Daniel Dickler, Robert A. Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer and Xiaoming Wang[1] First Version:...
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An 8-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Japanese Government Bond Yield Curve, Using Daily Data from September 24, 1974 through November 30, 2021
Donald R. van Deventer[1] First Version: December 6, 2021 This Version: December 7, 2021 ABSTRACT Please note: Kamakura...
A 12-Factor Heath, Jarrow, and Morton Stochastic Volatility Model For 13-Country `World’ Government Bonds, Using Daily Data from January 1, 1962 through September 30, 2021
Donald R. van Deventer[1] First Version: October 19, 2021 This Version: October 21, 2021 ABSTRACT Please note: Kamakura...
A 10-Factor Heath, Jarrow and Morton Model for the Japanese Government Bond Yield Curve, 1974 to 2018: The Impact of Negative Rates and Smoothing Issues
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the Japanese Government Bond yield...
An 8 Factor Heath, Jarrow and Morton Model for the Japanese Government Bond Yield Curve, 1974 to 2016: The Impact of Negative Rates and Smoothing Issues
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the Japanese Government Bond yield...