1. Driffill, John & Kenc, Turalay & Sola, Martin & Spagnolo, Fabio, 2004. "On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts," CEPR Discussion Papers 4165, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
2. Giorgio Calzolari & Francesca Di Iori & Gabriele Fiorentini, 2001. "Indirect inference and variance reduction using control variates," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 39-53. [Downloadable!]
3. Javier Gil-Bazo & Gonzalo Rubio, 2003. "A Non-Parametric Dimension Test of the Term Structure," DFAEII Working Papers 200201, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]
4. Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Ait-Sahalia, Yacine, 1996. "Testing Continuous-Time Models of the Spot Interest Rate," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 9(2), pages 385-426. [Downloadable!] (restricted)
5. Dennis Philip & Chihwa Kao & Giovanni Urga, 2007. "Testing for Instability in Factor Structure of Yield Curves," Center for Policy Research Working Papers 96, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
6. Burak Saltoğlu, 2003. "Comparing forecasting ability of parametric and non-parametric methods: an application with Canadian monthly interest rates," Applied Financial Economics, Taylor and Francis Journals, vol. 13(3), pages 169-176, January. [Downloadable!] (restricted)
7. Andrew Jeffrey & Oliver Linton & Thong Nguyen, 2006. "Flexible Term Structure Estimation: Which Method is Preferred?," Metrika, Springer, vol. 63(1), pages 99-122, February. [Downloadable!] (restricted)
8. Juan M. Moraleda & Ton C.F. Vorst, 1996. "The Valuation of Interest Rate Derivatives: Empirical Evidence from the Spanish Market," Tinbergen Institute Discussion Papers 96-170/2, Tinbergen Institute. [Downloadable!]
9. Chi-Young Choi & Nelson C. Mark & Donggyu Sul, 2004. "Bias Reduction by Recursive Mean Adjustment in Dynamic Panel Data Models," Econometrics 0409005, EconWPA. [Downloadable!]
10. Mark Podolskij & Daniel Ziggel, 2007. "A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models," CREATES Research Papers 2007-26, School of Economics and Management, University of Aarhus. [Downloadable!]
11. Michael J. Fleming & Jose A. Lopez, 1999. "Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market," Staff Reports 82, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
    • Michael Fleming & Jose A. Lopez, 1999. "Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market," Working Papers in Applied Economic Theory 99-09, Federal Reserve Bank of San Francisco. [Downloadable!]
12. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations," Stan Hurn Discussion Papers 2006, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
13. Willem H. Buiter & Nikolaos Panigirtzoglou, 1999. "Liquidity Traps: How to Avoid Them and How to Escape Them," NBER Working Papers 7245, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Buiter, Willem H & Panigirtzoglou, Nikolaos, 1999. "Liquidity Traps: How to Avoid Them and How to Escape Them," CEPR Discussion Papers 2203, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    • Willem H Buiter & Nikolaos Panigirtzoglou, . "Liquidity traps: how to avoid them and how to escape them," Bank of England working papers 111, Bank of England. [Downloadable!]
14. Hao Zhou, 2001. "Jump-diffusion term structure and Ito conditional moment generator," Finance and Economics Discussion Series 2001-28, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
15. Paulo M. M. Rodrigues & Antonio Rubia, 2004. "On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates," Econometrics 0405004, EconWPA. [Downloadable!]
    Other versions:
    • Paulo M.M. Rodrigues & Antonio Rubia, 2004. "On The Small Sample Properties Of Dickey Fuller And Maximum Likelihood Unit Root Tests On Discrete-Sampled Short-Term Interest Rates," Working Papers. Serie AD 2004-11, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
16. Francisco Javier Fernandez, 2002. "Bond Pricing with Term Structure Models: Some Empirical Evidence," Working Papers Economia wp02-16, Instituto de Empresa, Area of Economic Environment. [Downloadable!]
17. Driessen, J. & Klaassen, P. & Melenberg, B., 2000. "The performance of multi-factor term structure models for pricing and hedging caps and swaptions," Discussion Paper 93, Tilburg University, Center for Economic Research. [Downloadable!]
