Author of the publication

Modeling the stochastic behavior of short-term interest rates: Pricing implications for discount bonds

. Journal of Banking & Finance, 27 (2): 201--228 (February 2003)

Please choose a person to relate this publication to

To differ between persons with the same name, the academic degree and the title of an important publication will be displayed. You can also use the button next to the name to display some publications already assigned to the person.

 

Other publications of authors with the same name

Disturbing extremal behavior of spot rate dynamics, and . Journal of Empirical Finance, 10 (4): 455--477 (September 2003)Modeling the stochastic behavior of short-term interest rates: Pricing implications for discount bonds. Journal of Banking & Finance, 27 (2): 201--228 (February 2003)The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR, , and . Journal of Banking & Finance, 32 (2): 269--282 (February 2008)Nonlinear mean reversion in stock prices, , and . Journal of Banking & Finance, 32 (5): 767--782 (May 2008)Value at risk and the cross-section of hedge fund returns, , and . Journal of Banking & Finance, 31 (4): 1135--1166 (April 2007)A conditional extreme value volatility estimator based on high-frequency returns, and . Journal of Economic Dynamics and Control, 31 (2): 361--397 (February 2007)Volatility Spreads and Expected Stock Returns, and . Management Science, 55 (11): 1797-1812 (2009)Inflation shoe leather costs and average inflation rates across countries, and . Journal of International Money and Finance, 25 (7): 1103--1129 (November 2006)Cyclicality in catastrophic and operational risk measurements, and . Journal of Banking & Finance, 31 (4): 1191--1235 (April 2007)The intertemporal relation between expected returns and risk. Journal of Financial Economics, 87 (1): 101--131 (January 2008)