Av. Camino a Sta. Teresa 930
Col. Héroes de Padierna
Mexico City, D.F. 01000, Federal District 01080
Term structure modeling, yield volatility curve, policy uncertainty, bond risk premia
Optimal consumption and portfolio selection, jumps, Levy processes, robust control, closed form solution
Endogeneous regime switching, microstructure noise, realized volatility, endogeneity plot.
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