18. Christiansen, Charlotte, 2005. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," Finance Research Group Working Papers F-2005-03, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    Other versions:
    • Charlotte Christiansen, 2007. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," CREATES Research Papers 2007-05, School of Economics and Management, University of Aarhus. [Downloadable!]
19. Balázs Cserna, 2008. "Application of the Generalized Method of Moments for Estimating Continuous-Time Models of U.S. Short-Term Interest Rates," Working Papers 0462, University of Heidelberg, Department of Economics, revised Jan 2008. [Downloadable!]
20. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2," NCER Working Paper Series 2, National Centre for Econometric Research. [Downloadable!]
21. Kwamie Dunbar, 2005. "An Empirical Review of United States Corporate Default Swap Valuation: The Implications of Functional Forms," Fordham Economics Dissertations 2005.2, Fordham University, Department of Economics. [Downloadable!]
22. Jean-Philippe Bouchaud & Nicolas Sagna & Rama Cont & Nicole El-Karoui & Marc Potters, 1997. "Phenomenology of the interest rate curve," Science & Finance (CFM) working paper archive 500048, Science & Finance, Capital Fund Management. [Downloadable!]
    Other versions:
    • Jean-Philippe Bouchaud, Nicolas Sagna, Rama Cont, Nicole El-Karoui, Marc Potters, 1999. "Phenomenology of the interest rate curve," Applied Mathematical Finance, Taylor and Francis Journals, vol. 6(3), pages 209-232, September. [Downloadable!] (restricted)
23. Viviana Fernández, 2001. "A Non-parametric Approach to Model the Term Structure of Interest Rates: The Case of Chile," Documentos de Trabajo 97, Centro de Economía Aplicada, Universidad de Chile. [Downloadable!]
    Other versions:
    • Fernandez, Viviana, 2001. "A nonparametric approach to model the term structure of interest rates: The case of Chile," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 99-122. [Downloadable!] (restricted)
24. Gurdip Bakshi & Dilip Madan & Frank Zhang, 2001. "Understanding the role of recovery in default risk models: empirical comparisons and implied recovery rates," Finance and Economics Discussion Series 2001-37, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
25. Peter Reinhard Hansen, 2000. "Structural Breaks in the Cointegrated Vector Autoregressive Model," Econometric Society World Congress 2000 Contributed Papers 1240, Econometric Society. [Downloadable!]
26. Ravi Jagannathan & Andrew Kaplin & Steve Guoqiang Sun, 2001. "An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices," NBER Working Papers 8682, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Jagannathan, Ravi & Kaplin, Andrew & Sun, Steve, 2003. "An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 113-146. [Downloadable!] (restricted)
27. Peter Spencer, 2004. "Affine Macroeconomic Models of the Term Structure of Interest Rates: The US Treasury Market 1961-99," Discussion Papers 04/16, Department of Economics, University of York, revised Jan 2006. [Downloadable!]
28. Sandy Suardi & O.T.Henry & N. Olekalns, . "Equity Return and Short-Term Interest Rate Volatility: Level Effects and Asymmetric Dynamics," MRG Discussion Paper Series 0206, School of Economics, University of Queensland, Australia. [Downloadable!]
    Other versions:
    • Olan T. Henry & Nilss Olekalns & Sandy Suardi, 2005. "Equity Return and Short-Term Interest Rate Volatility: Level Effects and Asymmetric Dynamics," Department of Economics - Working Papers Series 941, The University of Melbourne. [Downloadable!]
29. Albert J. Menkveld & Yiu C. Cheung & Frank de Jong, 2004. "Euro area sovereign yield dynamics - the role of order imbalance," Working Paper Series 385, European Central Bank. [Downloadable!]
    Other versions:
    • Menkveld, Albert J. & Cheung, Yiu C. & Jong, Frank de, 2006. "Euro-Area Sovereign Yield Dynamics: the role of order imbalance," Serie Research Memoranda 0006, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
30. Cysne, Rubens Penha, 2004. "On the Statistical Estimation of Diffusion Processes - A Partial Survey (Revised Version, Forthcoming Brazilian Review of Econometrics)," Economics Working Papers (Ensaios Economicos da EPGE) 570, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
31. Javier Gil-Bazo & Gonzalo Rubio, 2001. "A Nonparametric Dimension Test Of The Term Structure," Business Economics Working Papers wb012106, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
32. Michael Sørensen, 2008. "Efficient estimation for ergodic diffusions sampled at high frequency," CREATES Research Papers 2007-46, School of Economics and Management, University of Aarhus. [Downloadable!]
