Jun He
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Research
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Data
Bergen
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Qiang Dai
← Papers reviewed on this blog
[2007 RFS]
利率会换挡:当「换挡」本身也成了一种被定价的风险
Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields
Jun 2026
[2003 RFS]
把利率曲线的「定价」和「预测」装进同一个模型,为什么这么难?
Term Structure Dynamics in Theory and Reality
Jun 2026
[2002 JFE]
利率曲线给你的「预言」总是反的——一桩三十年的旧公案,与替它翻案的仿射模型
Expectation Puzzles, Time-varying Risk Premia, and Affine Models of the Term Structure
Jun 2026