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Publications by PETER D. SPENCER

Stochastic Volatility in a Macro-Finance Model of the U.S. Term Structure of Interest Rates 1961-2004

Journal of Money, Credit and Banking
AccountingEconomicsEconometricsFinance
2008English

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Regime-Switching Stochastic Volatility and Short-Term Interest Rates

SSRN Electronic Journal
2001English

UK Macroeconomic Volatility and the Term Structure of Interest Rates*

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2012English

Analyzing Interest Rate Risk: Stochastic Volatility in the Term Structure of Government Bond Yields

Journal of Banking and Finance
EconomicsEconometricsFinance
2012English

A Consumption-Based Model of the Term Structure of Interest Rates☆

Journal of Financial Economics
ManagementFinanceEconomicsStrategyAccountingEconometrics
2006English

A Preferred-Habitat Model of the Term Structure of Interest Rates

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Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates

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ManagementFinanceEconomicsStrategyAccountingEconometrics
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The Term Structure of Interest Rates as a Random Field: A Stochastic Integration Approach

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Term Structure of Interest Rates

Revista de Matemática: Teoría y Aplicaciones
2012English

Term Structure of Interest Rates

English

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