A Classification of Two-Factor Affine Diffusion Term Structure Models
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- Christian Gourieroux & Razvan Sufana, 2005. "A Classification of Two Factor Affine Diffusion Term Structure Models," Working Papers 2005-42, Center for Research in Economics and Statistics.
References listed on IDEAS
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Cited by:
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- Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
- Monfort, A. & Pegoraro, F., 2007.
"Switching VARMA Term Structure Models - Extended Version,"
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- Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers 2007-19, Center for Research in Economics and Statistics.
- Chiarella, Carl & Hsiao, Chih-Ying & Tô, Thuy-Duong, 2016.
"Stochastic correlation and risk premia in term structure models,"
Journal of Empirical Finance, Elsevier, vol. 37(C), pages 59-78.
- Carl Chiarella & Chih-Ying Hsiao & Thuy-Duong To, 2011. "Stochastic Correlation and Risk Premia in Term Structure Models," Research Paper Series 298, Quantitative Finance Research Centre, University of Technology, Sydney.
- Gourieroux, C. & Monfort, A., 2008.
"Quadratic stochastic intensity and prospective mortality tables,"
Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August.
- Christian Gourieroux & Alain Monfort, 2007. "Quadratic Stochastic Intensity and Prospective Mortality Tables," Working Papers 2007-30, Center for Research in Economics and Statistics.
- Eduardo Abi Jaber & Bruno Bouchard & Camille Illand & Eduardo Abi Jaber, 2018. "Stochastic invariance of closed sets with non-Lipschitz coefficients," Post-Print hal-01349639, HAL.
- Cheridito, Patrick & Filipovic, Damir & Kimmel, Robert L., 2006. "Affine Term Structure Models," Working Paper Series 2007-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Abi Jaber, Eduardo & Bouchard, Bruno & Illand, Camille, 2019. "Stochastic invariance of closed sets with non-Lipschitz coefficients," Stochastic Processes and their Applications, Elsevier, vol. 129(5), pages 1726-1748.
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