Time Deformation and the Yield Curve

Keywords

Yield curve, Deformation (meteorology), Mathematics, Economics, Materials science

References

• Econometric Modeling of Multivariate Irregularly-Spaced High-Frequency DataJeffrey R. Russell — 2000
• A Preferred-Habitat Model of the Term Structure of Interest RatesDimitri Vayanos, Jean-Luc Vila — 2009
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• Trading Fast and Slow: Security Market Events in Real TimeJoel Hasbrouck — 1999
• Testing Separability in Multi-dimensional Point ProcessesFrederic Paik Schoenberg — 2003
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• The Term Structure of Interest RatesJohn M. Culbertson — 1957
• Can Speculative Trading Explain the Volume–Volatility Relation?F. Douglas Foster, Siva Viswanathan — 1995
• The asymptotic behaviour of maximum likelihood estimators for stationary point processesYoshiko Ogata — 1978
• Market Microstructure TheoryMaureen O’Hara — 1995
• Bid, ask and transaction prices in a specialist market with heterogeneously informed tradersLawrence R. Glosten, Paul Milgrom — 1985
• On the independence of transactions on the New York Stock exchangeKenneth D. Garbade, Zvi Lieber — 1977
• The conditional intensity of general point processes and an application to line processesF. Papangelou — 1974
• Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic VolatilityTorben G. Andersen — 1996
• The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions HypothesisT. W. Epps, Mary Lee Epps — 1976
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction DataRobert F. Engle, Jeffrey R. Russell — 1998
• Informed trade in spot foreign exchange markets: an empirical investigationRichard Payne — 2003
• Statistical Models for Earthquake Occurrences and Residual Analysis for Point ProcessesYosihiko Ogata — 1988
• A YIELD-FACTOR MODEL OF INTEREST RATESDarrell Duffie, Rui Kan — 1996
• Spectra of some self-exciting and mutually exciting point processesAlan G. Hawkes — 1971

Cited by

• Portfolio Choice in Markets with ContagionYacine Aı̈t-Sahalia, T. R. Hurd — 2012
• Modeling financial contagion using mutually exciting jump processesYacine Aı̈t-Sahalia, Julio Cacho-Diaz, Roger J. A. Laeven — 2015
• Contagion modeling between the financial and insurance markets with time changed processesDonatien Hainaut — 2017
• Portfolio Choice in Markets with ContagionYacine Aı̈t-Sahalia, T. R. Hurd — 2015
• Clustered Lévy processes and their financial applicationsDonatien Hainaut — 2017

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