Zenios, Stavros ; Mitra, Gautam ; Jobst, Norbert J..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:2:p:717-742.

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  1062. On the estimation and comparison of short-rate models using the generalised method of moments. (2006). faff, robert ; Gray, Philip.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:11:p:3131-3146.

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  1063. Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts. (2006). Romanyuk, Yuliya ; Melnikov, Alexander ; Romaniuk, Yulia.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:39:y:2006:i:3:p:310-329.

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  1064. Pricing of multi-period rate of return guarantees: The Monte Carlo approach. (2006). Lindset, Snorre ; Bakken, Henrik ; Olson, Lars Hesstvedt.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:39:y:2006:i:1:p:135-149.

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  1065. Return smoothing mechanisms in life and pension insurance: Path-dependent contingent claims. (2006). Jørgensen, Peter ; Guillen, Montserrat ; Nielsen, Jens Perch ; Jorgensen, Peter Lochte .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:38:y:2006:i:2:p:229-252.

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  1066. The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case. (2006). Ballotta, Laura ; Haberman, Steven.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:38:y:2006:i:1:p:195-214.

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  1067. Are corporates target leverage ratios time-dependent?. (2006). Lo, C. F. ; Huang, M. X. ; Hui, C. H..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:15:y:2006:i:3:p:220-236.

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  1068. Geometric Brownian Motion and structural breaks in oil prices: A quantitative analysis. (2006). Postali, Fernando Antonio ; Picchetti, Paulo ; Postali, Fernando A. S., .
    In: Energy Economics.
    RePEc:eee:eneeco:v:28:y:2006:i:4:p:506-522.

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  1069. Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?. (2006). LI, HAITAO ; Hong, Yongmiao ; Egorov, Alexei.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:135:y:2006:i:1-2:p:255-284.

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  1070. Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility. (2006). Steel, Mark ; Griffin, Jim.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:134:y:2006:i:2:p:605-644.

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  1071. A consistent bootstrap test for conditional density functions with time-series data. (2006). Tkacz, Greg ; Li, Fuchun.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:133:y:2006:i:2:p:863-886.

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  1072. Multivariate Jacobi process with application to smooth transitions. (2006). Jasiak, Joann ; gourieroux, christian.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:131:y:2006:i:1-2:p:475-505.

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  1073. Forecasting the term structure of government bond yields. (2006). Diebold, Francis ; Li, Canlin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:130:y:2006:i:2:p:337-364.

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  1074. Estimated inflation rate, consumption and portfolio decision. (2006). Hung, Mao-Wei ; Han, Nan-Wei .
    In: Economics Letters.
    RePEc:eee:ecolet:v:92:y:2006:i:3:p:402-408.

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  1075. Approximating volatility diffusions with CEV-ARCH models. (2006). Mele, Antonio ; Fornari, Fabio.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:30:y:2006:i:6:p:931-966.

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  1076. Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance. (2006). Yu, Jun ; Phillips, Peter ; JunYu, ; Peter C. B. Phillips, .
    In: Development Economics Working Papers.
    RePEc:eab:develo:22471.

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  1077. Rating, Credit Spread, and Pricing Risky Debt: Empirical Study on Taiwans Security Market. (2006). Duan, Chang-Wen ; Hung, Ken ; Yang, Chin W..
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2006:v:7:i:2:p:405-424.

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  1078. Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis. (2006). Iori, Giulia ; Mattiussi, V..
    In: Working Papers.
    RePEc:cty:dpaper:06/09.

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  1079. Interpreting an Affine Term Structure Model for Chile. (2006). Ochoa, Juan.
    In: Working Papers Central Bank of Chile.
    RePEc:chb:bcchwp:380.

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  1080. Foreign Exchange Risk Premium Determinants: Case of Armenia. (2006). Poghosyan, Tigran ; Kočenda, Evžen ; Kocenda, Evzen .
    In: CERGE-EI Working Papers.
    RePEc:cer:papers:wp297.

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  1081. Non mean reverting affne processes for stochastic mortality. (2006). luciano, elisa ; Vigna, Elena.
    In: Carlo Alberto Notebooks.
    RePEc:cca:wpaper:30.

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  1082. Monetary Policy and the Yield Curve at Zero Interest: The Macro-Finance Model of Interest Rates as Options. (2006). Ichiue, Hibiki ; Ueno, Yoichi .
    In: Bank of Japan Working Paper Series.
    RePEc:boj:bojwps:06-e-16.

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  1083. The Use of the Black Model of Interest Rates as Options for Monitoring the JGB Market Expectations. (2006). Baba, Naohiko ; Sakurai, Yuji ; Ueno, Yoichi .
    In: Bank of Japan Working Paper Series.
    RePEc:boj:bojwps:06-e-15.

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  1084. PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS. (2006). Pelsser, Antoon ; Antoon A. J. Pelsser, ; Schrager, David F..
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:16:y:2006:i:4:p:673-694.

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  1085. A Comparison of Alternative Non‐parametric Estimators of the Short Rate Diffusion Coefficient. (2006). Roberto Renò, ; Roma, Antonio ; Schaefer, Stephen ; Roberto Renò, .
    In: Economic Notes.
    RePEc:bla:ecnote:v:35:y:2006:i:3:p:227-252.

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  1086. Bayesian comparison of several continuous time models of the Australian short rate. (2006). Martin, Gael ; Sanford, Andrew D..
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:46:y:2006:i:2:p:309-326.

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  1087. Are there nonlinearities in short-term interest rates?. (2006). Treepongkaruna, Sirimon ; Gray, Stephen.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:46:y:2006:i:1:p:149-167.

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  1088. Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach. (2005). Podolskij, Mark ; Dette, Holger.
    In: Technical Reports.
    RePEc:zbw:sfb475:200550.

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  1089. Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate. (2005). Los, Cornelis ; JAMDEE, SUTTHISIT.
    In: Finance.
    RePEc:wpa:wuwpfi:0502021.

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  1090. A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions. (2005). Nikitopoulos-Sklibosios, Christina .
    In: PhD Thesis.
    RePEc:uts:finphd:1-2005.

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  1091. Lévy term structure models: No-arbitrage and completeness. (2005). Raible, Sebastian ; Jacod, Jean ; Eberlein, Ernst.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:9:y:2005:i:1:p:67-88.

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  1092. A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models. (2005). Almeida, Caio ; Rodrigues, Caio Ibsen .
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:25:y:2005:i:1:a:2673.

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  1093. Macroeconomic Determinants of the Movement of the Yield Curve. (2005). Vargas, Gregorio.
    In: MPRA Paper.
    RePEc:pra:mprapa:53117.

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  1094. De lévaluation du risque de crédit. (2005). Racicot, François-Éric ; Theoret, Raymond .
    In: RePAd Working Paper Series.
    RePEc:pqs:wpaper:0322005.

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  1095. Nonlinearity in the Term Structure. (2005). Kim, Dong Heon.
    In: The School of Economics Discussion Paper Series.
    RePEc:man:sespap:0528.

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  1096. Nonlinearity in the Term Structure. (2005). Kim, D H.
    In: Centre for Growth and Business Cycle Research Discussion Paper Series.
    RePEc:man:cgbcrp:51.

