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The effect of uncertainty on the information content of term spread and its components

Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2021) 29 (1): 2–28.

https://doi.org/10.1108/JDQS-08-2020-0021

Published: 22 March 2021

... on the linkage between the monetary and interest rate policies and the term structure of interest rate. To decompose the term spread into its components, the term premium and the expectation on future short-term interest rates (risk-neutral expectation), we use the model of Adrian et al. (2013...

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Journal Articles

The Term Structure Model under the α-Stable Levy Process

Joon Hee Rhee, Soo Chun Park

Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2010) 18 (1): 77–100.

https://doi.org/10.1108/JDQS-01-2010-B0003

Published: 28 February 2010

.../licences/by/4.0/legalcode α-stable Levy Process Time Change Term Structure of Interest Rate ...

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