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Citations for "Term Premia and Interest Rate Forecasts in Affine Models" by Gregory R. Duffee
For a complete description of this item, click here .
Cited by (explanations , 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.): Favero, Carlo A & Niu, Linlin & Sala, Luca, 2007.
"Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set ,"
CEPR Discussion Papers
6206, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: 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!]
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)
Qiang Dai & Kenneth J. Singleton & Wei Yang, 2004.
"Regime shifts in a dynamic term structure model of U.S. Treasury bond yields ,"
Proceedings ,
Federal Reserve Bank of San Francisco, issue Mar.
[Downloadable!]
Michael Brennan & Ashley Wang & Yihong Xia, 2003.
"Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing ,"
University of California at Los Angeles, Anderson Graduate School of Management
1011, Anderson Graduate School of Management, UCLA.
[Downloadable!]
Vicente, José Valentim M. & Almeida, Caio Ibsen Rodrigues de, 2007.
"The Role of No-Arbitrage on Forecasting: Lessons from a Parametric Term Structure Model ,"
Economics Working Papers (Ensaios Economicos da EPGE)
657, Graduate School of Economics, Getulio Vargas Foundation (Brazil).
[Downloadable!]
Marco Lyrio & Hans Dewachter & Konstantijn Maes, 2006.
"A joint model for the term structure of interest rates and the macroeconomy ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 21(4), pages 439-462.
[Downloadable!]
Other versions: Esben Hoeg & Per Frederiksen, 2006.
"The Fractional OU Process: Term Structure Theory and Application ,"
Computing in Economics and Finance 2006
194, Society for Computational Economics.
[Downloadable!]
Rolf Poulsen & Kourosh Marjani Rasmussen, 2005.
"Financial Giffen Goods ,"
FRU Working Papers
2005/06, University of Copenhagen. Department of Economics. Finance Research Unit.
[Downloadable!]
Peter Lildholdt & Nikolaos Panigirtzoglou & Chris Peacock, .
"An affine macro-factor model of the UK yield curve ,"
Bank of England working papers
322, Bank of England.
[Downloadable!]
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!]
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, 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!] 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) Don H Kim, 2007.
"Spanned stochastic volatility in bond markets: a reexamination of the relative pricing between bonds and bond options ,"
BIS Working Papers
239, Bank for International Settlements.
[Downloadable!]
Peter Hordahl & Oreste Tristani & David Vestin, 2004.
"A joint econometric model of macroeconomic and term structure dynamics ,"
Money Macro and Finance (MMF) Research Group Conference 2003
48, Money Macro and Finance Research Group.
[Downloadable!]
Other versions:
Peter Hoerdahl & Oreste Tristani, 2004.
"A joint econometric model of macroeconomic and term structure dynamics ,"
Econometric Society 2004 North American Summer Meetings
379, Econometric Society.
[Downloadable!] Peter Hördahl & Oreste Tristani & David Vestin, 2004.
"A joint econometric model of macroeconomic and term structure dynamics ,"
Working Paper Series
405, European Central Bank.
[Downloadable!] Hordahl, Peter & Tristani, Oreste & Vestin, David, 2006.
"A joint econometric model of macroeconomic and term-structure dynamics ,"
Journal of Econometrics ,
Elsevier, vol. 131(1-2), pages 405-444.
[Downloadable!] (restricted) David K. Backus & Jonathan H. Wright, 2007.
"Cracking the Conundrum ,"
Working Papers
07-22, New York University, Leonard N. Stern School of Business, Department of Economics.
[Downloadable!]
Other versions:
David K. Backus & Jonathan H. Wright, 2007.
"Cracking the Conundrum ,"
NBER Working Papers
13419, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) David Backus & Jonathan H. Wright, 2007.
"Cracking the conundrum ,"
Finance and Economics Discussion Series
2007-46, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!] David K. Backus & Jonathan H. Wright, 2007.
"Cracking the Conundrum ,"
Brookings Papers on Economic Activity ,
Economic Studies Program, The Brookings Institution, vol. 38(2007-1), pages 293-329.
[Downloadable!] Andrew Ang & Sen Dong & Monika Piazzesi, 2005.
