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The APT Model and Variations in the Term Structure of Interest Rates

https://doi.org/10.2139/ssrn.1483081
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0022-0531(76)90046-6openalex-extracted
The arbitrage theory of capital asset pricing
inferredcites →https://doi.org/10.1016/0304-405x(77)90016-2openalex-extracted
An equilibrium characterization of the term structure
inferredcites →https://doi.org/10.1016/0378-4266(88)90011-8openalex-extracted
Duration measures for specific term structure estimations and applications to bond portfolio immunization
inferredcites →https://doi.org/10.1016/0378-4266(88)90057-xopenalex-extracted
Duration analysis: Managing interest rate risk
inferredcites →https://doi.org/10.1086/296409openalex-extracted
Parsimonious Modeling of Yield Curves
inferredcites →https://doi.org/10.1111/j.1475-6803.1987.tb00491.xopenalex-extracted
BOND RETURNS, DISCRETE STOCHASTIC PROCESSES, AND DURATION
inferredcites →https://doi.org/10.1111/j.1540-6261.1984.tb04920.xopenalex-extracted
A Simple Formula for the Expected Rate of Return of an Option over a Finite Holding Period
inferredcites →https://doi.org/10.1111/j.1540-6261.1986.tb05041.xopenalex-extracted
On the Number of Factors in the Arbitrage Pricing Model
inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb02413.xopenalex-extracted
An Exact Bond Option Formula
inferredcites →https://doi.org/10.1111/j.1540-6288.1987.tb00761.xopenalex-extracted
BOND PORTFOLIO IMMUNIZATION: TESTS OF MATURITY, ONE‐ AND TWO‐FACTOR DURATION MATCHING STRATEGIES
inferredcites →https://doi.org/10.1142/9789812819222_0013openalex-extracted
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION
inferredcites →https://doi.org/10.2139/ssrn.1483011openalex-extracted
Term-Structure Dynamics and the Determination of State-Variables - A Multi-Factor Approach
inferredcites →https://doi.org/10.2139/ssrn.1483059openalex-extracted
The Pricing of Options on Coupon Bonds
inferredcites →https://doi.org/10.2307/1401485openalex-extracted
Modern Factor Analysis
inferredcites →https://doi.org/10.2307/1911242openalex-extracted
A Theory of the Term Structure of Interest Rates
inferredcites →https://doi.org/10.2307/2328939openalex-extracted
inferredcites →https://doi.org/10.2307/2331026openalex-extracted
Immunizing Default-Free Bond Portfolios with a Duration Vector
inferredcites →https://doi.org/10.2307/2331088openalex-extracted
A New Approach to Estimation of the Term Structure of Interest Rates
inferredcites →https://doi.org/10.3905/jfi.1991.408014openalex-extracted
General Solutions of Some Interest Rate-Contingent Claim Pricing Equations
inferredcites →https://doi.org/10.3905/jfi.1991.692347openalex-extracted
Common Factors Affecting Bond Returns
inferredcites →https://doi.org/10.3905/jpm.1984.408975openalex-extracted
Duration as a link between yield and value
inferredcites →https://doi.org/10.3905/jpm.1992.409410openalex-extracted
Non-Parallel Yield Curve Shifts and Immunization
inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04657.xopenalex-snapshot
Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model

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inferred← citeshttps://doi.org/10.2139/ssrn.1483047openalex-extracted
A 3-Factor Model for the Yield-Curve Dynamics - The Case of Stochastic Spot-Rate, Market Price of Risk and Volatility
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