{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,9,15]],"date-time":"2024-09-15T15:12:51Z","timestamp":1726413171130},"reference-count":37,"publisher":"Springer Science and Business Media LLC","issue":"3","license":[{"start":{"date-parts":[[2018,5,18]],"date-time":"2018-05-18T00:00:00Z","timestamp":1526601600000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Finance Stoch"],"published-print":{"date-parts":[[2018,7]]},"DOI":"10.1007\/s00780-018-0365-7","type":"journal-article","created":{"date-parts":[[2018,5,18]],"date-time":"2018-05-18T17:07:44Z","timestamp":1526663264000},"page":"621-641","update-policy":"http:\/\/dx.doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Long-term factorization in Heath\u2013Jarrow\u2013Morton models"],"prefix":"10.1007","volume":"22","author":[{"given":"Likuan","family":"Qin","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Vadim","family":"Linetsky","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2018,5,18]]},"reference":[{"key":"365_CR1","doi-asserted-by":"publisher","first-page":"1977","DOI":"10.1111\/j.1468-0262.2005.00643.x","volume":"73","author":"F. Alvarez","year":"2005","unstructured":"Alvarez, F., Jermann, U.J.: Using asset prices to measure the persistence of the marginal utility of wealth. Econometrica 73, 1977\u20132016 (2005)","journal-title":"Econometrica"},{"key":"365_CR2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2018.04.005","author":"D. Backus","year":"2018","unstructured":"Backus, D., Boyarchenko, N., Chernov, M.: Term structures of asset prices and returns. J. Financ. Econ. (2018). Forthcoming, available online at https:\/\/doi.org\/10.1016\/j.jfineco.2018.04.005","journal-title":"J. Financ. Econ."},{"key":"365_CR3","doi-asserted-by":"publisher","first-page":"191","DOI":"10.1016\/j.jfineco.2012.01.003","volume":"105","author":"G. Bakshi","year":"2012","unstructured":"Bakshi, G., Chabi-Yo, F.: Variance bounds on the permanent and transitory components of stochastic discount factors. J. Financ. Econ. 105, 191\u2013208 (2012)","journal-title":"J. Financ. Econ."},{"key":"365_CR4","doi-asserted-by":"publisher","first-page":"532","DOI":"10.1093\/rfs\/hhx108","volume":"31","author":"G. Bakshi","year":"2018","unstructured":"Bakshi, G., Chabi-Yo, F., Gao, X.: A recovery that we can trust? Deducing and testing the restrictions of the recovery theorem. Rev. Financ. Stud. 31, 532\u2013555 (2018)","journal-title":"Rev. Financ. Stud."},{"key":"365_CR5","doi-asserted-by":"publisher","first-page":"323","DOI":"10.1111\/1467-9965.00072","volume":"9","author":"T. Bj\u00f6rk","year":"1999","unstructured":"Bj\u00f6rk, T., Christensen, B.J.: Interest rate dynamics and consistent forward rate curves. Math. Finance 9, 323\u2013348 (1999)","journal-title":"Math. Finance"},{"key":"365_CR6","doi-asserted-by":"publisher","first-page":"413","DOI":"10.1007\/s007800050069","volume":"3","author":"T. Bj\u00f6rk","year":"1999","unstructured":"Bj\u00f6rk, T., Gombani, A.: Minimal realizations of interest rate models. Finance Stoch. 3, 413\u2013432 (1999)","journal-title":"Finance Stoch."},{"key":"365_CR7","doi-asserted-by":"publisher","first-page":"205","DOI":"10.1111\/1467-9965.00113","volume":"11","author":"T. Bj\u00f6rk","year":"2001","unstructured":"Bj\u00f6rk, T., Svensson, L.: On the existence of finite-dimensional realizations for nonlinear forward rate models. Math. Finance 11, 205\u2013243 (2001)","journal-title":"Math. Finance"},{"key":"365_CR8","first-page":"1641","volume-title":"Handbook of Macroeconomics: Volume 2B","author":"J. Borovi\u010dka","year":"2016","unstructured":"Borovi\u010dka, J., Hansen, L.P.: Term structure of uncertainty in the macroeconomy. In: Taylor, J.B., Uhlig, H. (eds.) Handbook of Macroeconomics: Volume 2B, pp.