Proceedings from "Workshop in Fixed Income and Bond Markets" | E-Axes

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Proceedings from "Workshop in Fixed Income and Bond Markets"

  • A Type of HJM Based Affine Model: Theory and Empirical Evidence

           Haitao Li and Xiaoxia Ye
           University of Michigan-National University of Singapore

           (Download paper here)


  • Pricing Range Accrual Notes in Affine Term Structure Model with Stochastic Mean, Stochastic Volatility and Jump

          Hongming Huang, Shaoyu Li and Li-Chuan Tsai
          National Central University-Xiamen University

          (Download paper here)


  • The Determinants of the Credit Rating of Local Government Financing Vehicle Bonds in China

           Robin Luo and Linfeng Chen

           (Download paper here)


  • Local-Momentum Autoregression for Modeling Interest Rate and Term Structure

          Jin-Chuan Duan
          National University of Singapore

          (Work in progress )


  • The Discrete-Time Framework of Arbitrage-Free Nelson-Siegel Class of Term Strcuture Models

          Linlin Niu and Gengming Zeng  
          Xiamen University

          (Download paper here)


  • Housing C-CAPM and the term structure of interest rates

          Yin Liu and Yuan Xu
          Tsinghua University

          (Work in progress )


  • A Tale of Three Currencies: US and Hong Kong’s Yield Curves under RMB Appreciation Pressure

          Linlin Niu and Shicheng Huang 
          Xiamen University

          (Download paper here)


  • Demographics and the Behaviour of Interest Rates

          Carlo Favero, Arie Gozluklu and Haoxi Yang
          Bocconi University

          (Download paper here )


  • Predict Bond Risk Premia Using Technical Indicators

          Jeremy Goh, Fuwei Jiang, Jun Tu and Guofu Zhou           
             Singapore Management University-Washington University, St. Louis

          (Download paper here)

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