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DP14774 A no-arbitrage perspective on global arbitrage opportunities 智库出版物
2020
作者:  Patrick Augustin;  Mikhail Chernov;  Lukas Schmid;  Dongho Song
收藏  |  浏览/下载:4/0  |  提交时间:2022/09/22
Cip violations  Negative swap rates  Treasury basis  Anomalies  No- arbitrage  
DP14774 The term structure of CIP violations 智库出版物
2020
作者:  Patrick Augustin;  Mikhail Chernov;  Lukas Schmid;  Dongho Song
收藏  |  浏览/下载:4/0  |  提交时间:2022/09/22
Cip violations  Negative swap rates  Treasury basis  Anomalies  No-arbitrage  Limits to arbitrage  
DP9848 No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates 智库出版物
2014
作者:  Massimiliano Marcellino;  Andrea Carriero;  Todd Clark
收藏  |  浏览/下载:1/0  |  提交时间:2022/09/22
Density forecasting  No arbitrage  stochastic volatility  Term structure  
DP4102 The European Phillips Curve: Does the NAIRU Exist? 智库出版物
2003
作者:  Dennis Snower;  Marika Karanassou;  Hector Sala
收藏  |  浏览/下载:5/0  |  提交时间:2022/09/22
Equity risk premium  Stochastic discount factor model  Consumption capm  Multivariate garch with no-arbitrage  Epstein-zin model