Lei Ji

University of Pennsylvania - Department of Economics

PhD Candidate

Ronald O. Perelman Center for Political Science

133 South 36th Street

Philadelphia, PA 19104-6297

United States

SCHOLARLY PAPERS

1

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4

Scholarly Papers (1)

1.

A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration

PIER Working Paper No. 06-017
Number of pages: 44 Posted: 21 Jun 2006
University of Pennsylvania - Department of Economics, University of Pennsylvania - Department of Economics and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
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Citation 9

Abstract:

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Term structure; Yield curve; Factor model; Risk Management