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Tag: term-structure
42 items with this tag.
Apr 13, 2026
The inflation risk premium drives the slope of the nominal yield curve
term-structure
inflation-risk-premium
nominal-yields
regime-switching
Apr 13, 2026
The principal eigenvalue of the pricing semigroup determines the long-run yield and the long-run risk-price vector
asset-pricing
eigenvalue
long-run-risk
term-structure
yield
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
A 2-state Markov regime-switching CIR term-structure model jointly captures conditional volatility, conditional correlation, and Campbell-Shiller expectations-hypothesis violations on US Treasury yields
term-structure
regime-switching
cir
expectations-hypothesis
conditional-volatility
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
Term premium decline explains the 2004-05 yield conundrum
term-structure
term-premium
monetary-policy
yield-curve
Apr 13, 2026
Latent Markov regimes estimated from US Treasury yields align with NBER business-cycle phases
regime-switching
term-structure
business-cycle
nber
hidden-markov
Apr 13, 2026
Yield curve information sharpens identification of monetary policy regimes
term-structure
monetary-policy
identification
regime-switching
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
Identification under regime switching
identification
regime-switching
term-structure
monetary-policy
Apr 13, 2026
Inflation risk premium
term-structure
real-rates
inflation
risk-premium
no-arbitrage
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
State-Dependent Regime Transition Probabilities
regime-switching
markov-chain
term-structure
time-varying-transitions
Apr 13, 2026
TSM MLE v2: Global Latin Hypercube Search + NelderMead Polish
cre
regime-switching
term-structure
mle
global-search
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
An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates
term-structure
term-premium
monetary-policy
affine-model
Kalman-filter
survey-data
inflation-risk-premium
Apr 13, 2026
Term Structure of Interest Rates with Regime Shifts
term-structure
regime-switching
cir
emm
expectations-hypothesis
business-cycle
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
andrew-ang
asset-pricing
term-structure
regime-switching
factor-investing
macro-finance
Apr 13, 2026
antonio-moreno
rational-expectations
macroeconomics
monetary-policy
dsge
term-structure
Apr 13, 2026
david-leather
commercial-real-estate
asset-pricing
regime-switching
monetary-policy
dsge
mjls
term-structure
Apr 13, 2026
don-kim
term-structure
affine-models
term-premium
monetary-policy
Apr 13, 2026
geert-bekaert
asset-pricing
term-structure
international-finance
regime-switching
macro-finance
Apr 13, 2026
hao-zhou
asset-pricing
term-structure
fixed-income
regime-switching
Apr 13, 2026
jacob-sagi
commercial-real-estate
asset-pricing
regime-switching
term-structure
monetary-policy
oil-pricing
real-estate
Apr 13, 2026
jessica-wachter
asset-pricing
rare-disasters
recursive-utility
term-structure
Apr 13, 2026
kenneth-singleton
finance
asset-pricing
term-structure
econometrics
Apr 13, 2026
mikhail-chernov
asset-pricing
term-structure
derivatives
macro-finance
fixed-income
Apr 13, 2026
min-wei
term-structure
monetary-policy
macro-finance
regime-switching
Apr 13, 2026
qiang-dai
finance
asset-pricing
term-structure
econometrics
Apr 13, 2026
ravi-bansal
asset-pricing
macro-finance
term-structure
long-run-risks
Apr 13, 2026
ruslan-bikbov
term-structure
monetary-policy
regime-switching
fixed-income
Apr 13, 2026
wei-yang
finance
asset-pricing
term-structure
econometrics
Apr 13, 2026
Markov-Switching Term Structure Models
term-structure
regime-switching
asset-pricing
no-arbitrage
monetary-policy
bond-pricing
macro-finance