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  1097. The Unbiasedness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests. (2005). VISVIKIS, ILIAS ; Kavussanos, Manolis ; Menachof, David.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:7:y:2005:i:3:p:241-266.

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  1098. Soybean Inventory and Forward Curve Dynamics. (2005). Geman, Helyette ; Nguyen, Vu-Nhat .
    In: Management Science.
    RePEc:inm:ormnsc:v:51:y:2005:i:7:p:1076-1091.

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  1099. Valuing the flexibility of currency choice in multinational trade with stochastic exchange rates. (2005). Lindset, Snorre.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:15:y:2005:i:2:p:137-153.

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  1100. Risk-based capital standards, deposit insurance, and procyclicality. (2005). Pennacchi, George.
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:14:y:2005:i:4:p:432-465.

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  1101. Why stocks may disappoint. (2005). LIU, JUN ; Bekaert, Geert ; Ang, Andrew.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:76:y:2005:i:3:p:471-508.

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  1102. Multivariate term structure models with level and heteroskedasticity effects. (2005). Christiansen, Charlotte.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:5:p:1037-1057.

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  1103. Pricing and hedging interest rate options: Evidence from cap-floor markets. (2005). Gupta, Anurag ; Subrahmanyam, Marti G..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:3:p:701-733.

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  1104. Credit risk modeling with affine processes. (2005). Duffie, Darrell.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:11:p:2751-2802.

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  1105. Unspanned stochastic volatility and fixed income derivatives pricing. (2005). Casassus, Jaime ; Goldstein, Bob ; Collin-Dufresne, Pierre.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:11:p:2723-2749.

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  1106. From measure changes to time changes in asset pricing. (2005). Geman, Helyette.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:11:p:2701-2722.

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  1107. Fair insurance guaranty premia in the presence of risk-based capital regulations, stochastic interest rate and catastrophe risk. (2005). Yu, Min-Teh ; Duan, Jin-Chuan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:10:p:2435-2454.

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  1108. Affine processes for dynamic mortality and actuarial valuations. (2005). Biffis, Enrico.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:37:y:2005:i:3:p:443-468.

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  1109. Stock valuation in dynamic economies. (2005). Chen, Zhiwu ; Bakshi, Gurdip .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:8:y:2005:i:2:p:111-151.

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  1110. Derivative prices from interest rate models: results for Canada, Hong Kong, and United States. (2005). Nowman, Ben K. ; Sorwar, Ghulam.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:14:y:2005:i:4:p:428-438.

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  1111. Pricing counterparty default risks: Applications to FRNs and vulnerable options. (2005). Kim, Hwa-Sung ; Kang, Jangkoo.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:14:y:2005:i:3:p:376-392.

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  1112. Regime shifts in interest rate volatility. (2005). Sun, Licheng.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:12:y:2005:i:3:p:418-434.

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  1113. Testing affine term structure models in case of transaction costs. (2005). Nijman, Theo ; Melenberg, Bertrand ; Driessen, Joost.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:126:y:2005:i:1:p:201-232.

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  1114. Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?. (2005). Yu, Fan ; Duarte, Jefferson ; Longstaff, Francis A..
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt6zx6m7fp.

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  1115. Risk, Return and Dividends. (2005). LIU, JUN ; Ang, Andrew.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt1s25177n.

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  1116. Incorporating Foreign Equities in the Optimal Asset Allocation of an Insurer with the Consideration for Background Risks: Models and Numerical Illustrations. (2005). Tsai, Chenghsien ; Chang, Shih-Chieh Bill ; Hung, Li-Chuan .
    In: Asia-Pacific Journal of Risk and Insurance.
    RePEc:bpj:apjrin:v:1:y:2005:i:1:n:2.

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  1117. How Do Monetary Policy Rules Affect Term Premia?. (2005). Ichiue, Hibiki.
    In: Bank of Japan Working Paper Series.
    RePEc:boj:bojwps:05-e-14.

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  1118. ESTIMATING A RISKY TERM STRUCTURE OF BRADY BONDS. (2005). Keswani, Aneel.
    In: Manchester School.
    RePEc:bla:manchs:v:73:y:2005:i:s1:p:99-127.

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  1119. A GENERALIZED EARNINGS‐BASED STOCK VALUATION MODEL. (2005). Hirshleifer, David ; Dong, Ming.
    In: Manchester School.
    RePEc:bla:manchs:v:73:y:2005:i:s1:p:1-31.

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  1120. Bond Option Valuation for Non‐Markovian Interest Rate Processes. (2005). Barber, Joel R..
    In: The Financial Review.
    RePEc:bla:finrev:v:40:y:2005:i:4:p:519-532.

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  1121. Specification Analysis of Diffusion Models for the Italian Short Rate. (2005). Roberto Renò, ; Gentile, Monica ; Roberto Renò, .
    In: Economic Notes.
    RePEc:bla:ecnote:v:34:y:2005:i:1:p:51-83.

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  1122. Investment decisions in hog finishing: an application of the real options approach. (2005). Odening, Martin ; Musshoff, Oliver ; Balmann, Alfons ; Oliver Mußhoff, .
    In: Agricultural Economics.
    RePEc:bla:agecon:v:32:y:2005:i:1:p:47-60.

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  1123. Modelling conditional heteroscedasticity and jumps in Australian short-term interest rates. (2005). Chan, Kam Fong.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:45:y:2005:i:4:p:537-551.

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  1124. Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing. (2004). Podolskij, Mark ; Dette, Holger ; Vetter, Mathias .
    In: Technical Reports.
    RePEc:zbw:sfb475:200432.

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  1125. Estimating Exchange Rate Dynamics with Diffusion Processes : An Application to Greek EMU Data. (2004). Wilfling, Bernd ; Trede, Mark.
    In: HWWA Discussion Papers.
    RePEc:zbw:hwwadp:267.

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  1126. Delta-hedging vega risk?. (2004). Crepey, Stephane.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:4:y:2004:i:5:p:559-579.

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  1127. Stochastic volatility Gaussian Heath-Jarrow-Morton models. (2004). VALCHEV, STOYAN.
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:11:y:2004:i:4:p:347-368.

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  1128. On the Statistical Estimation of Diffusion Processes: A Partial Survey. (2004). Cysne, Rubens.
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:24:y:2004:i:2:a:2713.

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  1129. Interest Rate Risk in the Belgian Banking Sector. (2004). Maes, Konstantijn.
    In: Financial Stability Review.
    RePEc:nbb:fsrart:v:2:y:2004:i:1:p:157-179.

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  1130. Nonlinearity in the Term Structure. (2004). Kim, D H.
    In: The School of Economics Discussion Paper Series.
    RePEc:man:sespap:0401.

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  1131. On the Information in the Interest Rate Term Structure and Option Prices. (2004). Pelsser, Antoon ; Driessen, Joost ; de Jong, Frank.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:7:y:2004:i:2:p:99-127.

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  1132. ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications. (2004). Detemple, Jerome B. ; Broadie, Mark.
    In: Management Science.
    RePEc:inm:ormnsc:v:50:y:2004:i:9:p:1145-1177.

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  1133. The Consumption-Based Determinants of the Term Structure of Discount Rates. (2004). Gollier, Christian.
    In: IDEI Working Papers.
    RePEc:ide:wpaper:2548.