"No-arbitrage Taylor rules ,"
Proceedings ,
Federal Reserve Bank of San Francisco.
[Downloadable!]
Other versions: Giese, Julia V., 2008.
"Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model ,"
Economics Discussion Papers
2008-13, Kiel Institute for the World Economy.
[Downloadable!]
John H. Cochrane & Monika Piazzesi, 2002.
"Bond Risk Premia ,"
NBER Working Papers
9178, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Stefania D'Amico & Don H Kim & Min Wei, 2008.
"Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices ,"
BIS Working Papers
248, Bank for International Settlements.
[Downloadable!]
Andrew Ang & Geert Bekaert & Min Wei, 2006.
"Do macro variables, asset markets, or surveys forecast inflation better? ,"
Finance and Economics Discussion Series
2006-15, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Other versions:
Andrew Ang & Geert Bekaert & Min Wei, 2005.
"Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better? ,"
NBER Working Papers
11538, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Ang, Andrew & Bekaert, Geert & Wei, Min, 2007.
"Do macro variables, asset markets, or surveys forecast inflation better? ,"
Journal of Monetary Economics ,
Elsevier, vol. 54(4), pages 1163-1212, May.
[Downloadable!] (restricted) Peter Spencer, 2007.
"Macro volatility in a model of the UK Gilt edged bond market ,"
Money Macro and Finance (MMF) Research Group Conference 2006
73, Money Macro and Finance Research Group.
[Downloadable!]
Frank X. Zhang, 2003.
"What did the credit market expect of Argentina default? Evidence from default swap data ,"
Finance and Economics Discussion Series
2003-25, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Michael W. Brandt & Amir Yaron, 2003.
"Time-Consistent No-Arbitrage Models of the Term Structure ,"
NBER Working Papers
9458, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Favero, Carlo A & Giglio, Stefano W, 2006.
"Fiscal Policy and the Term Structure: Evidence from the Case of Italy in the EMS and the EMU Periods ,"
CEPR Discussion Papers
5793, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: Peter Hördahl & Oreste Tristani & David Vestin, 2006.
"The term structure of inflation risk premia and macroeconomic dynamics ,"
Computing in Economics and Finance 2006
203, Society for Computational Economics.
[Downloadable!]
Oliver Blaskowitz & Helmut Herwartz & Gonzalo de Cadenas Santiago, 2005.
"Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach ,"
SFB 649 Discussion Papers
SFB649DP2005-024, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Other versions: Jacob A. Bikker & Peter J.G. Vlaar, 2006.
"Conditional Indexation in Defined Benefit Pension Plans ,"
DNB Working Papers
086, Netherlands Central Bank, Research Department.
[Downloadable!]
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: Francis X. Diebold & Lei Ji & Canlin Li, 2006.
"A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration ,"
PIER Working Paper Archive
06-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
[Downloadable!]
Enlin Pan & Liuren Wu, 2004.
"Taking Positive Interest Rates Seriously ,"
Finance
0409013, EconWPA.
[Downloadable!]
Peter Hördahl & David Vestin, 2003.
"Interpreting implied risk neutral densities: the role of risk premia ,"
Working Paper Series
274, European Central Bank.
[Downloadable!]
Other versions: Meredith Beechey, 2006.
"A closer look at the sensitivity puzzle: the sensitivity of expected future short rates and term premia to macroeconomic news ,"
Finance and Economics Discussion Series
2007-06, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Shu Wu & Yong Zeng, 2005.
"The Term Structure of Interest Rates under Regime Shifts and Jumps ,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
200520, University of Kansas, Department of Economics, revised Oct 2005.
[Downloadable!]
Clive Bowsher & Roland Meeks, 2008.
"The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve ,"
OFRC Working Papers Series
2008fe24, Oxford Financial Research Centre.
[Downloadable!]
Other versions: Martin Lettau & Jessica Wachter, 2005.
"Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium ,"
NBER Working Papers
11144, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Jessica Wachter & Martin Lettau, 2005.
"Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium ,"
2005 Meeting Papers
302, Society for Economic Dynamics.