33. Hugues Pirotte, 1999. "Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates," Working Papers CEB 99-001.RS, Université Libre de Bruxelles, Solvay Business School, Centre Emile Bernheim (CEB). [Downloadable!]
34. Eli M. Remolona & Joseph Dziwura & Irene Pedraza, 1995. "The short end of the forward convergence curve and asymmetric cat's tail convergence," Research Paper 9523, Federal Reserve Bank of New York. [Downloadable!]
35. Frank F. Gong & Eli M. Remolona, 1996. "Two factors along the yield curve," Research Paper 9613, Federal Reserve Bank of New York. [Downloadable!]
36. Markus Junker & Alexander Szimayer & Niklas Wagner, 2004. "Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications," Econometrics 0401007, EconWPA. [Downloadable!]
37. Fendel, Ralf, 2004. "Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates," Discussion Paper Series 1: Economic Studies 2004,24, Deutsche Bundesbank, Research Centre. [Downloadable!]
38. G. Pfann & P. Schotman & R. Tschernig, . "Nonlinear Interest Rate Dynamics and Implications for the Term Structure," Sonderforschungsbereich 373 1994-43, Humboldt Universitaet Berlin.
    Other versions:
    • Pfann, Gerard A. & Schotman, Peter C. & Tschernig, Rolf, 1996. "Nonlinear interest rate dynamics and implications for the term structure," Journal of Econometrics, Elsevier, vol. 74(1), pages 149-176, September. [Downloadable!] (restricted)
39. D. Sondermann & Sandmann, K., 1994. "On the Stability of Log-Normal Interest Rate Models and the Pricing of Eurodollar Futures," Discussion Paper Serie B 263, University of Bonn, Germany. [Downloadable!]
40. Brito, Ricardo Dias Oliveira & Flôres Junior, Renato Galvão, 2001. "Stochastic Growth and Monetary Policy: the impacts on the term structure of interest rates," Economics Working Papers (Ensaios Economicos da EPGE) 416, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
41. Simon Babbs & K. Nowman, 1998. "Econometric Analysis of a Continuous Time Multi-Factor Generalized Vasicek Term Structure Model: International Evidence," Asia-Pacific Financial Markets, Springer, vol. 5(2), pages 159-183, May. [Downloadable!] (restricted)
42. Ram Bhar & Carl Chiarella & Wolfgang Runggaldier, 2001. "Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm," Research Paper Series 68, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
43. Grace Kuan, 2000. "Recovering Local Volatility Functions Of Forward Libor Rates," Computing in Economics and Finance 2000 255, Society for Computational Economics. [Downloadable!]
44. D H Kim, 2005. "Nonlinearity in the Term Structure," Centre for Growth and Business Cycle Research Discussion Paper Series 51, Economics, The Univeristy of Manchester. [Downloadable!]
45. Andrew D. Sanford & Gael Martin, 2004. "Bayesian Analysis of Continuous Time Models of the Australian Short Rate," Monash Econometrics and Business Statistics Working Papers 11/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
46. Hatem Ben-Ameur & Michèle Breton, 2004. "A Dynamic Programming Approach for Pricing Options Embedded in Bonds," Computing in Economics and Finance 2004 237, Society for Computational Economics. [Downloadable!]
47. Robert R. Bliss & Ehud I. Ronn, 1997. "Callable U.S. Treasury bonds: optimal calls, anomalies, and implied volatilities," Working Paper 97-1, Federal Reserve Bank of Atlanta. [Downloadable!]
48. Mark Podolskij & Mathias Vetter, 2007. "Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps," CREATES Research Papers 2007-27, School of Economics and Management, University of Aarhus. [Downloadable!]
49. A. Mele, 2000. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," THEMA Working Papers 2000-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
    Other versions:
    • Antonio Mele, 2002. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Working Papers 460, Queen Mary, University of London, Department of Economics. [Downloadable!]
