Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach
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Cited by:
- Gikas A. Hardouvelis & Dimitrios D. Thomakos, 2007.
"Consumer Confidence and Elections,"
Working Paper series
42_07, Rimini Centre for Economic Analysis.
- Gikas Hardouvelis & Dimitrios Thomakos, 2007. "Consumer Confidence and Elections," Working Papers 0003, University of Peloponnese, Department of Economics.
- Hardouvelis, Gikas & Thomakos, Dimitrios D, 2008. "Consumer Confidence and Elections," CEPR Discussion Papers 6701, C.E.P.R. Discussion Papers.
- Luis Eduardo Arango & Luz Adriana Flórez, 2004.
"Expectativas de actividad económica en Colombia y estructura a plazo: un poco más de evidencia,"
Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 22(47), pages 126-160, December.
- Luis Eduardo Arango & Luz Adriana Flórez, 2004. "Expectativas De Actividad Económica En Colombia Y Estructura A Plazo: Un Poco Más De Evidencia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 22(47), pages 126-160, December.
- Luis Eduardo Arango & Luz Adriana Flórez, 2004. "Expectativas de Actividad Económica en Colombia y Estructura a Plazo: Un Poco más de Evidencia," Borradores de Economia 302, Banco de la Republica de Colombia.
- Luis Eduardo Arango & Luz Adriana Flórez, 2004. "Expectativas De Actividad Económica En Colombia Y Estructura A Plazo: Un Poco Más De Evidencia," Borradores de Economia 2692, Banco de la Republica.
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More about this item
Keywords
Term structure of interest rates; Martingale measure; Jump-diffusion;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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