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Citations of
Leo Krippner

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

| Working papers | Articles | Access and download statistics

Working papers

  1. Leo Krippner, 2005. "An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics 05/01, University of Waikato, Department of Economics. [Downloadable!]

    Cited by:

    1. Leo Krippner, 2005. "Attributing Returns and Optimising United States Swaps Portfolios Using an Intertemporally-Consistent and Arbitrage-Free Model of the Yield Curve," Working Papers in Economics 05/03, University of Waikato, Department of Economics. [Downloadable!]
    2. Michiel D. de Pooter & Francesco Ravazzolo & Dick van Dijk, 2007. "Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information," Tinbergen Institute Discussion Papers 07-028/4, Tinbergen Institute. [Downloadable!]
      Other versions:
    3. Leo Krippner, 2005. "Investigating the Relationships between the Yield Curve, Output and Inflation using an Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics 05/02, University of Waikato, Department of Economics. [Downloadable!]

  2. Leo Krippner, 2005. "A New Framework for Yield Curve, Output and Inflation Relationships," Working Papers in Economics 05/07, University of Waikato, Department of Economics. [Downloadable!]

    Cited by:

    1. Leo Krippner, 2006. "A Yield Curve Perspective on Uncovered Interest Parity," Working Papers in Economics 06/16, University of Waikato, Department of Economics. [Downloadable!]

  3. Leo Krippner, 2003. "Modelling the Yield Curve with Orthonormalised Laguerre Polynomials: A Consistent Cross-Sectional and Inter-Temporal Approach," Working Papers in Economics 03/02, University of Waikato, Department of Economics. [Downloadable!]

    Cited by:

    1. Leo Krippner, 2005. "An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics 05/01, University of Waikato, Department of Economics. [Downloadable!]
    2. Leo Krippner, 2003. "Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation," Working Papers in Economics 03/01, University of Waikato, Department of Economics. [Downloadable!]

  4. Leo Krippner, 2003. "Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation," Working Papers in Economics 03/01, University of Waikato, Department of Economics. [Downloadable!]

    Cited by:

    1. Leo Krippner, 2005. "An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics 05/01, University of Waikato, Department of Economics. [Downloadable!]

  5. Leo Krippner, 2002. "Extracting expectations of New Zealand's Official Cash Rate from the bank-risk yield curve," Reserve Bank of New Zealand Discussion Paper Series DP2002/01, Reserve Bank of New Zealand. [Downloadable!]

    Cited by:

    1. Michael Gordon, 2003. "Estimates of time-varying term premia for New Zealand and Australia," Reserve Bank of New Zealand Discussion Paper Series DP2003/06, Reserve Bank of New Zealand. [Downloadable!]

  6. Leo Krippner, 1998. "Testing the predictive power of New Zealand bank bill futures rates," Reserve Bank of New Zealand Discussion Paper Series G98/8, Reserve Bank of New Zealand. [Downloadable!]

    Cited by:

    1. Aaron Drew & Özer Karagedikli, 2008. "Some benefits of monetary policy transparency in New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2008/01, Reserve Bank of New Zealand. [Downloadable!]
      Other versions:
    2. Leo Krippner, 2002. "Extracting expectations of New Zealand's Official Cash Rate from the bank-risk yield curve," Reserve Bank of New Zealand Discussion Paper Series DP2002/01, Reserve Bank of New Zealand. [Downloadable!]

Articles

  1. Leo Krippner, 2006. "A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(1), pages 39-59, March. [Downloadable!] (restricted)

    Cited by:

    1. Leo Krippner, 2008. "A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models," Research Paper Series 226, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007. "The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models," PIER Working Paper Archive 07-029, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
      Other versions:
    3. Leo Krippner, 2009. "A theoretical foundation for the Nelson and Siegel class of yield curve models," Reserve Bank of New Zealand Discussion Paper Series DP2009/10, Reserve Bank of New Zealand. [Downloadable!]
    4. Leo Krippner, 2006. "A Yield Curve Perspective on Uncovered Interest Parity," Working Papers in Economics 06/16, University of Waikato, Department of Economics. [Downloadable!]
    5. Leo Krippner, 2005. "A New Framework for Yield Curve, Output and Inflation Relationships," Working Papers in Economics 05/07, University of Waikato, Department of Economics. [Downloadable!]

  2. Leo Krippner & Michael Gordon, 2001. "Market expectations of the Official Cash Rate," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 64, June. [Downloadable!]

    Cited by:

    1. Aaron Drew & Özer Karagedikli, 2008. "Some benefits of monetary policy transparency in New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2008/01, Reserve Bank of New Zealand. [Downloadable!]
      Other versions:
    2. Aron Gereben, 2002. "Extracting market expectations from option prices?," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 65, March. [Downloadable!]
    3. Michael Gordon, 2003. "Estimates of time-varying term premia for New Zealand and Australia," Reserve Bank of New Zealand Discussion Paper Series DP2003/06, Reserve Bank of New Zealand. [Downloadable!]

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This page was last updated on 2009-12-20.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.