    • Antonio Mele, 2003. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 16(3), pages 679-716, July. [Downloadable!] (restricted)
50. Ingrid Lo, 2005. "An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate," Working Papers 05-45, Bank of Canada. [Downloadable!]
51. Dong Heon Kim, 2004. "Nonlinearity in the Term Structure," Econometric Society 2004 Far Eastern Meetings 440, Econometric Society. [Downloadable!]
    Other versions:
    • Dong Heon Kim, 2005. "Nonlinearity in the Term Structure," The School of Economics Discussion Paper Series 0528, Economics, The University of Manchester. [Downloadable!]
52. Andrew Jeffrey & Linton, Oliver Linton & Thong Nguyen & Peter C.B. Phillips, 2001. "Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach," Cowles Foundation Discussion Papers 1311, Cowles Foundation, Yale University. [Downloadable!]
53. E. Platen, . "A Minimal Financial Market Model," Sonderforschungsbereich 373 2000-91, Humboldt Universitaet Berlin.
    Other versions:
    • Eckhard Platen, 2001. "A Minimal Financial Market Model," Research Paper Series 48, Quantitative Finance Research Centre, University of Technology, Sydney.
54. Schloegl, Erik, and Daniel Sommer, 1997. "Factor Models and the Shape of the Term Structure," Discussion Paper Serie B 395, University of Bonn, Germany. [Downloadable!]
55. H. Vincent Poor & Li Chen, 2003. "Parametric Estimation of Quadratic Term Structure Models of Interest Rates," Computing in Economics and Finance 2003 22, Society for Computational Economics. [Downloadable!]
56. José Luis Fernández-Serrano & M. Dolores Robles Fernández, 2004. "Política monetaria y cambios de régimen en los tipos de interés del mercado interbancario español," Investigaciones Economicas, Fundación SEPI, vol. 28(2), pages 349-376, May. [Downloadable!]
57. A. Hurn & J. Jeisman & K. Lindsay, 2007. "Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation," NCER Working Paper Series 9, National Centre for Econometric Research. [Downloadable!]
58. Jin-Chuan Duan & Kris Jacobs, 2001. "Short and Long Memory in Equilibrium Interest Rate Dynamics," CIRANO Working Papers 2001s-22, CIRANO. [Downloadable!]
59. Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2005. "Indirect Robust Estimation of the Short-term Interest Rate Process;," Cahiers du Département d'Econométrie 2005.02, Département d'Econométrie, Université de Genève. [Downloadable!]
    Other versions:
    • Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2005. "Indirect Robust Estimation of the Short-term interest Rate Process," FAME Research Paper Series rp135, International Center for Financial Asset Management and Engineering. [Downloadable!]
    • Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2007. "Indirect robust estimation of the short-term interest rate process," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 546-563, September. [Downloadable!] (restricted)
60. Francisco Javier Fernandez, 2002. "Pricing LYONs under Stochastic Interest Rates," Working Papers Economia wp02-17, Instituto de Empresa, Area of Economic Environment. [Downloadable!]
61. Peter Christoffersen & Andrey Pavlov, 2003. "Company Flexibility, the Value of Management and Managerial Compensation," CIRANO Working Papers 2003s-06, CIRANO. [Downloadable!]
62. Sharon Kozicki & P.A. Tinsley, 2002. "Term premia : endogenous constraints on monetary policy," Research Working Paper RWP 02-07, Federal Reserve Bank of Kansas City. [Downloadable!]
63. Stephen A. Buser & G. Andrew Karolyi & Anthony B. Sanders, . "Adjusted Forward Rates as Predictors of Future Spot Rates," Research in Financial Economics 9605, Ohio State University. [Downloadable!]
64. Jianqing Fan & Jiancheng Jiang, 2007. "Nonparametric inference with generalized likelihood ratio tests," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 16(3), pages 409-444, December. [Downloadable!] (restricted)
65. Sirimon Treepongkaruna, 2003. "Quasi-maximum likelihood estimates of Kiwi short-term interest rate," Applied Economics Letters, Taylor and Francis Journals, vol. 10(15), pages 937-942, December. [Downloadable!] (restricted)
66. Vanessa Mattiussi & Giulia Iori, 2006. "Currency Futures Volatility during the 1997 East Asian Crisis: An Application of Fourier Analysis," City University Economics Discussion Papers 06/09, Department of Economics, City University, London. [Downloadable!]
