Linear-quadratic term structure models - Toward the understanding of jumps in interest rates

Journal of Banking and Finance

Volumn 33, Issue 3, 2009, Pages 473-485

  Jiang, George ^a   Yan, Shu ^b  

^a UNIVERSITY OF ARIZONA   (United States)

^b UNIVERSITY OF SOUTH CAROLINA   (United States)

Author keywords

Bonds; Interest rates; Jumps; Term structure

Indexed keywords

EID: 58149159741     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2008.08.018     Document Type: Article

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