Crossref Citations
This article has been cited by the following publications. This list is generated based on data provided by
Crossref.
Chiarella, Carl
and
Kwon, Oh Kang
2000.
A Complete Markovian Stochastic Volatility Model in the HJM Framework.
Asia-Pacific Financial Markets,
Vol. 7,
Issue. 4,
p.
293.
Karoui, Nicole El
Geman, Helyette
and
Lacoste, Vincent
2000.
On the role of state variables in interest rates models.
Applied Stochastic Models in Business and Industry,
Vol. 16,
Issue. 3,
p.
197.
Jong, Frank de
2000.
Time Series and Cross-section Information in Affine Term-Structure Models.
Journal of Business & Economic Statistics,
Vol. 18,
Issue. 3,
p.
300.
Lioui, Abraham
and
Poncet, Patrice
2000.
Optimal Currency Risk Hedging.
SSRN Electronic Journal ,
Lioui, Abraham
and
Poncet, Patrice
2000.
International Asset Allocation: A New Perspective.
SSRN Electronic Journal ,
Goldstein, Robert S.
2000.
The Term Structure of Interest Rates as a Random Field.
Review of Financial Studies,
Vol. 13,
Issue. 2,
p.
365.
Longstaff, Francis A.
Santa‐Clara, Pedro
and
Schwartz, Eduardo S.
2001.
The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence.
The Journal of Finance,
Vol. 56,
Issue. 6,
p.
2067.
Miyazaki, Koichi
and
Tsubaki, Hiroe
2001.
Panel Data Analysis of Japanese Government Bond Market.
The Journal of Fixed Income,
Vol. 10,
Issue. 4,
p.
41.
GOMBANI, ANDREA
and
RUNGGALDIER, WOLFGANG J.
2001.
A FILTERING APPROACH TO PRICING IN MULTIFACTOR TERM STRUCTURE MODELS.
International Journal of Theoretical and Applied Finance,
Vol. 04,
Issue. 02,
p.
303.
Collin‐Dufresne, Pierre
and
Goldstein, Robert S.
2002.
Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility.
The Journal of Finance,
Vol. 57,
Issue. 4,
p.
1685.
Lioui, Abraham
and
Poncet, Patrice
2002.
Optimal currency risk hedging.
Journal of International Money and Finance,
Vol. 21,
Issue. 2,
p.
241.
Diebold, Francis X.
and
Li, Canlin
2002.
Forecasting the Term Structure of Government Bond Yields.
SSRN Electronic Journal,
Chiarella, Carl
and
Kwon, Oh Kang
2003.
Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields.
Review of Derivatives Research,
Vol. 6,
Issue. 2,
p.
129.
Zivot, Eric
and
Wang, Jiahui
2003.
Modeling Financial Time Series with S-Plus®.
p.
591.
Collin-Dufresne, Pierre
and
Goldstein, Robert S.
2003.
Generalizing the Affine Framework to HJM and Random Field Models.
SSRN Electronic Journal ,
Chiarella, Carl
and
Sklibosios, Christina Nikitopoulos
2003.
A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework.
Asia-Pacific Financial Markets,
Vol. 10,
Issue. 2-3,
p.
87.
Lioui, Abraham
and
Poncet, Patrice
2003.
International asset allocation: A new perspective.
Journal of Banking & Finance,
Vol. 27,
Issue. 11,
p.
2203.
Duffie, Darrell
2003.
Financial Markets and Asset Pricing.
Vol. 1,
Issue. ,
p.
639.
Chiarella, Carl
Colwell, David B.
and
Kwon, Oh Kang
2004.
A Class of Stochastic Volatility HJM Interest Rate Models.
SSRN Electronic Journal,
Nielsen, Martin J.
and
Schwartz, Eduardo S.
2004.
Theory of Storage and the Pricing of Commodity Claims.
Review of Derivatives Research,
Vol. 7,
Issue. 1,
p.
5.