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Volumn 69, Issue 1, 1996, Pages 1-25

Long forward and zero-coupon rates can never fall

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EID: 0010590729     PISSN: 00219398     EISSN: None     Source Type: Journal    
DOI: 10.1086/209677     Document Type: Article
Times cited : (91)

References (15)
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  • 3
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    • Arbitrage, factor structure, and mean-variance analysis on large asset markets
    • Chamberlain, Gary, and Rothschild, Michael. 1983. Arbitrage, factor structure, and mean-variance analysis on large asset markets. Econometrica 51 (September): 1281-1304.
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    • An analysis of variable rate loan contracts
    • Cox, John C.; Ingersoll, Jonathan E., Jr.; and Ross, Stephen A. 1980. An analysis of variable rate loan contracts. Journal of Finance 35 (May): 389-403.
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    • Cox, J.C.1    Ingersoll J.E., Jr.2    Ross, S.A.3
  • 5
    • 0001205798 scopus 로고
    • A theory of the term structure of interest rates
    • Cox, John C.; Ingersoll, Jonathan E., Jr.; and Ross, Stephen A. 1985. A theory of the term structure of interest rates. Econometrica 53 (March): 385-407.
    • (1985) Econometrica , vol.53 , Issue.MARCH , pp. 385-407
    • Cox, J.C.1    Ingersoll J.E., Jr.2    Ross, S.A.3
  • 6
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    • Inefficient dynamic portfolio strategies or how to throw away a million dollars in the stock market
    • Dybvig, Philip H. 1988. Inefficient dynamic portfolio strategies or how to throw away a million dollars in the stock market. Review of Financial Studies 1 (Spring): 67-88.
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    • Dybvig, P.H.1
  • 9
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    • Arbitrage
    • J. Eatwell, M. Milgate, and P. Newman (eds.). New York: Stockton
    • Dybvig, Philip H., and Ross, Stephen A. 1987. Arbitrage. In J. Eatwell, M. Milgate, and P. Newman (eds.), The New Palgrave: A Dictionary of Economics. New York: Stockton.
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    • Dybvig, P.H.1    Ross, S.A.2
  • 10
    • 38649141305 scopus 로고
    • Martingales and arbitrage in multiperiod securities markets
    • Harrison, J. Michael, and Kreps, David. 1979. Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory 20 (June): 381-408.
    • (1979) Journal of Economic Theory , vol.20 , Issue.JUNE , pp. 381-408
    • Harrison, J.M.1    Kreps, D.2
  • 11
    • 41649091143 scopus 로고
    • Martingales and stochastic integrals in the theory of continuous trading
    • Harrison, J. Michael, and Pliska, Stanley. 1981. Martingales and stochastic integrals in the theory of continuous trading. Stochastic Processes and Their Applications 11:215-60.
    • (1981) Stochastic Processes and Their Applications , vol.11 , pp. 215-260
    • Harrison, J.M.1    Pliska, S.2
  • 12
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    • Term structure movements and pricing interest rate contingent claims
    • Ho, Thomas S. Y., and Lee, Sang-Bin. 1986. Term structure movements and pricing interest rate contingent claims. Journal of Finance 41 (December): 1011-29.
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    • Ho, T.S.Y.1    Lee, S.-B.2
  • 14
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    • Arbitrage and equilibrium in economies with infinitely many commodities
    • Kreps, David. 1981. Arbitrage and equilibrium in economies with infinitely many commodities. Journal of Mathematical Economics 8 (March): 15-35.
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    • Kreps, D.1
  • 15
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    • An equilibrium characterization of the term structure
    • Vasicek, Oldrich. 1977. An equilibrium characterization of the term structure. Journal of Financial Economics 5 (November): 177-88.
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.