Can Linear-Rational Term Structure Models Capture Conditional Volatility in the Treasury Yield Market?

2020 ◽  
Author(s):  
Jorge Hansen
Keyword(s):  
Term Structure ◽  
Conditional Volatility ◽  
Term Structure Models ◽  
Rational Term

Linear-Rational Term Structure Models

2014 ◽  
Author(s):  
Damir Filipovic ◽  
Martin Larsson ◽  
Anders B. Trolle
Keyword(s):  
Term Structure ◽  
Term Structure Models ◽  
Rational Term

Linear-Rational Term Structure Models

2017 ◽  
Vol 72 (2) ◽  
pp. 655-704 ◽  
Author(s):  
DAMIR FILIPOVIĆ ◽  
MARTIN LARSSON ◽  
ANDERS B. TROLLE
Keyword(s):  
Term Structure ◽  
Term Structure Models ◽  
Rational Term

scholarly journals Rational term structure models with geometric Lévy martingales

Stochastics ◽  
2012 ◽  
Vol 84 (5-6) ◽  
pp. 719-740 ◽  
Author(s):  
Dorje C. Brody ◽  
Lane P. Hughston ◽  
Ewan Mackie
Keyword(s):  
Term Structure ◽  
Term Structure Models ◽  
Rational Term

Risk Premia and Wishart Term Structure Models

2010 ◽  
Author(s):  
Carl Chiarella ◽  
Chih-Ying Hsiao ◽  
Thuy Duong To
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Term Structure Models
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