\u00a01641\u20131696. Elsevier B.V., Amsterdam (2016). Chapter 21"},{"key":"365_CR9","doi-asserted-by":"publisher","first-page":"3","DOI":"10.1093\/jjfinec\/nbq030","volume":"9","author":"J. Borovi\u010dka","year":"2011","unstructured":"Borovi\u010dka, J., Hansen, L.P., Hendricks, M., Scheinkman, J.A.: Risk-price dynamics. J. Financ. Econom. 9, 3\u201365 (2011)","journal-title":"J. Financ. Econom."},{"key":"365_CR10","doi-asserted-by":"publisher","first-page":"2493","DOI":"10.1111\/jofi.12404","volume":"71","author":"J. Borovi\u010dka","year":"2016","unstructured":"Borovi\u010dka, J., Hansen, L.P., Scheinkman, J.A.: Misspecified recovery. J. Finance 71, 2493\u20132544 (2016)","journal-title":"J. Finance"},{"key":"365_CR11","volume-title":"Interest Rate Models: An Infinite Dimensional Stochastic Analysis Perspective","author":"R. Carmona","year":"2007","unstructured":"Carmona, R., Tehranchi, M.R.: Interest Rate Models: An Infinite Dimensional Stochastic Analysis Perspective. Springer, Media (2007)"},{"key":"365_CR12","doi-asserted-by":"publisher","first-page":"1310","DOI":"10.1017\/S0266466614000668","volume":"31","author":"T.M. Christensen","year":"2016","unstructured":"Christensen, T.M.: Nonparametric identification of positive eigenfunctions. Econom. Theory 31, 1310\u20131330 (2016)","journal-title":"Econom. Theory"},{"key":"365_CR13","doi-asserted-by":"publisher","first-page":"1501","DOI":"10.3982\/ECTA11600","volume":"85","author":"T.M. Christensen","year":"2017","unstructured":"Christensen, T.M.: Nonparametric stochastic discount factor decomposition. Econometrica 85, 1501\u20131536 (2017)","journal-title":"Econometrica"},{"key":"365_CR14","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9781107295513","volume-title":"Stochastic Equations in Infinite Dimensions","author":"G. Prato Da","year":"2014","unstructured":"Da Prato, G., Zabczyk, J.: Stochastic Equations in Infinite Dimensions. Cambridge University Press, Cambridge (2014)"},{"key":"365_CR15","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1086\/209677","volume":"69","author":"P.H. Dybvig","year":"1996","unstructured":"Dybvig, P.H., Ingersoll, J.E., Ross, S.A.: Long forward and zero-coupon rates can never fall. J. Bus. 69, 1\u201325 (1996)","journal-title":"J. Bus."},{"key":"365_CR16","series-title":"Lecture Notes in Mathematics","doi-asserted-by":"publisher","first-page":"260","DOI":"10.1007\/BFb0070869","volume-title":"S\u00e9minaire de Probabilit\u00e9s XIII","author":"M. \u00c9mery","year":"1979","unstructured":"\u00c9mery, M.: Une topologie sur l\u2019espace des semimartingales. In: Dellacherie, C., et al. (eds.) S\u00e9minaire de Probabilit\u00e9s XIII. Lecture Notes in Mathematics, vol.\u00a0721, pp.\u00a0260\u2013280. Springer, Berlin (1979)"},{"key":"365_CR17","doi-asserted-by":"publisher","DOI":"10.1007\/b76888","volume-title":"Consistency Problems for Heath\u2013Jarrow\u2013Morton Interest Rate Models","author":"D. Filipovi\u0107","year":"2001","unstructured":"Filipovi\u0107, D.: Consistency Problems for Heath\u2013Jarrow\u2013Morton Interest Rate Models. Springer, Berlin (2001)"},{"key":"365_CR18","unstructured":"Filipovi\u0107, D., Larsson, M., Trolle, A.B.: On the relation between linearity-generating processes and linear-rational models. Working paper (2016). Available online at