{"author_name":"himaginary","published":"2014-12-03 00:00:00","description":"\u3068\u3044\u3046NBER\u8ad6\u6587\u304c\u4e0a\u304c\u3063\u3066\u3044\u308b\u3002\u539f\u984c\u306f\u300cJumps in Bond Yields at Known Times\u300d\u3067\u3001\u8457\u8005\u306fDon H. Kim\uff08FRB\uff09\u3001Jonathan H. Wright\uff08\u30b8\u30e7\u30f3\u30ba\u30fb\u30db\u30d7\u30ad\u30f3\u30b9\u5927\uff09\u3002 \u4ee5\u4e0b\u306f\u305d\u306e\u8981\u65e8\u3002 We construct a no-arbitrage term structure model with jumps in the entire state vector at deterministic times but of random magnitudes. Jump risk premia are allowed for. We show th\u2026","blog_title":"himaginary\u2019s diary","type":"rich","provider_name":"Hatena Blog","image_url":null,"version":"1.0","provider_url":"https://hatena.blog","title":"\u4e88\u3081\u5206\u304b\u3063\u3066\u3044\u308b\u6642\u306b\u30b8\u30e3\u30f3\u30d7\u3059\u308b\u50b5\u5238\u91d1\u5229","blog_url":"https://himaginary.hatenablog.com/","html":"<iframe src=\"https://hatenablog-parts.com/embed?url=https%3A%2F%2Fhimaginary.hatenablog.com%2Fentry%2F20141203%2FJumps_in_Bond_Yields_at_Known_Times\" title=\"\u4e88\u3081\u5206\u304b\u3063\u3066\u3044\u308b\u6642\u306b\u30b8\u30e3\u30f3\u30d7\u3059\u308b\u50b5\u5238\u91d1\u5229 - himaginary\u2019s diary\" class=\"embed-card embed-blogcard\" scrolling=\"no\" frameborder=\"0\" style=\"display: block; width: 100%; height: 190px; max-width: 500px; margin: 10px 0px;\"></iframe>","width":"100%","height":"190","url":"https://himaginary.hatenablog.com/entry/20141203/Jumps_in_Bond_Yields_at_Known_Times","author_url":"https://blog.hatena.ne.jp/himaginary/","categories":["\u7d4c\u6e08"]}