SSRN Electronic Journal · 2012 · 14 citations · 35 references
BusinessEconomicsFinanceFinancial EconomicsInternational FinanceMonetary EconomicsAsset PricesAsset Pricing EmpiricsBayesian EconometricsExchange Rate DeterminationExchange RatesPricing Under UncertaintyBayesian Valuation ModelsForward Rate PricingInformation Asymmetry EffectsInterest Rate PricingMarket UncertaintyModel UncertaintyParameter UncertaintyParameter Uncertainty Quantification
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A Theory of the Term Structure of Interest Rates
John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations
Market Liquidity and Funding Liquidity
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An Empirical Comparison of Alternative Models of the Short‐Term Interest Rate
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