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  1134. A semiparametric single-factor model of the term structure. (2004). Kristensen, Dennis.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24741.

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  1135. Estimation in two classes of semiparametric diffusion models. (2004). Kristensen, Dennis.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24739.

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  1136. Estimation of partial differential equations with applications in finance. (2004). Kristensen, Dennis.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24738.

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  1137. Simulated nonparametric estimation of continuous time models of asset prices and returns. (2004). Mele, Antonio ; Altissimo, Filippo .
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24674.

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  1138. Consistency conditions for affine term structure models. (2004). Levendorskii, Sergei .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:109:y:2004:i:2:p:225-261.

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  1139. Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty: Are popular recommendations consistent with rational behavior?. (2004). Munk, Claus ; Sorensen, Carsten ; Vinther, Tina Nygaard.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:13:y:2004:i:2:p:141-166.

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  1140. Conditional estimation of diffusion processes. (2004). Li, Minqiang ; Poteshman, Allen M. ; Pearson, Neil D..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:74:y:2004:i:1:p:31-66.

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  1141. Modeling the term structure of interest rates: A new approach. (2004). Kimmel, Robert L..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:72:y:2004:i:1:p:143-183.

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  1142. Optimal consumption and investment strategies with stochastic interest rates. (2004). Munk, Claus ; Sorensen, Carsten .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:8:p:1987-2013.

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  1143. General equilibrium real and nominal interest rates. (2004). lioui, abraham ; Poncet, Patrice .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:7:p:1569-1595.

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  1144. Credit derivatives with multiple debt issues. (2004). Hübner, Georges ; Hubner, Georges ; Francois, Pascal.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:5:p:997-1021.

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  1145. The premium and the risk of a life policy in the presence of interest rate fluctuations. (2004). Wang, Nan ; Haberman, Steven ; Gerrard, Russell.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:35:y:2004:i:3:p:537-551.

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  1146. Optimal risk management in defined benefit stochastic pension funds. (2004). Rincón-Zapatero, Juan Pablo ; Rincon-Zapatero, Juan Pablo ; Josa-Fombellida, Ricardo.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:34:y:2004:i:3:p:489-503.

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  1147. Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure. (2004). De Rossi, Giuliano .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:11:y:2004:i:2:p:277-308.

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  1148. Exchange rates and interest rates: can term structure models explain currency movements?. (2004). Inci, Ahmet Can ; Lu, Biao.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:28:y:2004:i:8:p:1595-1624.

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  1149. A canonical first passage time model to pricing nature-linked bonds. (2004). Vaugirard, Victor .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-04g10002.

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  1150. Un Análisis de la Curva de Rendimientos en el Mercado de Deuda Pública Española a Medio y Largo Plazo en el Período 1993-2004.. (2004). Jorge de Andres Sanchez, .
    In: Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016).
    RePEc:eac:articl:11/03.

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  1151. THE MARKET PRICE OF RISK IN INTEREST RATE SWAPS: THE ROLES OF DEFAULT AND LIQUIDITY RISKS. (2004). LIU, JUN ; Longstaff, Francis A. ; Mandell, Ravit E..
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt5z42g22g.

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  1152. A Nonparametric Dimension Test of the Term Structure. (2004). Gil-Bazo, Javier ; Rubio, Gonzalo.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:8:y:2004:i:3:n:6.

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  1153. Deposit Insurance and Forbearance Under Moral Hazard. (2004). So, Jacky ; Wei, Jason Z..
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:71:y:2004:i:4:p:707-735.

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  1154. Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment. (2004). Reinhart, Vincent ; Bernanke, Ben ; Sack, Brian P..
    In: Brookings Papers on Economic Activity.
    RePEc:bin:bpeajo:v:35:y:2004:i:2004-2:p:1-100.

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  1155. A selective overview of nonparametric methods in financial econometrics. (2004). Fan, Jianqing.
    In: Papers.
    RePEc:arx:papers:math/0411034.

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  1156. Nonparametric Methods in Continuous-Time Finance: A Selective Review. (2003). Hong, Yongmiao ; CAI, ZONGWU.
    In: SFB 373 Discussion Papers.
    RePEc:zbw:sfb373:200315.

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  1157. Macroeconomic Factors and the Correlation of Stock and Bond Returns. (2003). Li, Lingfeng.
    In: Yale School of Management Working Papers.
    RePEc:ysm:somwrk:ysm328.

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  1158. Valuing catastrophe bonds by Monte Carlo simulations. (2003). Vaugirard, Victor E..
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:10:y:2003:i:1:p:75-90.

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  1159. A PDE based Implementation of the Hull&White Model for Cashflow Derivatives. (2003). Schwarz, Willi ; Meyer, Sascha .
    In: Computational Statistics.
    RePEc:spr:compst:v:18:y:2003:i:3:p:417-434.

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  1160. The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection. (2003). Hillebrand, Eric.
    In: Departmental Working Papers.
    RePEc:lsu:lsuwpp:2003-10.

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  1161. Estimating intractable non-linear term structure models. (2003). Mikkelsen, Peter.
    In: Finance Working Papers.
    RePEc:hhb:aarfin:2002_007.

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  1162. Pricing catastrophe bonds by an arbitrage approach. (2003). Vaugirard, Victor E..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:43:y:2003:i:1:p:119-132.

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  1163. An empirical analysis of the Australian dollar swap spreads. (2003). Muljono, Ronny ; Fang, Victor.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:11:y:2003:i:2:p:153-173.

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  1164. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. (2003). Piazzesi, Monika ; Ang, Andrew.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:50:y:2003:i:4:p:745-787.

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  1165. Likelihood-based specification analysis of continuous-time models of the short-term interest rate. (2003). Durham Garland B., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:70:y:2003:i:3:p:463-487.

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  1166. Discounting the distant future: how much do uncertain rates increase valuations?. (2003). Pizer, William ; Newell, Richard.
    In: Journal of Environmental Economics and Management.
    RePEc:eee:jeeman:v:46:y:2003:i:1:p:52-71.

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  1167. Generalized M-vector models for hedging interest rate risk. (2003). Soto, Gloria M. ; Nawalkha, Sanjay ; Zhang, Jun.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:27:y:2003:i:8:p:1581-1604.

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  1168. Term structure estimation from on-the-run Treasuries. (2003). Jordan, James V. ; Mansi, Sattar A..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:27:y:2003:i:8:p:1487-1509.

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  1169. Modeling the stochastic behavior of short-term interest rates: Pricing implications for discount bonds. (2003). Bali, Turan G..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:27:y:2003:i:2:p:201-228.

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  1170. Pricing of multi-period rate of return guarantees. (2003). Lindset, Snorre.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:33:y:2003:i:3:p:629-644.

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  1171. Valuation of guaranteed annuity conversion options. (2003). Ballotta, Laura ; Haberman, Steven.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:33:y:2003:i:1:p:87-108.

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  1172. Analytical implementation of the Ho and Lee model for the short interest rate. (2003). Grant, Dwight ; Vora, Gautam .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:14:y:2003:i:1:p:19-47.

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  1173. Consumption-based asset pricing. (2003). Campbell, John Y..
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-13.