67. Christiansen, Charlotte, 2003. "Multivariate Term Structure Models with Level and Heteroskedasticity Effects," Finance Working Papers 02-19, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    Other versions:
    • Christiansen, Charlotte, 2005. "Multivariate term structure models with level and heteroskedasticity effects," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1037-1057, May. [Downloadable!] (restricted)
68. Yvon Fauvel & Alain Paquet & Christian Zimmermann, 1999. "A Survey on Interest Rate Forecasting," Cahiers de recherche CREFE / CREFE Working Papers 87, CREFE, Université du Québec à Montréal. [Downloadable!]
69. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation," Stan Hurn Discussion Papers 2006-01, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
70. Mark Podolskij & Mathias Vetter, 2008. "Bipower-type estimation in a noisy diffusion setting," CREATES Research Papers 2008-25, School of Economics and Management, University of Aarhus. [Downloadable!]
71. O.T. Henry & S. Suardi, 2005. "Testing For Asymmetry In Interest Rate Volatility In The Presence Of A Neglected Level Effect," Department of Economics - Working Papers Series 945, The University of Melbourne. [Downloadable!]
72. Monica Gentile & Roberto Renò, 2002. "Which Model for the Italian Interest Rates?," LEM Papers Series 2002/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
73. 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!]
74. K. Ben Nowman & Burak Saltoglu, 2003. "An empirical comparison of interest rates using an interest rate model and nonparametric methods," Applied Economics Letters, Taylor and Francis Journals, vol. 10(10), pages 643-645, August. [Downloadable!] (restricted)
75. J.Marcelo Ochoa, 2006. "An interpretation of an affine term structure model of Chile," Estudios de Economia, University of Chile, Department of Economics, vol. 33(2 Year 20), pages 155-184, December. [Downloadable!]
76. Hortensia Fontanals Albiol & Sergio Zuniga, 2002. "Modelos de tasas de interes en Chile: una revision," Working Papers in Economics 87, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
77. Fabio Mercurio & Juan M. Moraleda, 1996. "A Family of Humped Volatility Structures," Tinbergen Institute Discussion Papers 96-169/2, Tinbergen Institute. [Downloadable!]
78. Juan Marcelo, Ochoa, 2006. "An Interpretation of An Affine Term Structure Model for Chile," MPRA Paper 1072, University Library of Munich, Germany. [Downloadable!]
79. Jean-Philippe BOUCHAUD & Rama CONT & Nicole EL KAROUI & Marc POTTERS & Nicolas SAGNA, 1997. "Phenomenology of the interest curve," Finance 9712009, EconWPA. [Downloadable!]
80. Peter Ritchken & L. Sankarasubramanian, 1992. "On Markovian representations of the term structure," Working Paper 9214, Federal Reserve Bank of Cleveland. [Downloadable!]
81. Jun Yu & Peter C.B. Phillips, 2001. "Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate," Cowles Foundation Discussion Papers 1309, Cowles Foundation, Yale University. [Downloadable!]
82. Pierluigi Balduzzi & Sanjiv Ranjan Das & Silverio Foresi, 1997. "The Central Tendency: A Second Factor in Bond Yields," NBER Working Papers 6325, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Pierluigi Balduzzi & Sanjiv Das & Silverio Foresi, 1996. "The Central Tendency: A Second Factor in Bond Yields," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-12, New York University, Leonard N. Stern School of Business-.
    • Pierluigi Balduzzi & Sanjiv Ranjan Das & Silverio Foresi, 1998. "The Central Tendency: A Second Factor In Bond Yields," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 62-72, February. [Downloadable!] (restricted)
83. Ekaterini Panopoulou & B. Groom & P. Koundouri & Theologos Pantelidis, 2005. "Discounting the distant future: How much does model selection affect the certainty equivalent rate?," Economics, Finance and Accounting Department Working Paper Series n1480105, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
    Other versions:
    • Phoebe Koundouri & Theologos Pantelidis & Ben Groom & Ekaterini Panopoulou, 2007. "Discounting the distant future: How much does model selection affect the certainty equivalent rate?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(3), pages 641-656. [Downloadable!]