Lettau, Martin & Wachter, Jessica, 2005.
"Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium ,"
CEPR Discussion Papers
4921, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Martin Lettau & Jessica A. Wachter, 2007.
"Why Is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium ,"
Journal of Finance ,
American Finance Association, vol. 62(1), pages 55-92, 02.
[Downloadable!] (restricted) Oliver Blaskowitz & Helmut Herwatz, .
"Adaptive Forecasting of the EURIBOR Swap Term Structure ,"
SFB 649 Discussion Papers
SFB649DP2008-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Cheridito, Patrick & Filipovic, Damir & Kimmel, Robert L., 2006.
"Affine Term Structure Models ,"
Working Paper Series
2007-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
[Downloadable!]
Anders B. Trolle & Eduardo S. Schwartz, 2006.
"A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives ,"
NBER Working Papers
12337, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2008.
"An arbitrage-free generalized Nelson-Siegel term structure model ,"
Working Paper Series
2008-07, Federal Reserve Bank of San Francisco.
[Downloadable!]
Other versions: 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!]
Carriero, Andrea & Favero, Carlo A & Kaminska, Iryna, 2004.
"Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates ,"
CEPR Discussion Papers
4301, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions:
Iryna Kaminska & Andrea Carriero & Carlo A. Favero, 2004.
"Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates ,"
Computing in Economics and Finance 2004
76, Society for Computational Economics.
[Downloadable!] Andrea Carriero & Carlo Favero & Iryna Kaminska, .
"Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates ,"
Working Papers
253, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
[Downloadable!] Carriero, Andrea & Favero, Carlo A. & Kaminska, Iryna, 2006.
"Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates ,"
Journal of Econometrics ,
Elsevier, vol. 131(1-2), pages 339-358.
[Downloadable!] (restricted) Xavier Gabaix, 2007.
"Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices ,"
NBER Working Papers
13430, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Don H. Kim & Jonathan H. Wright, 2005.
"An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates ,"
Finance and Economics Discussion Series
2005-33, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Timothy Cogley, 2005.
"Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters ,"
Review of Economic Dynamics ,
Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 420-451, April.
[Downloadable!] (restricted)
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!]
David Jamieson Bolder, 2006.
"Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective ,"
Working Papers
06-48, Bank of Canada.
[Downloadable!]
Francis X. Diebold, 2004.
"The Nobel Memorial Prize for Robert F. Engle ,"
CFS Working Paper Series
2004/11, Center for Financial Studies.
[Downloadable!]
Other versions:
Francis X. Diebold, 2004.
"The Nobel Memorial Prize for Robert F. Engle ,"
PIER Working Paper Archive
04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
[Downloadable!] Francis X. Diebold, 2004.
"The Nobel Memorial Prize for Robert F. Engle ,"
NBER Working Papers
10423, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Francis X. Diebold, 2004.
"The Nobel Memorial Prize for Robert F. Engle ,"
Scandinavian Journal of Economics ,
Blackwell Publishing, vol. 106(2), pages 165-185, 06.
[Downloadable!] (restricted) Høg, Espen P. & Frederiksen, Per H., 2006.
"The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application ,"
Finance Research Group Working Papers
F-2006-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
[Downloadable!]
Kim, Don H. & Orphanides, Athanasios, 2005.
"Term Structure Estimation with Survey Data on Interest Rate Forecasts ,"
CEPR Discussion Papers
5341, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: Michael Brennan & Yihong Xia, 2004.
"International Capital Markets and Foreign Exchange Risk ,"
University of California at Los Angeles, Anderson Graduate School of Management
1251, Anderson Graduate School of Management, UCLA.
[Downloadable!]
Daniel L. Thornton, 2004.
"Tests of the expectations hypothesis: resolving the Campbell-Shiller paradox ,"
Working Papers
2003-022, Federal Reserve Bank of St. Louis.
[Downloadable!]
Other versions: Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006.
"The bond yield "conundrum" from a macro-finance perspective ,"
Working Paper Series
2006-16, Federal Reserve Bank of San Francisco.
[Downloadable!]
Other versions: Antonio Diez de los Rios, 2006.
