We infer a term structure of interbank risk from spreads between rates on interest rate swaps
indexed to the London Interbank Offered Rate (LIBOR) and overnight indexed swaps. We …

We introduce the class of linear‐rational term structure models in which the state price
density is modeled such that bond prices become linear‐rational functions of the factors …

Using a novel no‐arbitrage model and extensive second‐moment data, we decompose
conditional volatility of US Treasury yields into volatilities of short‐rate expectations and term …

We propose an equilibrium model for defaultable bonds that are subject to contagion risk.
Contagion arises because agents with “fragile beliefs” are uncertain about the underlying …

We infer conditional swap rate moments model independently from swaption cubes.
Conditional volatility and skewness exhibit systematic variation across swap maturities and …

This article presents a general discrete-time affine framework aimed at jointly modeling yield
curves associated with different debtors. The underlying fixed-income securities may differ in …

We propose an equilibrium model for defaultable bonds that are subject to contagion risk.
Contagion arises because agents with'fragile beliefs' are uncertain about the underlying …

This paper shows how to use adaptive particle filtering and Markov chain Monte Carlo
methods to estimate quadratic term structure models (QTSMs) by likelihood inference. The …

We use a comprehensive database of inter-dealer quotes to conduct the first empirical
analysis of the dynamics of the swaption cube. Using a model independent approach, we …

We study the joint behavior of the yield and volatility curves in the US Treasury market.
Using almost two decades of high-frequency bond data, we obtain a so far unexplored view …