A Multivariate Model of the Term Structure*
Article Properties
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LanguageEnglish
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DOI (url)
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Publication Date1980/03/01
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Journal
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Indian UGC (journal)
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Refrences52
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Citations57
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TERENCE C. LANGETIEG
Cite
LANGETIEG, TERENCE C. “A Multivariate Model of the Term Structure*”. The Journal of Finance, vol. 35, no. 1, 1980, pp. 71-97, https://doi.org/10.1111/j.1540-6261.1980.tb03472.x.
LANGETIEG, T. C. (1980). A Multivariate Model of the Term Structure*. The Journal of Finance, 35(1), 71-97. https://doi.org/10.1111/j.1540-6261.1980.tb03472.x
LANGETIEG, TERENCE C. “A Multivariate Model of the Term Structure*”. The Journal of Finance 35, no. 1 (1980): 71-97. https://doi.org/10.1111/j.1540-6261.1980.tb03472.x.
LANGETIEG TC. A Multivariate Model of the Term Structure*. The Journal of Finance. 1980;35(1):71-97.
Journal Categories
Social Sciences
Commerce
Business
Social Sciences
Commerce
Business
Accounting
Bookkeeping
Social Sciences
Economic theory
Demography
Economics as a science
Social Sciences
Finance
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Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| An Equilibrium Characterization of the Term Structure | Journal of Financial Economics |
| 1977 | |
| THE ELASTICITY OF FINANCIAL ASSETS | The Journal of Finance |
| 18 | 1974 |
| CORRECTING THE YIELD CURVE: A RE‐INTERPRETATION OF THE DURATION PROBLEM | The Journal of Finance |
| 8 | 1974 |
| Optimal Properties of Exponentially Weighted Forecasts | Journal of the American Statistical Association |
| 260 | 1960 |
| On the Pricing of Corporate Debt: The Risk Structure of Interest Rates | 1974 |
Citations
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
Modelo multifactorial Heath-Jarrow-Morton: una aplicación práctica bajo la estructura de componentes principales | ODEON | 2023 | ||
| Betting Against Beta (and Gamma) Using Government Bonds | SSRN Electronic Journal | 2015 | ||
| Betting Against Beta (and Gamma) Using Government Bonds | SSRN Electronic Journal | 2015 | ||
PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS | Mathematical Finance |
| 7 | 2013 |
| A Tractable Multi-Factor Dynamic Term-Structure Model for Risk Management | SSRN Electronic Journal | 1 | 2013 |
Citations Analysis
The category
Social Sciences: Economic theory. Demography: Economics as a science 16
is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Valuation of GNMA Mortgage‐Backed Securities and was published in 1981. The most recent citation comes from a 2023 study titled Modelo multifactorial Heath-Jarrow-Morton: una aplicación práctica bajo la estructura de componentes principales. This article reached its peak citation in 2013, with 5 citations. It has been cited in 10 different journals. Among related journals, the SSRN Electronic Journal cited this research the most, with 37 citations. The chart below illustrates the annual citation trends for this article.