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Tag: no-arbitrage
21 items with this tag.
Apr 13, 2026
The real-rate term structure is approximately flat
term-structure
real-rates
no-arbitrage
regime-switching
Apr 13, 2026
The regime-shift risk premium is an economically large component of the term premium in long-maturity US Treasury bonds
risk-premium
regime-switching
term-structure
treasury-bonds
no-arbitrage
Apr 13, 2026
State-dependent Markov transition probabilities significantly improve fit of US Treasury yield dynamics over constant-transition regime-switching DTSMs
term-structure
regime-switching
no-arbitrage
treasury-bonds
model-comparison
Apr 13, 2026
CIR / Square-Root Term Structure Model
term-structure
fixed-income
affine-model
no-arbitrage
Apr 13, 2026
Exponential-Quadratic Asset Pricing Factors
asset-pricing
riccati
no-arbitrage
term-structure
real-estate
Apr 13, 2026
Inflation risk premium
term-structure
real-rates
inflation
risk-premium
no-arbitrage
Apr 13, 2026
Markov Regime Switching in Asset Prices
regime-switching
asset-pricing
hidden-markov
no-arbitrage
business-cycle
Apr 13, 2026
Real-rate / expected-inflation decomposition of nominal yields
term-structure
real-rates
inflation
decomposition
no-arbitrage
Apr 13, 2026
Regime-Shift Risk Premium
risk-premium
regime-switching
term-structure
no-arbitrage
asset-pricing
Apr 13, 2026
Regime-Switching Affine Term Structure Model
term-structure
regime-switching
no-arbitrage
affine
treasury-bonds
Apr 13, 2026
Regime-switching affine term structure model
term-structure
regime-switching
no-arbitrage
affine-models
bond-pricing
Apr 13, 2026
Regime-switching no-arbitrage term structure
term-structure
regime-switching
no-arbitrage
asset-pricing
Apr 13, 2026
Cross-asset regime-consistent pricing: CRE + Treasuries under a single regime-switching SDF
cross-asset
no-arbitrage
risk-premia
term-premium
regime-switching
sdf
cre
treasury
Apr 13, 2026
Generalize the Dai–Singleton–Yang regime-switching ATSM to exponential-quadratic asset pricing factors
exponential-quadratic
regime-switching
atsm
no-arbitrage
riccati
term-structure
cre
Apr 13, 2026
The Term Structure of Real Rates and Expected Inflation
term-structure
regime-switching
real-rates
inflation-risk-premium
no-arbitrage
treasury-yields
Apr 13, 2026
Monetary Policy Regimes and the Term Structure of Interest Rates
monetary-policy
regime-switching
taylor-rule
term-structure
no-arbitrage
Apr 13, 2026
Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields
term-structure
regime-switching
no-arbitrage
treasury-bonds
gaussian-affine
monetary-policy
Apr 13, 2026
Macro Fundamentals & Commercial Real Estate Price Dynamics
commercial-real-estate
markov-switching
asset-pricing
no-arbitrage
dsge
monetary-policy
wage-rigidity
exponential-quadratic
riccati
Apr 13, 2026
Riccati Equations for the Leather-Sagi Model
riccati
exponential-quadratic
no-arbitrage
regime-switching
cre-pricing
derivation
Apr 13, 2026
Commercial Real Estate Pricing with Regime-Switching Macro Dynamics
commercial-real-estate
asset-pricing
regime-switching
no-arbitrage
cap-rates
Apr 13, 2026
Markov-Switching Term Structure Models
term-structure
regime-switching
asset-pricing
no-arbitrage
monetary-policy
bond-pricing
macro-finance