84. de Jong, Frank, 1999. "Time-series and Cross-section Information in Affine Term Structure Models," CEPR Discussion Papers 2065, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
85. Mark Podolskij & Daniel Ziggel, 2008. "A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models," CREATES Research Papers 2008-22, School of Economics and Management, University of Aarhus. [Downloadable!]
86. Silja Kinnebrock & Mark Podolskij, 2007. "A Note on the Central Limit Theorem for Bipower Variation of General Functions," OFRC Working Papers Series 2007fe03, Oxford Financial Research Centre. [Downloadable!]
87. D H Kim, 2004. "Nonlinearity in the Term Structure," The School of Economics Discussion Paper Series 0401, Economics, The University of Manchester. [Downloadable!]
88. Brito, R. D. & Flôres Jr, R.G., 2001. "Optimal Growth and Monetary Policy: the impacts on the term structure of interest rates," Ibmec Working Papers wpe_10, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
89. Peter Reinhard Hansen, 2000. "Structural Changes in the Cointegrated Vector Autoregressive Model," Working Papers 2000-20, Brown University, Department of Economics. [Downloadable!]
    Other versions:
    • Hansen, Peter Reinhard, 2003. "Structural changes in the cointegrated vector autoregressive model," Journal of Econometrics, Elsevier, vol. 114(2), pages 261-295, June. [Downloadable!] (restricted)
90. Celso Brunetti & Alessio Caldarera, 2006. "Asset Prices and asset Correlations in Illiquid Markets," Computing in Economics and Finance 2006 331, Society for Computational Economics. [Downloadable!]
    Other versions:
    • Alessio Caldarera & Celso Brunetti, 2005. "Asset Prices and Asset Correlations in Illiquid Markets," 2005 Meeting Papers 288, Society for Economic Dynamics. [Downloadable!]
91. Fabio Mercurio, Juan M. Moraleda, 2001. "A family of humped volatility models," European Journal of Finance, Taylor and Francis Journals, vol. 7(2), pages 93-116, June. [Downloadable!] (restricted)
92. Franco Parisi, 1998. "Tasas de Interés Nominal de Corto Plazo en Chile: Una Comparación Empírica de sus Modelos," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(105), pages 161-182. [Downloadable!]
93. Sanjiv Ranjan Das, 1997. "An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model," NBER Technical Working Papers 0212, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
94. Chew Lian Chua & Sandy Suardi, 2005. "Is There a Unit Root in East-Asian Short-Term Interest Rates?," Melbourne Institute Working Paper Series wp2005n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
95. Michael W. Brandt & Pedro Santa-Clara, 2001. "Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets," NBER Technical Working Papers 0274, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
96. Joshua Rosenberg, 1999. "Option-Based Tests of Interest Rate Diffusion Functions," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-026, New York University, Leonard N. Stern School of Business-. [Downloadable!]
97. Gregory R. Duffee, 2000. "Term premia and interest rate forecasts in affine models," Working Papers in Applied Economic Theory 2000-19, Federal Reserve Bank of San Francisco. [Downloadable!]
98. Daniel R. Smith & Christophe Parignon, 2004. "Modeling Yield-Factor Volatility," Econometric Society 2004 Australasian Meetings 307, Econometric Society. [Downloadable!]
99. Ramaprasad Bhar, Carl Chiarella, 1997. "Interest rate futures: estimation of volatility parameters in an arbitrage-free framework," Applied Mathematical Finance, Taylor and Francis Journals, vol. 4(4), pages 181-199, December. [Downloadable!] (restricted)
    Other versions:
    • Ram Bhar & Carl Chiarella, 1995. "Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework," Working Paper Series 55, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
100. Fuchun Li, 2005. "Testing the Parametric Specification of the Diffusion Function in a Diffusion Process," Working Papers 05-35, Bank of Canada. [Downloadable!]
101. Nguyen Thanh Long, 2002. "Analytical Aproach to Value Options with State Variables of a Levy System," Finance 0207004, EconWPA, revised 19 Nov 2002. [Downloadable!]