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  1174. Intertemporal asset pricing theory. (2003). Duffie, Darrell.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-11.

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  1175. Continuous time and nonparametric modelling of U.S. interest rate models. (2003). SaltoÄŸlu, Burak ; Nowman, Ben K..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:12:y:2003:i:1:p:25-34.

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  1176. Direct estimation of the risk neutral factor dynamics of Gaussian term structure models. (2003). Bams, Dennis ; Schotman, Peter C..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:117:y:2003:i:1:p:179-206.

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  1177. Purebred or hybrid?: Reproducing the volatility in term structure dynamics. (2003). Gallant, A. ; Dittmar, Robert ; Gao, Bin ; Ahn, Dong-Hyun.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:116:y:2003:i:1-2:p:147-180.

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  1178. Maximum likelihood estimation of time-inhomogeneous diffusions. (2003). LI, HAITAO ; Egorov, Alexei ; Xu, Yuewu .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:114:y:2003:i:1:p:107-139.

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  1179. Interpreting implied risk-neutral densities: the role of risk premia. (2003). Vestin, David ; Hördahl, Peter ; Hordahl, Peter.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2003274.

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  1180. A Multifactor Spot Rate Model for the Pricing of Interest Rate Derivatives. (2003). Subrahmanyam, Marti G. ; Peterson, Sandra ; Stapleton, Richard C..
    In: Journal of Financial and Quantitative Analysis.
    RePEc:cup:jfinqa:v:38:y:2003:i:04:p:847-880_00.

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  1181. The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions. (2003). Melenberg, Bertrand ; Driessen, Joost ; Klaassen, Pieter .
    In: Journal of Financial and Quantitative Analysis.
    RePEc:cup:jfinqa:v:38:y:2003:i:03:p:635-672_00.

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  1182. Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach. (2003). Ma, Chenghu.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2003:v:4:i:2:p:401-426.

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  1183. Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data. (2003). Schwartz, Eduardo S. ; Naranjo, Lorezo ; Cortazar, Gonzalo.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt56h775cz.

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  1184. Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing. (2003). Brennan, Michael ; Wang, Ashley W ; Xia, Yihong .
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt20r0j5t8.

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  1185. Extracting Market Expectations on the Duration of the Zero Interest Rate Policy from Japans Bond Prices. (2003). Marumo, Kohei ; Yoshida, Toshihiro ; Nakayama, Takashi ; Nishioka, Shinichi.
    In: Bank of Japan Working Paper Series.
    RePEc:boj:bojwps:03-e-2f.

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  1186. First‐Order Autoregressive Processes with Heterogeneous Persistence. (2003). Jasiak, Joann.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:24:y:2003:i:3:p:283-309.

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  1187. Cross‐sectional Restrictions on the Spot and Forward Term Structures of Interest Rates and Panel Unit Root Tests. (2003). Lekkos, Ilias.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:30:y:2003:i:5-6:p:799-828.

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  1188. The Effect of Exercise Date Uncertainty on Employee Stock Option Value. (2003). Maris, Jomae ; Yang, Tyler T.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:30:y:2003:i:5-6:p:669-698.

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  1189. Cross-sectional Restrictions on the Spot and Forward Term Structures of Interest Rates and Panel Unit Root Tests. (2003). Lekkos, Ilias .
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:30:y:2003-06:i:5-6:p:799-828.

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  1190. A Reexamination of Diffusion Estimators With Applications to Financial Model Validation. (2003). Fan, Jianqing ; Zhang C., .
    In: Journal of the American Statistical Association.
    RePEc:bes:jnlasa:v:98:y:2003:p:118-134.

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  1191. Path integrals as a tool for pricing interest rate contingent claims: The case of reflecting and absorbing boundaries. (2003). Goovaerts, Marc ; De Schepper, Ann ; Decamps, Marc ; Marc, Decamps.
    In: Working Papers.
    RePEc:ant:wpaper:2003027.

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  1192. An Analytic Solution for Interest Rate Swap Spreads. (2002). Grinblatt, Mark.
    In: Yale School of Management Working Papers.
    RePEc:ysm:somwrk:ysm39.

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  1193. A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING II: NUMERICAL METHODS. (2002). Rosa-Clot, Marco ; Taddei, Stefano .
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:05:y:2002:i:02:n:s0219024902001377.

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  1194. HOW DOES THE EURODOLLAR INTEREST RATE BEHAVE?. (2002). di Matteo, Tiziana ; Aste, Tomaso.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:05:y:2002:i:01:n:s021902490200133x.

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  1195. Política Monetaria y Cambios de Régimen en los tipos de Interés del Mercado Interbancario. (2002). Robles Fernandez, M. Dolores ; Jose Luis Fernandez Serrano, .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:0209.

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  1196. An interest rate model with a Markovian mean reverting level. (2002). Elliott, R. J. ; Mamon, R. S..
    In: Quantitative Finance.
    RePEc:taf:quantf:v:2:y:2002:i:6:p:454-458.

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  1197. The expectation hypothesis in emerging financial markets: the case of Malaysia. (2002). Ghazali, Noor A. ; Low, Soo-Wah .
    In: Applied Economics.
    RePEc:taf:applec:v:34:y:2002:i:9:p:1147-1156.

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  1198. Fitting term structure of interest rates using B-splines: the case of Taiwanese Government bonds. (2002). Lin, Bing-Huei.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:12:y:2002:i:1:p:57-75.

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  1199. Fundamental Properties of Bond Prices in Models of the Short-Term Rate. (2002). Mele, Antonio.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp460.

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  1200. Fundamental Properties of Bond Prices in Models of the Short-Term Rate. (2002). Mele, Antonio.
    In: Working Papers.
    RePEc:qmw:qmwecw:460.

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  1201. Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility. (2002). Scaillet, Olivier ; Cheng, Peng.
    In: FAME Research Paper Series.
    RePEc:fam:rpseri:rp67.

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  1202. Economy-Wide Impact of Forest Plantation Development in Laos Using a Dynamic General Equilibrium Approach. (2002). .
    In: EcoMod2010.
    RePEc:ekd:002596:259600131.

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  1203. A Non-Parametric Dimension Test of the Term Structure. (2002). Irigoyen, Gonzalo Rubio ; Bazo, Javier Gil .
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:6754.

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  1204. Price bounds on bond options, swaptions, caps, and floors assuming only nonnegative interest rates. (2002). Munk, Claus.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:11:y:2002:i:4:p:335-347.

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  1205. Asset pricing in an intertemporal partially-revealing rational expectations equilibrium. (2002). Detemple, Jerome B..
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:38:y:2002:i:1-2:p:219-248.

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  1206. Short-term interest rate dynamics: a spatial approach. (2002). Bandi Federico M., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:65:y:2002:i:1:p:73-110.

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  1207. Expectation puzzles, time-varying risk premia, and affine models of the term structure. (2002). Singleton, Kenneth ; Qiang, Dai ; Singleton Kenneth J., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:63:y:2002:i:3:p:415-441.

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  1208. Time Horizon and the Discount Rate. (2002). Gollier, Christian.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:107:y:2002:i:2:p:463-473.

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  1209. Moment generating function approach to pricing interest rate and foreign exchange rate claims. (2002). Dijkstra, Theo K. ; Yao, Yong.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:31:y:2002:i:2:p:163-178.

