This paper develops and estimates an equilibrium model of the term structures of nominal
and real interest rates. The term structures are driven by state variables that include the short …

In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …

I present an analytical valuation framework for the management of fixed-income instruments
traded in imperfectly competitive markets, like demand deposits and credit card loans in the …

This paper presents a term structure model for no-arbitrage bond yields and realized bond
market volatility. Based on well-known results, realized yield curve covariation is linked to …

In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …

An investor is often faced with the investment situation in which he/she has to decide how to
allocate his/her limited funds optimally among different assets to maximize his/her expected …

This article examines the roles of uncertainties regarding various macro-variables in
determining risk premiums of bond yields. We develop a multivariate GARCH-VAR to …

This paper presents affine term structure models with Garch heteroscedastic latent factors
driving the short rate, and an extension of the Kalman Filter to estimate such models. With …

This article proposes a derivative pricing framework when the asset returns and the short
term rate process are modelled with affine GARCH models driven by correlated Gaussian …

This paper identifies the Multifractal Models of Asset Return (MMARs) from the eight nodal
term structure series of US Treasury rates as well as the Fed Funds rate and, after proper …