https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2753484"},{"key":"365_CR19","doi-asserted-by":"publisher","first-page":"655","DOI":"10.1111\/jofi.12488","volume":"72","author":"D. Filipovi\u0107","year":"2017","unstructured":"Filipovi\u0107, D., Larsson, M., Trolle, A.B.: Linear-rational term structure models. J. Finance 72, 655\u2013704 (2017)","journal-title":"J. Finance"},{"key":"365_CR20","doi-asserted-by":"publisher","first-page":"2208","DOI":"10.1080\/00207160.2016.1247441","volume":"94","author":"R.M. Gaspar","year":"2017","unstructured":"Gaspar, R.M., Pimentel, R.: On swap rate dynamics: to freeze or not to freeze? Int. J. Comput. Math. 94, 2208\u20132222 (2017)","journal-title":"Int. J. Comput. Math."},{"key":"365_CR21","unstructured":"Geman, H.: The importance of the forward neutral probability in a stochastic approach of interest rates. Working paper, ESSEC (1989). Unpublished"},{"key":"365_CR22","doi-asserted-by":"publisher","first-page":"443","DOI":"10.2307\/3215299","volume":"32","author":"H. Geman","year":"1995","unstructured":"Geman, H., El Karoui, N., Rochet, J.: Changes of numeraire, changes of probability measure and option pricing. J. Appl. Probab. 32, 443\u2013458 (1995)","journal-title":"J. Appl. Probab."},{"key":"365_CR23","doi-asserted-by":"publisher","first-page":"911","DOI":"10.3982\/ECTA8070","volume":"80","author":"L.P. Hansen","year":"2012","unstructured":"Hansen, L.P.: Dynamic valuation decomposition within stochastic economies. Econometrica 80, 911\u2013967 (2012)","journal-title":"Econometrica"},{"key":"365_CR24","doi-asserted-by":"publisher","first-page":"260","DOI":"10.1086\/588200","volume":"116","author":"L.P. Hansen","year":"2008","unstructured":"Hansen, L.P., Heaton, J.C., Li, N.: Consumption strikes back? Measuring long-run risk. J. Polit. Econ. 116, 260\u2013302 (2008)","journal-title":"J. Polit. Econ."},{"key":"365_CR25","doi-asserted-by":"publisher","first-page":"177","DOI":"10.3982\/ECTA6761","volume":"77","author":"L.P. Hansen","year":"2009","unstructured":"Hansen, L.P., Scheinkman, J.A.: Long-term risk: an operator approach. Econometrica 77, 177\u2013234 (2009)","journal-title":"Econometrica"},{"key":"365_CR26","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1007\/s00780-010-0141-9","volume":"16","author":"L.P. Hansen","year":"2012","unstructured":"Hansen, L.P., Scheinkman, J.A.: Pricing growth-rate risk. Finance Stoch. 16, 1\u201315 (2012)","journal-title":"Finance Stoch."},{"key":"365_CR27","doi-asserted-by":"crossref","first-page":"21","DOI":"10.7208\/chicago\/9780226443683.003.0002","volume-title":"After the Flood. How the Great Recession Changed Economic Thought","author":"L.P. Hansen","year":"2017","unstructured":"Hansen, L.P., Scheinkman, J.A.: Stochastic compounding and uncertain valuation. In: Glaeser, E.D., et al. (eds.) After the Flood. How the Great Recession Changed Economic Thought, pp.\u00a021\u201350. The University of Chicago Press, Chicago (2017)"},{"key":"365_CR28","doi-asserted-by":"publisher","first-page":"77","DOI":"10.2307\/2951677","volume":"60","author":"D. Heath","year":"1992","unstructured":"Heath, D., Jarrow, R., Morton, A.: Bond pricing and the term structure of interest rates: a\u00a0new methodology for contingent claims valuation. Econometrica 60, 77\u2013105 (1992)","journal-title":"Econometrica"},{"key":"365_CR29","doi-asserted-by":"publisher","first-page":"205","DOI":"10.1111\/j.1540-6261.1989.tb02413.x","volume":"44","author":"F. Jamshidian","year":"1989","unstructured":"Jamshidian, F.: An exact bond option formula. J. Finance 44, 205\u2013209 (1989)","journal-title":"J. Finance"},{"key":"365_CR30","first-page":"19","volume":"2","author":"R.A. Jarrow","year":"1987","unstructured":"Jarrow, R.A.: The pricing of commodity options with stochastic interest rates. Adv. Futures Options Res. 2, 19\u201345 (1987)","journal-title":"Adv. Futures Options Res."