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  1210. Allocating unfunded liability in pension valuation under uncertainty. (2002). Chen, Chiang-Chu ; Chang, Shih-Chieh.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:30:y:2002:i:3:p:371-387.

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  1211. The volatility of Japanese interest rates: evidence for Certificate of Deposit and Gensaki rates. (2002). Nowman, Ben K..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:11:y:2002:i:1:p:29-38.

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  1212. Modeling the volatility of the Heath-Jarrow-Morton model: a multifactor GARCH analysis. (2002). Zhou, Anjun.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:1:p:35-56.

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  1213. Maximum likelihood estimation of deposit insurance value with interest rate risk. (2002). Simonato, Jean-Guy ; Duan, Jin-Chuan.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:1:p:109-132.

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  1214. Short rate nonlinearities and regime switches. (2002). Bekaert, Geert ; Ang, Andrew.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:26:y:2002:i:7-8:p:1243-1274.

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  1215. Relative Pricing of Options with Stochastic Volatility. (2002). Yan, Shu ; Santa-Clara, Pedro ; Ledoit, Olivier.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt7jp8f42t.

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  1216. On the Specification of the Drift and Diffusion Functions for Continuous‐time Models of the Spot Interest Rate. (2002). Hurn, Stan ; Lindsay, K A.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:64:y:2002:i:5:p:547-564.

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  1217. Dynamic Asset Allocation under Inflation. (2002). Brennan, Michael J..
    In: Journal of Finance.
    RePEc:bla:jfinan:v:57:y:2002:i:3:p:1201-1238.

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  1218. Term Premia and Interest Rate Forecasts in Affine Models. (2002). Duffee, Greg.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:57:y:2002:i:1:p:405-443.

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  1219. Valuing Credit Spreads on Quality Australian Dollar Eurobonds in a Multivariate EGARCH Framework. (2002). Batten, Jonathan ; In, Francis ; Hogan, Warren.
    In: Australian Economic Papers.
    RePEc:bla:ausecp:v:41:y:2002:i:1:p:115-128.

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  1220. Stock Valuation in Dynamic Economics. (2001). Chen, Zhiwu ; Bakshi, Gurdip S..
    In: Yale School of Management Working Papers.
    RePEc:ysm:somwrk:ysm198.

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  1221. On Filtering in Markovian Term Structure Models. (2001). Pasquali, Sara ; Chiarella, Carl ; Runggaldier, Wolfgang J.
    In: World Scientific Book Chapters.
    RePEc:wsi:wschap:9789812799579_0012.

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  1222. Empirical studies on the pricing of bonds and interest rate derivatives. (2001). Driessen, J. J. A. G., .
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:599db9fb-5249-428c-8f8a-8df88649ae4e.

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  1223. Review of major results of Martingale theory applied to the valuation of contingent claims. (2001). Valls Pereira, Pedro ; Vieira, Cicero Augusto .
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:21:y:2001:i:2:a:2755.

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  1224. Risque associé au contrat dassurance-vie pour la compagnie dassurance. (2001). Berthelot, Christophe ; Pistre, Nathalie ; Bossy, Mireille.
    In: Économie et Prévision.
    RePEc:prs:ecoprv:ecop_0249-4744_2001_num_149_3_6293.

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  1225. Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis. (2001). Pelsser, Antoon ; de Jong, Frank ; Driessen, Joost.
    In: Review of Finance.
    RePEc:oup:revfin:v:5:y:2001:i:3:p:201-237..

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  1226. A Joint Model for the Term Structure of Interest Rates and the Macroeconomy. (2001). Maes, Konstantijn ; Lyrio, Marco ; Dewachter, Hans.
    In: International Economics Working Papers Series.
    RePEc:kul:kulwps:wpie002.

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  1227. Pricing Claims Under GARCH-Level Dependent Interest Rate Processes. (2001). Ritchken, P. ; Cvsa, V..
    In: Management Science.
    RePEc:inm:ormnsc:v:47:y:2001:i:12:p:1693-1711.

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  1228. Cross-Currency LIBOR Market Models.. (2001). Mikkelsen, Peter.
    In: Finance Working Papers.
    RePEc:hhb:aarfin:2001_006.

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  1229. Macro factors and the affine term structure of interest rates. (2001). Wu, Tao.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2002-06.

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  1230. Economic Factors Influence on the Russian Capital Market Behavior. (2001). .
    In: EERC Working Paper Series.
    RePEc:eer:wpalle:2k/03e.

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  1231. Efficient procedures for the valuation and hedging of American currency options with stochastic interest rates. (2001). Chang, Chuang-Chang.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:11:y:2001:i:3:p:241-268.

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  1232. Peso problem explanations for term structure anomalies. (2001). Marshall, David ; Hodrick, Robert ; Bekaert, Geert.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:48:y:2001:i:2:p:241-270.

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  1233. Shifting endpoints in the term structure of interest rates. (2001). Tinsley, Peter ; Kozicki, Sharon.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:47:y:2001:i:3:p:613-652.

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  1234. Credit enhancement through financial engineering: Freeport McMoRans gold-denominated depositary shares. (2001). Chidambaran N. K., ; Spindt Paul A., ; Fernando Chitru S., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:60:y:2001:i:2-3:p:487-528.

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  1235. Predictable changes in yields and forward rates. (2001). Wu, Liuren ; Backus, David ; Silverio, Foresi ; Abon, Mozumdar.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:59:y:2001:i:3:p:281-311.

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  1236. Factor models and the correlation structure of interest rates: Some evidence for USD, GBP, DEM and JPY. (2001). Lekkos, Ilias .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:25:y:2001:i:8:p:1427-1445.

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  1237. The analytic pricing of asymmetric defaultable swaps. (2001). Hübner, Georges ; Hubner, Georges .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:25:y:2001:i:2:p:295-316.

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  1238. The term structure of credit spreads with jump risk. (2001). ZHOU, CHUNSHENG.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:25:y:2001:i:11:p:2015-2040.

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  1239. Reading PIBOR futures options smiles: The 1997 snap election. (2001). Rockinger, Michael ; Jondeau, Eric ; Coutant, Sophie .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:25:y:2001:i:11:p:1957-1987.

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  1240. Transition probability functions for martingale laws of bond prices. (2001). Carriere, J. F..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:28:y:2001:i:3:p:393-399.

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  1241. The joint estimation of term structures and credit spreads. (2001). Kleibergen, Frank ; Houweling, Patrick ; Hoek, Jaap .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:8:y:2001:i:3:p:297-323.

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  1242. Discrete-time continuous-state interest rate models. (2001). Sullivan, Michael A..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:25:y:2001:i:6-7:p:1001-1017.

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  1243. A Gaussian approach for continuous time models of the short-term interest rate. (2001). Yu, Jun ; Phillips, Peter.
    In: Econometrics Journal.
    RePEc:ect:emjrnl:v:4:y:2001:i:2:p:3.

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  1244. On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models. (2001). Bjork, Tomas ; Svensson, Lars .
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:11:y:2001:i:2:p:205-243.