"Can Affine Term Structure Models Help Us Predict Exchange Rates? ,"
Working Papers
06-27, Bank of Canada.
[Downloadable!]
Pierre Collin-Dufresne & Christopher S. Jones & Robert S. Goldstein, 2004.
"Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility ,"
NBER Working Papers
10756, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Peter Spreij & Enno Veerman & Peter Vlaar, 2008.
"Multivariate Feller conditions in term structure models: Why do(n't) we care? ,"
DNB Working Papers
173, Netherlands Central Bank, Research Department.
[Downloadable!]
Charlotte Christiansen, 2008.
"Mean Reversion in US and International Short Rates ,"
CREATES Research Papers
2008-47, School of Economics and Management, University of Aarhus.
[Downloadable!]
Clive G. Bowsher & Roland Meeks, 2006.
"High Dimensional Yield Curves: Models and Forecasting ,"
OFRC Working Papers Series
2006fe11, Oxford Financial Research Centre.
[Downloadable!]
Other versions: Tobias Adrian & Emanuel Moench, 2008.
"Pricing the term structure with linear regressions ,"
Staff Reports
340, Federal Reserve Bank of New York.
[Downloadable!]
Michael Gallmeyer & Burton Hollifield & Stanley E. Zin, 2005.
"Taylor Rules, McCallum Rules and the Term Structure of Interest Rates ,"
NBER Working Papers
11276, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Michael F. Gallmeyer & Burton Hollifield, 2005.
"Taylor Rules, McCallum Rules and the Term Structure of Interest Rates ,"
2005 Meeting Papers
676, Society for Economic Dynamics.
[Downloadable!] Gallmeyer, Michael F. & Hollifield, Burton & Zin, Stanley E., 2005.
"Taylor rules, McCallum rules and the term structure of interest rates ,"
Journal of Monetary Economics ,
Elsevier, vol. 52(5), pages 921-950, July.
[Downloadable!] (restricted) Feng Zhao & Robert Jarrow & Haitao Li, 2004.
"Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? ,"
Econometric Society 2004 North American Winter Meetings
431, Econometric Society.
[Downloadable!]
Marco Lyrio & Hans Dewachter, 2004.
"Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve ,"
Computing in Economics and Finance 2004
188, Society for Computational Economics.
[Downloadable!]
Sørensen, Carsten & Trolle, Anders Bjerre, 2006.
"Dynamic asset allocation and latent variables ,"
Working Papers
2004-8, Copenhagen Business School, Department of Finance.
[Downloadable!]
Guidolin, Massimo & Timmermann, Allan G, 2007.
"Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach ,"
CEPR Discussion Papers
6188, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: Fousseni Chabi-Yo & Jun Yang, 2007.
"A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate ,"
Working Papers
07-21, Bank of Canada.
[Downloadable!]
Daniel L. Thornton, 2005.
"Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates ,"
Working Papers
2004-010, Federal Reserve Bank of St. Louis.
[Downloadable!]
Torben G. Andersen & Luca Benzoni, 2007.
"Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models ,"
CREATES Research Papers
2007-25, School of Economics and Management, University of Aarhus.
[Downloadable!]
Other versions: Patrick Cheridito & Damir Filipovic, 2004.
"Market Price of Risk Specifications for Affine Models: Theory and Evidence ,"
Econometric Society 2004 North American Winter Meetings
536, Econometric Society.
[Downloadable!]
Caio Almeida & Jeremy J. Graveline & Scott Joslin, 2005.
"Do Options Contain Information About Excess Bond Returns? ,"
IBMEC RJ Economics Discussion Papers
2005-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
[Downloadable!]
John Matovu, 2007.
"Volatility and Jump Risk Premia in Emerging Market Bonds ,"
IMF Working Papers
07/172, International Monetary Fund.
[Downloadable!]
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!]
Glenn Rudebusch & Tao Wu, 2004.
"A macro-finance model of the term structure, monetary policy, and the economy ,"
Proceedings ,
Federal Reserve Bank of San Francisco, issue Mar.
[Downloadable!]
Other versions:
Glenn D. Rudebusch & Tao Wu, 2003.
