Won Tark Doh

Samsung Asset Management

Head of Fixed Income Team 1

Samsung Life Yeouido Bldg. 36-1

Yeouido-Dong, Yeongdeungpo-Gu

Seoul

Korea, Republic of (South Korea)

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Scholarly Papers (1)

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Co-Movements of International Term Structure Slopes and Affine Term Structure Models

Seoul Journal of Economics, Vol. 24, No. 3, pp. 389-426, 2011
Number of pages: 38 Posted: 06 Sep 2011
Won Tark Doh and In Seok Baek
Samsung Asset Management and Samsung Asset Management
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Abstract:

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affine term structure models, international term structure models, correlations among international term structure slopes, efficient method of moments, reprojection method