Libor Market Model Under The Real-World Measure
Author
Abstract
Suggested Citation
DOI: 10.1142/S0219024913500246
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Felix Geiger, 2011. "The Yield Curve and Financial Risk Premia," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-21575-9, October.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Scheffknecht, Lukas & Geiger, Felix, 2011. "A behavioral macroeconomic model with endogenous boom-bust cycles and leverage dynamcis," FZID Discussion Papers 37-2011, University of Hohenheim, Center for Research on Innovation and Services (FZID).
- Ye, Xiaoxia, 2012. "Market expectations of the short rate and the term structure of interest rates: a new perspective from the classic model," MPRA Paper 41093, University Library of Munich, Germany.
- Schupp, Fabian, 2020.
"The (ir)relevance of the nominal lower bound for real yield curve analysis,"
Working Paper Series
2476, European Central Bank.
- Schupp, Fabian, 2020. "The (ir)relevance of the nominal lower bound for real yield curve analysis," Discussion Papers 32/2020, Deutsche Bundesbank.
- Sophocles N. Brissimis & Evangelia A. Georgiou, 2022. "The effects of Federal Reserve's quantitative easing and balance sheet normalization policies on long-term interest rates," Working Papers 299, Bank of Greece.
- Etienne Vaccaro-Grange, 2019.
"Quantitative Easing and the Term Premium as a Monetary Policy Instrument,"
Working Papers
halshs-02359503, HAL.
- Etienne Vaccaro-Grange, 2019. "Quantitative Easing and the Term Premium as a Monetary Policy Instrument," AMSE Working Papers 1932, Aix-Marseille School of Economics, France.
- Parley Ruogu Yang, 2020. "Using the yield curve to forecast economic growth," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1057-1080, November.
- Mustapha Olalekan Ojo & Luís Aguiar-Conraria & Maria Joana Soares, 2020.
"A time–frequency analysis of the Canadian macroeconomy and the yield curve,"
Empirical Economics, Springer, vol. 58(5), pages 2333-2351, May.
- Mustapha Olalekan Ojo & Luís Aguiar-Conraria & Maria Joana Soares, 2017. "A time-frequency analysis of the Canadian macroeconomy and the yield curve," NIPE Working Papers 12/2017, NIPE - Universidade do Minho.
- Lubomira Gertler, 2015. "Interactions of Unconventional Monetary Policy Measures with the Euro Area Yield Curve," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(2), pages 106-126, March.
More about this item
Keywords
LIBOR market model; term structure model; market price of risk; real-world simulation; principal component analysis;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:16:y:2013:i:04:n:s0219024913500246. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.