"A macro-finance model of the term structure, monetary policy, and the economy ,"
Working Papers in Applied Economic Theory
2003-17, Federal Reserve Bank of San Francisco.
[Downloadable!] Tao Wu & Glenn Rudebusch, 2004.
"A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy ,"
2004 Meeting Papers
104, Society for Economic Dynamics.
[Downloadable!] GlennD. Rudebusch & Tao Wu, 2008.
"A Macro-Finance Model of the Term Structure, Monetary Policy and the Economy ,"
Economic Journal ,
Royal Economic Society, vol. 118(530), pages 906-926, 07.
[Downloadable!] (restricted) D H Kim, 2004.
"Nonlinearity in the Term Structure ,"
The School of Economics Discussion Paper Series
0401, Economics, The University of Manchester.
[Downloadable!]
Sergio Pastorello & Valentin Patilea & Éric Renault, 2003.
"Iterative and Recursive Estimation in Structural Non-Adaptive Models ,"
CIRANO Working Papers
2003s-08, CIRANO.
[Downloadable!]
Manuel Moreno & Pedro Jose Serrano & Winfried Stute, 2008.
"Statistical Properties and Economic Implications of Jump-Diffusion Processes with Shot-Noise Effects ,"
Business Economics Working Papers
wb084912, Universidad Carlos III, Departamento de Economía de la Empresa.
[Downloadable!]
Dong Heon Kim, 2004.
"Nonlinearity in the Term Structure ,"
Econometric Society 2004 Far Eastern Meetings
440, Econometric Society.
[Downloadable!]
Other versions: Modena, Matteo, 2008.
"The term structure and the expectations hypothesis: a threshold model ,"
MPRA Paper
9611, University Library of Munich, Germany.
[Downloadable!]
Mihir A. Desai & C. Fritz Foley & James R. Hines Jr., 2004.
"Capital Controls, Liberalizations, and Foreign Direct Investement ,"
NBER Working Papers
10337, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Peter Vlaar, 2007.
"Term Structure Modeling for Pension Funds:What to do in Practice? ,"
DNB Working Papers
123, Netherlands Central Bank, Research Department.
[Downloadable!]
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!]
Yacine Ait-Sahalia & Robert Kimmel, 2002.
"Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions ,"
NBER Technical Working Papers
0286, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Tao Wu, 2001.
"Macro factors and the affine term structure of interest rates ,"
Working Papers in Applied Economic Theory
2002-06, Federal Reserve Bank of San Francisco.
[Downloadable!]
Jose Vicente & Benjamin M. Tabak, 2007.
"Forecasting Bonds Yields in the Brazilian Fixed Income Market ,"
Working Papers Series
141, Central Bank of Brazil, Research Department.
[Downloadable!]
Other versions: Massoud Heidari & Liuren Wu, 2002.
"Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives ,"
Finance
0207010, EconWPA, revised 05 Sep 2002.
[Downloadable!]
Nikolaus Hautsch & Yangguoyi Ou, 2008.
"Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia ,"
SFB 649 Discussion Papers
SFB649DP2008-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
CARRASCO, Marine & CHERNOV, Mikhaël & FLORENS, Jean-Pierre & GHYSELS, Eric, 2000.
"Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions ,"
IDEI Working Papers
116, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2002.
[Downloadable!]
Other versions: Shu Wu, 2005.
"Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets ,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
200519, University of Kansas, Department of Economics, revised Oct 2005.
[Downloadable!]
Don Kim, 2008.
"Challenges in macro-finance modeling ,"
Finance and Economics Discussion Series
2008-06, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Ravenna , Federico & Seppälä , Juha, 2006.
"Monetary policy and rejections of the expectations hypothesis ,"
Research Discussion Papers
25/2006, Bank of Finland.
[Downloadable!]
Peter Hördahl & Oreste Tristani, 2007.
"Mortage interest rate dispersion in the euro area ,"
Working Paper Series
734, European Central Bank.
[Downloadable!]
Paolo Pasquariello & Clara Vega, 2006.
"Informed and strategic order flow in the bond markets ,"
International Finance Discussion Papers
874, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
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!]