102. Mark Trede & Bernd Wilfling, 2007. "Estimating exchange rate dynamics with diffusion processes: an application to Greek EMU data," Empirical Economics, Springer, vol. 33(1), pages 23-39, July. [Downloadable!] (restricted)
103. Terence D.Agbeyegbe & Elena Goldman, 2005. "Estimation of threshold time series models using efficient jump MCMC," Hunter College Department of Economics Working Papers 406, Hunter College: Department of Economics, revised 2005. [Downloadable!]
104. Fernando Rubio, 2004. "Eficiencia Simple Del Mercado De Renta Fija En Chile," Finance 0405009, EconWPA. [Downloadable!]
105. Roberto Reno', 2004. "Nonparametric Estimation of the Diffusion Coefficient via Fourier Analysis, with Aplication to Short Rate Modeling," Department of Economics University of Siena 440, Department of Economics, University of Siena. [Downloadable!]
106. Jong, F. de & Driessen, J. & Pelsser, A., 2000. "Libor and swap market models for the pricing of interest rate derivatives : an empirical analysis," Discussion Paper 35, Tilburg University, Center for Economic Research. [Downloadable!]
107. Roberto Reno' & Antonio Roma & Stephen Schaefer, 2004. "A Comparison of Alternative Nonparametric Estimators of the Short Rate Diffusion Coefficient," Department of Economics University of Siena 445, Department of Economics, University of Siena. [Downloadable!]
108. Laurini, Márcio P. & Hotta, Luiz K., 2008. "Inferência indireta em modelos fracionários de taxas de juros de curto prazo," Ibmec Working Papers wpe_119, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
109. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2007. "Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models," Research Paper Series 198, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
110. Turan G. Bali & Salih N. Neftci, 2002. "Disturbing Extremal Behavior of Spot Rate Dynamics," ICMA Centre Discussion Papers in Finance icma-dp2002-03, School of Business, Reading University. [Downloadable!]
111. Teresa Corzo Santamaría & Javier Gómez Biscarri, 2004. "Nonparametric Estimation of Convergence of Interest Rates: Effects on Bond Pricing," Faculty Working Papers 03/04, School of Economics and Business Administration, University of Navarra. [Downloadable!]
     Other versions:
     • Teresa Corzo Santamaría & Javier Gómez Biscarri, 2005. "Nonparametric estimation of convergence of interest rates: Effects on bond pricing," Spanish Economic Review, Springer, vol. 7(3), pages 167-190, 09. [Downloadable!] (restricted)
112. Michael Sørensen, 2008. "Parametric inference for discretely sampled stochastic differential equations," CREATES Research Papers 2008-18, School of Economics and Management, University of Aarhus. [Downloadable!]
113. Young-Kyu Moh, 2006. "Continuous-time model of uncovered interest parity with regulated jump-diffusion interest differential," Applied Economics, Taylor and Francis Journals, vol. 38(21), pages 2523-2533, December. [Downloadable!] (restricted)
114. Viviana Fernández, 2001. "A Liquidity Premium Puzzle?: Evidence from Chile," Documentos de Trabajo 105, Centro de Economía Aplicada, Universidad de Chile. [Downloadable!]
115. Mikkelsen, Peter, 2001. "MCMC Based Estimation of Term Structure Models," Finance Working Papers 01-7, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
116. John Matovu, 2007. "Volatility and Jump Risk Premia in Emerging Market Bonds," IMF Working Papers 07/172, International Monetary Fund. [Downloadable!]
117. Stanislav Anatolyev & Sergey Korepanov, 2003. "The term structure of Russian interest rates," Applied Economics Letters, Taylor and Francis Journals, vol. 10(13), pages 867-870, October. [Downloadable!] (restricted)
118. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," Center for Financial Institutions Working Papers 02-27, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
     Other versions:
     • Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," NBER Technical Working Papers 0279, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
119. Stefan JASCHKE, . "Exploratory Data Analysis of Short-Term Interest Rates," Sonderforschungsbereich 373 1994-47, Humboldt Universitaet Berlin.