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  1245. PRICING CURRENCY OPTIONS UNDER STOCHASTIC INTEREST RATES AND JUMP-DIFFUSION PROCESSES. (2001). Doffou, Ako ; Hilliard, Jimmy E..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:24:y:2001:i:4:p:565-585.

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  1246. Affine Term-Structure Models: Theory and Implementation. (2001). Bolder, David.
    In: Staff Working Papers.
    RePEc:bca:bocawp:01-15.

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  1247. The valuation and hedging of variable rate savings accounts. (2000). de Jong, F. C. J. M., ; Wielhouwer, J. L..
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:d3f6f78c-0558-45f7-97af-cd55f6a929f1.

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  1248. A general model for short-term interest rates. (2000). Chung, Ching-Fan .
    In: Applied Economics.
    RePEc:taf:applec:v:32:y:2000:i:2:p:111-121.

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  1249. A simple regime switching term structure model. (2000). Poulsen, Rolf ; Hansen, Asbjorn T..
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:4:y:2000:i:4:p:409-429.

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  1250. Bond pricing in a hidden Markov model of the short rate. (2000). Landen, Camilla .
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:4:y:2000:i:4:p:371-389.

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  1251. Asset Pricing at the Millennium. (2000). Campbell, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7589.

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  1252. Drift Estimation of Generalized Security Price Processes from High Frequency Derivative Prices. (2000). Pandher, Gurupdesh.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:4:y:2000:i:3:p:263-284.

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  1253. Path Generation for Quasi-Monte Carlo Simulation of Mortgage-Backed Securities. (2000). kesson, Fredrik ; Lehoczky, John P..
    In: Management Science.
    RePEc:inm:ormnsc:v:46:y:2000:i:9:p:1171-1187.

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  1254. Paying for minimum interest rate guarantees: Who should compensate who?. (2000). Jensen, Bjarne Astrup ; Sorensen, Carsten .
    In: Working Papers.
    RePEc:hhs:cbsfin:2000_001.

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  1255. Term premia and interest rate forecasts in affine models. (2000). Duffee, Gregory R..
    In: Working Paper Series.
    RePEc:fip:fedfwp:2000-19.

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  1256. Real and Financial Uncertainty and Investment Decisions. (2000). Saltari, Enrico ; Calcagnini, Giorgio.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:22:y:2000:i:3:p:491-514.

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  1257. An empirical examination of the convexity bias in the pricing of interest rate swaps. (2000). Gupta, Anurag ; Anurag, Gupta ; Subrahmanyam Marti G., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:55:y:2000:i:2:p:239-279.

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  1258. Further evidence on alternative continuous time models of the short-term interest rate. (2000). Episcopos, Athanasios.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:10:y:2000:i:2:p:199-212.

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  1259. Consistent fitting of one-factor models to interest rate data. (2000). Rogers, Leonard ; Stummer, Wolfgang .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:27:y:2000:i:1:p:45-63.

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  1260. An analytically tractable interest rate model with humped volatility. (2000). Mercurio, F. ; Moraleda, J. M..
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:120:y:2000:i:1:p:205-214.

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  1261. Approximating payoffs and pricing formulas. (2000). darolles, serge ; Laurent, Jean-Paul.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:24:y:2000:i:11-12:p:1721-1746.

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  1262. Dynamic Asset Allocation under Inflation. (2000). Brennan, Michael ; Xia, Yihong .
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt8p95456t.

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  1263. The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads. (2000). LIU, JUN ; Longstaff, Francis A. ; Mandell, Ravit E..
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt0zw4f9w6.

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  1264. Continuous-Time Methods in Finance: A Review and an Assessment. (2000). Sundaresan, Suresh M..
    In: Journal of Finance.
    RePEc:bla:jfinan:v:55:y:2000:i:4:p:1569-1622.

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  1265. A Practical Guide to Swap Curve Construction. (2000). Ron, Uri.
    In: Staff Working Papers.
    RePEc:bca:bocawp:00-17.

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  1266. Pricing and quality option in Japanese government bond futures. (1999). Lin, Bing-Huei ; Chen, Ren-Raw ; Chou, Jian-Hsin .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:9:y:1999:i:1:p:51-65.

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  1267. Approximating the term structure of interest rates in Japan. (1999). Yu, Shang-Wu.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:6:y:1999:i:7:p:403-407.

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  1268. Stochastic duration and fast coupon bond option pricing in multi-factor models. (1999). Munk, Claus.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:3:y:1999:i:2:p:157-181.

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  1269. A universal lattice. (1999). Yang, Tyler ; Chen, Ren-Raw.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:3:y:1999:i:2:p:115-133.

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  1270. On the Existence of Finite Dimensional Realizations for Nonlinear Forward Rate Models. (1999). Bjork, Tomas ; Svensson, Lars .
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0338.

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  1271. Managing banks duration gaps when interest rates are stochastic and equity has limited liability. (1999). Sealey, C. W. ; Yan, Y. ; Duan, J..
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:8:y:1999:i:3:p:253-265.

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  1272. Interest rate dynamics and speculative trading in a fixed exchange rate system. (1999). Abraham, Abraham .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:8:y:1999:i:2:p:213-222.

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  1273. 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.

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  1274. Generalizing Mertons approach of pricing risky debt: some closed-form results. (1999). Wang, D. F, .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:265:y:1999:i:1:p:292-296.

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  1275. Fitting the term structure of interest rates for Taiwanese government bonds. (1999). Lin, Bing-Huei.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:9:y:1999:i:3-4:p:331-352.

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  1276. Estimating the parameters of stochastic differential equations. (1999). Hurn, Stan ; Lindsay, K. A..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:48:y:1999:i:4:p:373-384.

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  1277. On the market risk involved in the public financial system in Japan: A theoretical and numerical investigation. (1999). Saito, Makoto ; Miyazaki, Kenji .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:23:y:1999:i:8:p:1243-1259.

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  1278. Three centuries of asset pricing. (1999). Dimson, Elroy ; Mussavian, Massoud.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:23:y:1999:i:12:p:1745-1769.

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  1279. Term structure modeling and asymptotic long rate. (1999). Yao, Yong.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:25:y:1999:i:3:p:327-336.

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  1280. Pricing rate of return guarantees in a Heath-Jarrow-Morton framework. (1999). Miltersen, Kristian R. ; Persson, Svein-Arne .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:25:y:1999:i:3:p:307-325.

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  1281. Pricing UK and US securities within the CKLS model Further results. (1999). Nowman, Ben K. ; Sorwar, Ghulam.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:8:y:1999:i:3:p:235-245.

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  1282. The Term Structure with Highly Persistent Interest Rates. (1999). Valkanov, Rossen .
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt8x91m4hg.

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  1283. Anticipated monetary policy and the dynamic behaviour of the term structure of interest rates. (1999). Vilmunen, Jouko ; Jaaskela, Jarkko .
    In: Research Discussion Papers.
    RePEc:bof:bofrdp:1999_012.

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  1284. Valuing Fixed-Income Options and Mortgage-Backed Securities with Alternative Term Structure Models. (1999). Maris, Brian A. ; Yang, Tyler T. ; Chen, Ren-Raw.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:26:y:1999-01:i:1-2:p:33-55.

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  1285. Zero-Coupon Yield Curve Estimation: A Principal Component, Polynomial Approach. (1998). Terry, Chris ; Hunt, Ben .
    In: Working Paper Series.
    RePEc:uts:wpaper:81.