Stefania D'Amico & Don H. Kim & Min Wei, 2008.
"Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices ,"
Finance and Economics Discussion Series
2008-30, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Konstantijn Maes, 2004.
"Modeling the Term Structure of Interest Rates: Where Do We Stand? ,"
Research series
200402, National Bank of Belgium.
[Downloadable!]
Other versions: Sharon Kozicki & P.A. Tinsley, 2007.
"Term Structure Transmission of Monetary Policy ,"
Working Papers
07-30, Bank of Canada.
[Downloadable!]
Other versions:
Sharon Kozicki & Peter Tinsley, 2005.
"Term structure transmission of monetary policy ,"
Research Working Paper
RWP 05-06, Federal Reserve Bank of Kansas City.
[Downloadable!] Kozicki, Sharon & Tinsley, P.A., 2008.
"Term structure transmission of monetary policy ,"
The North American Journal of Economics and Finance ,
Elsevier, vol. 19(1), pages 71-92, March.
[Downloadable!] (restricted) Greg Tkacz, 2002.
"Inflation Changes, Yield Spreads, and Threshold Effects ,"
Working Papers
02-40, Bank of Canada.
[Downloadable!]
Other versions: Joshua V. Rosenberg & Samuel Maurer, 2008.
"Signal or noise? Implications of the term premium for recession forecasting ,"
Economic Policy Review ,
Federal Reserve Bank of New York, issue Jul, pages 1-11.
[Downloadable!]
Martin Møller Andreasen, 2008.
"Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model ,"
CREATES Research Papers
2008-43, School of Economics and Management, University of Aarhus.
[Downloadable!]
Kimmel, Robert L., 2007.
"Complex Times: Asset Pricing and Conditional Moments under Non-affine Diffusions ,"
Working Paper Series
2007-6, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
[Downloadable!]
Paschke, Raphael & Prokopczuk, Marcel, 2007.
"Integrating Multiple Commodities in a Model of Stochastic Price Dynamics ,"
MPRA Paper
5412, University Library of Munich, Germany.
[Downloadable!]
Greg Duffee, 2005.
"Term structure estimation without using latent factors ,"
Computing in Economics and Finance 2005
103, Society for Computational Economics.
[Downloadable!]
Paola Donati & Francesco Donati, 2008.
"Modelling and forecasting the yield curve under model uncertainty ,"
Working Paper Series
917, European Central Bank.
[Downloadable!]
Jun Yang, 2008.
"Macroeconomic Determinants of the Term Structure of Corporate Spreads ,"
Working Papers
08-29, Bank of Canada.
[Downloadable!]
David Jamieson Bolder & Yuliya Romanyuk, 2008.
"Combining Canadian Interest-Rate Forecasts ,"
Working Papers
08-34, Bank of Canada.
[Downloadable!]
Georg Mosburger & Paul Schneider, 2005.
"Modelling International Bond Markets with Affine Term Structure Models ,"
Finance
0509003, EconWPA.
[Downloadable!]
Wei Xiong & Hongjun Yan, 2006.
"Heterogeneous Expectations and Bond Markets ,"
NBER Working Papers
12781, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006.
"A multi-factor model for the valuation and risk managment of demand deposits ,"
Research series
200605-2, National Bank of Belgium.
[Downloadable!]
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)
Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba, 2003.
"The macroeconomy and the yield curve: a nonstructural analysis ,"
Working Papers in Applied Economic Theory
2003-18, Federal Reserve Bank of San Francisco.
[Downloadable!]
Other versions: Siem Jan Koopman & Max I.P. Mallee & Michel van der Wel, 2007.
"Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters ,"
Tinbergen Institute Discussion Papers
07-095/4, Tinbergen Institute.
[Downloadable!]
Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2007.
"Ambiguity Aversion and the Term Structure of Interest Rates ,"
University of St. Gallen Department of Economics working paper series 2007
2007-29, Department of Economics, University of St. Gallen.
[Downloadable!]
Xavier Gabaix, 2008.
"Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance ,"
NBER Working Papers
13724, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
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This page was last updated on 2008-11-26.
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