Using affine models of the term structure to estimate risk premia

Nikolaos Panigirtzoglou · SSRN Electronic Journal · 2001

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Type: article
Published: 2001-01-01
Cited by: 6
References: 12
Access: Open access
DOI: https://doi.org/10.2139/ssrn.264659
OpenAlex: https://openalex.org/W11192793
Semantic Scholar: https://api.semanticscholar.org/CorpusID:17772698

Keywords

Term (time), Affine term structure model, Risk premium, Econometrics, Affine transformation

References

Forecasting structural time series models and the kalman filter: Andrew Harvey, 1989, (Cambridge University Press), 554 pp., ISBN 0-521-32196-4Robert Fildes — 1992
What Was the Market's View of U.K. Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed BondsEli M. Remolona, Michael Wickens, Frank F. Gong — 1998
International Models for Interest Rates and Foreign ExchangeBjorn Flesaker, Lane P. Hughston — 1997
New estimates of the UK real and nominal yield curvesNicola Anderson, J. F. A. Sleath — 2001
Abstract: An Equilibrium Characterization of the Term StructureOldrich A. Vasicek — 1977
The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange RatesL. C. G. Rogers — 1997
Affine Term Structure Models and the Forward Premium AnomalyDavid Backus, Silverio Foresi, Chris Telmer — 2001
A theory of the term structure of interest rates'', Econometrica 53, 385-407John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross — 1985
Predictable changes in yields and forward rates qDavid Backus, Silverio Foresi, Abon Mozumdar — 2001
Aane Models of Currency Pricing: Accounting for the Forward Premium AnomalyBurton Holli eld — 1998

Cited by

Macroeconomic sources of foreign exchange risk in new EU membersEvžen Kočenda, Tigran Poghosyan — 2008
Determinants of the Foreign Exchange Risk Premium in the Gulf Cooperation Council CountriesTigran Poghosyan — 2012
Modeling Foreign Exchange Risk Premium in ArmeniaTigran Poghosyan, Evžen Kočenda, Petr Zemčı́k — 2008
Prime Journal of Business Administration and ManagementPublisher Prime Journals Limited — 2014
Determinants of variability in foreign exchange risk premium in KenyaJoseph Wambua Kithitu — 2014
Essays on International Currency MarketsTigran Poghosyan — 2008
Macroeconomic Sources of Foreign Exchange Risk in New EU MembersEvžen Kočenda, Tigran Poghosyan — 2007

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