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  1286. Interaction between asset liability management and risk theory. (1998). Deelstra, Griselda ; Janssen, Jacques.
    In: ULB Institutional Repository.
    RePEc:ulb:ulbeco:2013/7586.

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  1287. Continuous-time short term interest rate models. (1998). Ben Nowman, K..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:8:y:1998:i:4:p:401-407.

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  1288. The Dynamics of the Australian Short†Term Interest Rate. (1998). Maheswaran, K. ; Brailsford, T. J..
    In: Australian Journal of Management.
    RePEc:sae:ausman:v:23:y:1998:i:2:p:213-234.

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  1289. Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models.. (1998). Pritsker, Matt.
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:11:y:1998:i:3:p:449-87.

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  1290. Comparing Mean Reverting Versus Pure Diffusion Interest Rate Processes in Valuing Postponement Options. (1998). Schwebach, Robert G. ; Spahr, Ronald W..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:38:y:1998:i:3:p:579-598.

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  1291. Estimation of the term structure of interest rates: an international perspective. (1998). Pham, Toan M..
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:8:y:1998:i:2-3:p:265-283.

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  1292. Computation of Japanese bonds and derivative securities. (1998). Sorwar, Ghulam ; Ben Nowman, K..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:47:y:1998:i:6:p:583-588.

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  1293. Valuation of LIBOR-Contingent FX options. (1998). Tucker, A. L. ; Wei, J. Z..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:17:y:1998:i:2:p:249-277.

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  1294. Hedging bonds subject to credit risk1. (1998). Skinner, Frank S..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:22:y:1998:i:3:p:321-345.

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  1295. The arbitrage-free valuation and hedging of demand deposits and credit card loans. (1998). van Deventer, Donald ; Jarrow, Robert.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:22:y:1998:i:3:p:249-272.

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  1296. Forecasting U.K. and U.S. interest rates using continuous time term structure models. (1998). Byers, Steven ; Nowman, K. B..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:7:y:1998:i:3:p:191-206.

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  1297. A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model. (1998). Das, Sanjiv.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:23:y:1998:i:3:p:333-369.

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  1298. 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.

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  1299. A note on the valuation of risky corporate bonds. (1997). Schobel, Rainer .
    In: Tübinger Diskussionsbeiträge.
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  1300. Temporäre Marktungleichgewichte auf Bondmärkten: Aktive Handelsstrategien auf Basis geschätzter Zinsstrukturkurven. (1997). Uhrig-Homburg, Marliese ; Kellerhals, Philipp B..
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  1301. Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques. (1997). El-Hassan, Nadima ; Chiarella, Carl.
    In: Working Paper Series.
    RePEc:uts:wpaper:72.

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  1302. Time-series and cross section information in affine term structure models. (1997). de Jong, F. C. J. M., .
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:08704828-0ee7-4069-8a94-23e55d644a95.

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  1303. Term structure modelling of defaultable bonds. (1997). Schonbucher, Philipp.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:119168.

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  1304. New techniques to extract market expectations from financial instruments. (1997). Svensson, Lars ; Söderlind, Paul.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:40:y:1997:i:2:p:383-429.

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  1305. A model of target changes and the term structure of interest rates. (1997). Bertola, Giuseppe ; Balduzzi, Pierluigi ; Foresi, Silverio .
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:39:y:1997:i:2:p:223-249.

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  1306. Short-term interest rate models and generation of interest rate scenarios. (1997). Tse, Y. K..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:43:y:1997:i:3:p:475-480.

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  1307. A model of the term structure of interest rates in an open economy with regime shifts1. (1997). Dillen, Hans .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:16:y:1997:i:5:p:795-819.

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  1308. A generalized method of moments comparison of the cox-ingersoll-ross and heath-jarrow-morton models. (1997). Thurston, David C. ; Sim, Ah Boon, ; Raj, Mahendra.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:49:y:1997:i:2:p:169-192.

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  1309. Pricing American interest rate claims with humped volatility models. (1997). Vorst, Ton ; Moraleda, Juan M. ; Vorst, Ton C. F., .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:21:y:1997:i:8:p:1131-1157.

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  1310. Stochastic volatility, movements in short term interest rates, and bond option values. (1997). Vetzal, Kenneth R..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:21:y:1997:i:2:p:169-196.

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  1311. Unemployment insurance and mortgages. (1997). Scaillet, Olivier ; gourieroux, christian.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:20:y:1997:i:3:p:173-195.

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  1312. Currency option pricing with mean reversion and uncovered interest parity: A revision of the Garman-Kohlhagen model. (1997). Naslund, Bertil ; Jennergren, Peter L. ; Ekvall, Niklas.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:100:y:1997:i:1:p:41-59.

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  1313. Estimating continuous-time stochastic volatility models of the short-term interest rate. (1997). Andersen, Torben ; Lund, Jesper .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:77:y:1997:i:2:p:343-377.

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  1314. Implied volatility from the term structure: a simple analytical approximation. (1997). Steeley, James.
    In: Economics Letters.
    RePEc:eee:ecolet:v:57:y:1997:i:3:p:345-352.

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  1315. How sensitive is short-term Japanese interest rate volatility to the level of the interest rate?. (1997). Takezawa, Nobuya ; Hiraki, Takato .
    In: Economics Letters.
    RePEc:eee:ecolet:v:56:y:1997:i:3:p:325-332.

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  1316. Global asset allocation in fixed income markets. (1997). Ramaswamy, Srichander .
    In: BIS Working Papers.
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  1317. Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model. (1996). Chiarella, Carl ; Bhar, Ram.
    In: Working Paper Series.
    RePEc:uts:wpaper:66.

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  1318. A Preference Free Partial Differential Equation for the Term Structure of Interest Rates. (1996). El-Hassan, Nadima ; Chiarella, Carl.
    In: Working Paper Series.
    RePEc:uts:wpaper:63.

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  1319. Pricing Term Structure Risk in Futures Markets. (1996). Veld, C H ; de Roon, F A ; Nijman, T E.
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:d25a4674-f58e-49cd-b80a-f837f7c358d4.

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  1320. Pricing Term Structure Risk in Futures Markets. (1996). Veld, Chris ; Nijman, Theo ; de Roon, F. A..
    In: Discussion Paper.
    RePEc:tiu:tiucen:d25a4674-f58e-49cd-b80a-f837f7c358d4.

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  1321. The Valuation of Interest Rate Derivatives: Empirical Evidence from the Spanish Market. (1996). Vorst, Ton ; Moraleda, Juan M..
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:19960170.

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  1322. Valuation of sinking-fund bonds in the Vasicek and CIR frameworks*Financial support from Murst Fondo 40% on Modelli di struttura a termine dei tassi dinteresse is gratefully acknowledged.. (1996). Ortu, Fulvio ; Bacinello, Anna Rita ; Stucchi, Patrizia .
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:3:y:1996:i:4:p:269-394.

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  1323. The pricing of Asian options under stochastic interest rates. (1996). Sandmann, Klaus ; Nielsen, J. A..
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:3:y:1996:i:3:p:209-236.

