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• Leo Krippner

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Paper provided by University of Waikato, Department of Economics in its series Working Papers in Economics with number 03/02.

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Length: 40 pages
Date of creation: 30 Sep 2003
Date of revision:
Handle: RePEc:wai:econwp:03/02

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Keywords: yield curve; term structure; expectations hypothesis; exponential polynomial; Nelson and Siegel model;

Find related papers by JEL classification:
C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates

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1. Jean Helwege & Christopher M. Turner, 1999. "The Slope of the Credit Yield Curve for Speculative-Grade Issuers," Journal of Finance, American Finance Association, vol. 54(5), pages 1869-1884, October. [Downloadable!] (restricted)
2. Soderlind, Paul & Svensson, Lars, 1997. "New techniques to extract market expectations from financial instruments," Journal of Monetary Economics, Elsevier, vol. 40(2), pages 383-429, October. [Downloadable!] (restricted)
   Other versions:
   • Soderlind, P & Svensson, L-E-O, 1996. "New Techniques to Extract Market Expectations from Financial Instruments," Papers 621, Stockholm - International Economic Studies.
   • Söderlind, Paul & Svensson, Lars E O, 1997. "New Techniques to Extract Market Expectations from Financial Instruments," CEPR Discussion Papers 1556, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
   • Paul Soderlind & Lars E. O. Svensson, 1997. "New Techniques to Extract Market Expectations from Financial Instruments," NBER Working Papers 5877, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   • Söderlind, Paul & Svensson, Lars E.O., 1997. "New Techniques to Extract Market Expectations from Financial Instruments," Seminar Papers 621, Stockholm University, Institute for International Economic Studies. [Downloadable!]
   • Söderlind, Paul & Svensson, Lars E.O., 1996. "New Techniques to Extract Market expectations from Financial Instruments," Working Paper Series in Economics and Finance 142, Stockholm School of Economics.
3. Pham, Toan M., 1998. "Estimation of the term structure of interest rates: an international perspective," Journal of Multinational Financial Management, Elsevier, vol. 8(2-3), pages 265-283, September. [Downloadable!] (restricted)
4. Peter Hördahl, 2000. "Estimating the implied distribution of the future short term interest rate using the Longstaff-Schwartz model," Working Paper Series 16, European Central Bank. [Downloadable!]
5. Mansi, Sattar A & Phillips, Jeffrey H, 2001. "Modeling the Term Structure from the On-the-Run Treasury Yield Curve," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 24(4), pages 545-64, Winter.
6. Seppälä, Juha & Viertiö, Petri, 1996. "The Term Structure of Interest Rates: Estimation and Interpretation," Research Discussion Papers 19/1996, Bank of Finland. [Downloadable!]
7. Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 10(2), pages 481-523.
8. Francis X. Diebold & Canlin Li, 2002. "Forecasting the Term Structure of Government Bond Yields," Center for Financial Institutions Working Papers 02-34, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
   Other versions:
   • Francis X. Diebold & Canlin Li, 2003. "Forecasting the Term Structure of Government Bond Yields," NBER Working Papers 10048, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   • Francis X. Diebold & Canlin Li, 2004. "Forecasting the Term Structure of Government Bond Yields," CFS Working Paper Series 2004/09, Center for Financial Studies. [Downloadable!]
   • Diebold, Francis X. & Li, Canlin, 2006. "Forecasting the term structure of government bond yields," Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February. [Downloadable!] (restricted)
9. Ben Hunt, 1995. "Fitting Parsimonious Yield Curve Models to Australian Coupon Bond Data," Working Paper Series 51, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
10. Lin, Bing-Huei, 2002. "Fitting Term Structure of Interest Rates Using B-Splines: The Case of Taiwanese Government Bonds," Applied Financial Economics, Taylor and Francis Journals, vol. 12(1), pages 57-75, January. [Downloadable!] (restricted)
11. Houweling, Patrick & Hoek, Jaap & Kleibergen, Frank, 2001. "The joint estimation of term structures and credit spreads," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 297-323, July. [Downloadable!] (restricted)
    Other versions:
    • Houweling, P. & Hoek, J. & Kleibergen, F.R., 1999. "The Joint Estimation of Term Structures and Credit Spreads," Econometric Institute Report EI 9916-/A Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    • P. Houweling & J. Hoek & F.R. Kleibergen, 1999. "The joint estimation of term sturctures and credit spreads," Econometric Institute Report 142, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

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