},{"key":"365_CR31","unstructured":"Lustig, H.N., Stathopoulos, A., Verdelhan, A.: The term structure of currency carry trade risk premia. Working paper (2016). Available online at http:\/\/ssrn.com\/abstract=2340547"},{"key":"365_CR32","unstructured":"Musiela, M.: Stochastic PDEs and term structure models. Journ\u00e9es Internationales de Finance, IGR-AFFI, La Baule (1993). Unpublished"},{"key":"365_CR33","doi-asserted-by":"publisher","first-page":"99","DOI":"10.1287\/opre.2015.1449","volume":"64","author":"L. Qin","year":"2016","unstructured":"Qin, L., Linetsky, V.: Positive eigenfunctions of Markovian pricing operators: Hansen\u2013Scheinkman factorization, Ross recovery and long-term pricing. Oper. Res. 64, 99\u2013117 (2016)","journal-title":"Oper. Res."},{"key":"365_CR34","doi-asserted-by":"publisher","first-page":"299","DOI":"10.3982\/ECTA13438","volume":"85","author":"L. Qin","year":"2017","unstructured":"Qin, L., Linetsky, V.: Long term risk: a martingale approach. Econometrica 85, 299\u2013312 (2017)","journal-title":"Econometrica"},{"key":"365_CR35","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhy042","author":"L. Qin","year":"2018","unstructured":"Qin, L., Linetsky, V., Nie, Y.: Long forward probabilities, recovery and the term structure of bond risk premiums. Rev. Financ. Stud. (2018). Forthcoming, available online at https:\/\/doi.org\/10.1093\/rfs\/hhy042","journal-title":"Rev. Financ. Stud."},{"key":"365_CR36","doi-asserted-by":"publisher","first-page":"615","DOI":"10.1111\/jofi.12092","volume":"70","author":"S.A. Ross","year":"2015","unstructured":"Ross, S.A.: The recovery theorem. J. Finance 70, 615\u2013648 (2015)","journal-title":"J. Finance"},{"key":"365_CR37","doi-asserted-by":"publisher","first-page":"177","DOI":"10.1016\/0304-405X(77)90016-2","volume":"5","author":"O. Vasi\u010dek","year":"1977","unstructured":"Vasi\u010dek, O.: An equilibrium characterization of the term structure. J. Financ. Econ. 5, 177\u2013188 (1977)","journal-title":"J. Financ. Econ."}],"container-title":["Finance and Stochastics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s00780-018-0365-7\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-018-0365-7.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-018-0365-7.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,2]],"date-time":"2023-09-02T18:30:28Z","timestamp":1693679428000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s00780-018-0365-7"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2018,5,18]]},"references-count":37,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2018,7]]}},"alternative-id":["365"],"URL":"https:\/\/doi.org\/10.1007\/s00780-018-0365-7","relation":{},"ISSN":["0949-2984","1432-1122"],"issn-type":[{"type":"print","value":"0949-2984"},{"type":"electronic","value":"1432-1122"}],"subject":[],"published":{"date-parts":[[2018,5,18]]},"assertion":[{"value":"14 July 2017","order":1,"name":"received","label":"Received","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"27 March 2018","order":2,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"18 May 2018","order":3,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}}]}}