120. K. Ben Nowman & Ghulam Sorwar, 2003. "Implied option prices from the continuous time CKLS interest rate model: an application to the UK," Applied Financial Economics, Taylor and Francis Journals, vol. 13(3), pages 191-197, January. [Downloadable!] (restricted)
121. John Barkoulas & Christopher F. Baum & Atreya Chakraborty, 1996. "Nearest-Neighbor Forecasts of U.S. Interest Rates," Boston College Working Papers in Economics 313., Boston College Department of Economics, revised 01 Apr 2003. [Downloadable!]
122. Olan T. Henry & Sandy Suardi, 2004. "Testing for a Level Effect in Short-Term Interest Rates," Department of Economics - Working Papers Series 924, The University of Melbourne. [Downloadable!]
123. Andrew Ang & Geert Bekaert, 1998. "Regime Switches in Interest Rates," NBER Working Papers 6508, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
     Other versions:
     • Ang, Andrew & Bekaert, Geert, 2002. "Regime Switches in Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 163-82, April.
124. David K. Backus & Stanley E. Zin, 1994. "Reverse Engineering the Yield Curve," NBER Working Papers 4676, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
     Other versions:
     • David K. Backus & Stanley E. Zin, 1994. "Reverse Engineering the Yield Curve," Working Papers 94-09, New York University, Leonard N. Stern School of Business, Department of Economics.
125. D. Sondermann & K. Miltersen, 1994. "Closed Form Term Structure Derivatives in a Heath-Jarrow- Morton Model with Log-Normal Annually Compounded Interest Rates," Discussion Paper Serie B 285, University of Bonn, Germany. [Downloadable!]
126. Tigran Poghosyan & Evzen Kocenda, 2006. "Foreign Exchange Risk Premium Determinants: Case of Armenia," William Davidson Institute Working Papers Series wp811, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
     Other versions:
     • Tigran Poghosyan & Evzen Kocenda, 2006. "Foreign Exchange Risk Premium Determinants: Case of Armenia," CERGE-EI Working Papers wp297, The Center for Economic Research and Graduate Education - Economic Institute, Prague. [Downloadable!]
127. Yacine Ait-Sahalia, 1995. "Nonparametric Pricing of Interest Rate Derivative Securities," NBER Working Papers 5345, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
     Other versions:
     • Ait-Sahalia, Yacine, 1996. "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, Econometric Society, vol. 64(3), pages 527-60, May. [Downloadable!] (restricted)
128. Ram Bhar & Carl Chiarella & Hing Hung & Wolfgang Runggaldier, 2004. "The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach," Finance 0409002, EconWPA. [Downloadable!]
129. Duarte, Jefferson., 2003. "Evaluating an Alternative Risk Preference in Affine Term Structure Models," Finance Lab Working Papers flwp_49, Finance Lab, Ibmec São Paulo. [Downloadable!]
130. Viviana Fernández, 1999. "Estructura de Tasas de Interés en Chile: La Vía No Paramétrica," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 36(109), pages 1005-1034. [Downloadable!]
131. Raymond Chiang & Thomas F. Gosnell & Andrea J. Heuson, 1997. "Evaluating the Interest-Rate Risk of Adjustable-Rate Mortgage Loans," Journal of Real Estate Research, American Real Estate Society, vol. 13(1), pages 77-94. [Downloadable!]
132. Michael W. Brandt & David A. Chapman, 2006. "Linear Approximations and Tests of Conditional Pricing Models," NBER Working Papers 12513, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
133. Christian M. Dahl & Emma M. Iglesias, 2008. "The limiting properties of the QMLE in a general class of asymmetric volatility models," CREATES Research Papers 2008-38, School of Economics and Management, University of Aarhus. [Downloadable!]
134. Marcelo Ochoa, 2006. "Interpreting an Affine Term Structure Model for Chile," Working Papers Central Bank of Chile 380, Central Bank of Chile. [Downloadable!]
135. Christopher F. Baum & Olin Liu, 1994. "An Alternative Strategy for Estimation of a Nonlinear Model of the Term Structure of Interest Rates," Boston College Working Papers in Economics 275., Boston College Department of Economics. [Downloadable!]

This page was last updated on 2008-11-26.