CA
United States
University of Southern California - Department of Finance and Business Economics
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dynamic term structure model, no-arbitrage, Gaussian, estimation
Intermediary constraint, tail risk, SPX option, return predictability, supply shocks, leverage
Liquidity Premium, Term Structure, Monetary Policy
option pricing, recovery risk, stochastic discount factor, characteristic function, Fourier transform
term structure model, macro finance, unspanned macro risks
No-Arbitrage, Gaussian Macro-Finance Term Structure Models
interest rates, options, risk premia, excess returns, forecasting