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  1324. Estimation de modèles de la structure par terme des taux dintérêt.. (1996). Zakoian, Jean-Michel ; Scaillet, Olivier ; Broze, Laurence.
    In: Revue Économique.
    RePEc:prs:reveco:reco_0035-2764_1996_num_47_3_409787.

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  1325. Cointegration and the term structure: A multicountry comparison. (1996). Wohar, Mark ; Siklos, Pierre.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:5:y:1996:i:1:p:21-34.

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  1326. Risk-based capital standards and the riskiness of bank portfolios: Credit and factor risks. (1996). Hall, Brian J. ; Grenadier, Steven R..
    In: Regional Science and Urban Economics.
    RePEc:eee:regeco:v:26:y:1996:i:3-4:p:433-464.

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  1327. The term structure of interest rates in a pure exchange economy with heterogeneous investors. (1996). Wang, Jiang.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:41:y:1996:i:1:p:75-110.

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  1328. On alternative interest rate processes. (1996). Dahlquist, Magnus.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:20:y:1996:i:6:p:1093-1119.

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  1329. On measuring credit risks of derivative instruments. (1996). Duffee, Greg.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:20:y:1996:i:5:p:805-833.

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  1330. 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.

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  1331. An analysis of nonlinearities in term premiums and forward rates. (1996). Lin, Charles S. Y., ; Huang, Roger D..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:3:y:1996:i:4:p:347-368.

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  1332. The econometrics of financial markets. (1996). pagan, adrian.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102.

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  1333. 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.

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  1334. Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results. (1996). Ortu, Fulvio ; Bacinello, Anna Rita .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:91:y:1996:i:2:p:235-249.

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  1335. A Bayesian approach to the empirical valuation of bond options. (1996). Schotman, Peter .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:75:y:1996:i:1:p:183-215.

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  1336. Nonlinear interest rate dynamics and implications for the term structure. (1996). Tschernig, Rolf ; Pfann, Gerard ; Schotman, Peter C..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:74:y:1996:i:1:p:149-176.

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  1337. Long memory continuous time models. (1996). Renault, Eric ; Comte, F..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:73:y:1996:i:1:p:101-149.

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  1338. A simple long-memory equilibrium interest rate model. (1996). Duan, Jin-Chuan ; Jacobs, Kris.
    In: Economics Letters.
    RePEc:eee:ecolet:v:53:y:1996:i:3:p:317-321.

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  1339. BIVARIATE BINOMIAL OPTIONS PRICING WITH GENERALIZED INTEREST RATE PROCESSES. (1996). Schwartz, Adam L ; Hilliard, Jimmy E ; Tucker, Alan L.
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:19:y:1996:i:4:p:585-602.

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  1340. Options in and on interest rate futures contracts: results from martingale pricing theory. (1995). Esposito, M. ; Cherubini, U..
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:2:y:1995:i:1:p:1-16.

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  1341. Estimating the term structure of volatility and fixed income derivative pricing. (1995). Issler, João.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:272.

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  1342. Estimating the Cox, ingersoll and Ross model of the term structure: a multivariate approach. (1995). Berardi, Andrea.
    In: Ricerche Economiche.
    RePEc:eee:riceco:v:49:y:1995:i:1:p:51-74.

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  1343. Interest rate models and option pricing: A sensitivity analysis. (1995). Tse, Y. K..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:39:y:1995:i:3:p:431-436.

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  1344. Minimum distance estimation and testing for interest rate models. (1995). Fournie, Eric.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:38:y:1995:i:1:p:143-150.

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  1345. Valuing lease contracts A real-options approach. (1995). Grenadier Steven R., ; Grenadier Steven R., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:38:y:1995:i:3:p:297-331.

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  1346. A reexamination of option values implicit in callable Treasury bonds. (1995). Jordan, Bradford ; Jorgensen Randy D., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:38:y:1995:i:2:p:141-162.

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  1347. The duration vector: A continuous-time extension to default-free interest rate contingent claims. (1995). Nawalkha, Sanjay.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:19:y:1995:i:8:p:1359-1366.

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  1348. Deposit insurance and bank interest rate risk: Pricing and regulatory implications. (1995). Moreau, Arthur F. ; Jin-Chuan, Duan ; Sealey, C. W..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:19:y:1995:i:6:p:1091-1108.

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  1349. Face value convergence for stochastic bond price processes: a note on Mertons partial equilibrium option pricing model. (1995). Nawalkha, Sanjay.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:19:y:1995:i:1:p:153-164.

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  1350. A note on currency option pricing. (1995). Nawalkha, Sanjay ; Chambers, Donald R..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:4:y:1995:i:1:p:81-84.

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  1351. Testing for continuous-time models of the short-term interest rate. (1995). Zakoian, Jean-Michel ; Scaillet, Olivier ; Broze, Laurence.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:2:y:1995:i:3:p:199-223.

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  1352. The persistence in volatility of the US term premium 1970-1986. (1995). Wickens, Michael ; Tzavalis, Elias.
    In: Economics Letters.
    RePEc:eee:ecolet:v:49:y:1995:i:4:p:381-389.

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  1353. On the term structure of Interbank interest rates: jump-diffusion processes and option pricing. (1995). Moreno, Manuel ; Pea, Juan Ignacio.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:7074.

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  1354. 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.

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  1355. Delta, gamma and bucket hedging of interest rate derivatives. (1994). Jarrow, Robert ; Turnbull, Stuart .
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:1:y:1994:i:1:p:21-48.

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  1356. Estimation of the term structure from bond data. (1994). Scaillet, Olivier ; gourieroux, christian.
    In: CEPREMAP Working Papers (Couverture Orange).
    RePEc:cpm:cepmap:9415.

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  1357. Mortgage-Backed Futures and Options. (1993). Ling, David.
    In: Real Estate Economics.
    RePEc:bla:reesec:v:21:y:1993:i:1:p:47-67.

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  1358. Valorisation de Produits Obligataires dans un Modèle dEquilibre Général en Temps Discret. (1992). Décamps, Jean-Paul.
    In: IDEI Working Papers.
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  1359. MLE of some continuous time financial models: Some Monte Carlo results. (1992). Tse, Y. K..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:33:y:1992:i:5:p:575-580.

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  1360. 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.

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  1361. Optimal GDP-indexed Bonds. (). Onder, Yasin Kursat.
    In: Review of Economic Dynamics.
    RePEc:red:issued:21-334.

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  1362. Aggregation of Nonparametric Estimators for Volatility Matrix. (). Fan, Jianqing ; Jinchi Lv, .
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:5:y::i:3:p:321-357.

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  1363. Credit Spread Specification and the Pricing of Spread Options. (). Mougeot, Nicolas.
    In: FAME Research Paper Series.
    RePEc:fam:rpseri:rp14.

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  1364. On Correlation Effects and Default Clustering in Credit Models. (). Berndt, Antje ; Sun, Zhiqiang ; Ritchken, Peter .
    In: GSIA Working Papers.
    RePEc:cmu:gsiawp:1217885373.

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  1365. Efficient Solutions for Pricing and Hedging Interest Rate Asian Options. (). Machado, Jose Valentim ; Baczynski, Jack ; da Silva, Allan Jonathan .
    In: Working Papers Series.
    RePEc:bcb:wpaper:513.

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