1. Diether Beuermann & Antonios Antoniou & Alejandro Bernales, 2005. "The Dynamics of the Short-Term Interest Rate in the UK," Finance 0512029, EconWPA. [Downloadable!]
2. 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)
3. Stuart Landon, 2009. "The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds," EERI Research Paper Series EERI_RP_2009_20, Economics and Econometrics Research Institute (EERI). [Downloadable!]
   Other versions:
   • Landon, Stuart, 2009. "The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds," MPRA Paper 15467, University Library of Munich, Germany. [Downloadable!]
4. David Backus & Silverio Foresi & Stanley Zin, 1996. "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," NBER Working Papers 5638, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • David K. Backus & Silverio Foresi & Stanley E. Zin, 1994. "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," Working Papers 94-28, New York University, Leonard N. Stern School of Business, Department of Economics.
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5. Landon, Stuart & Smith, Constance, 2008. "Taxation and bond market investment strategies: Evidence from the market for Government of Canada bonds," MPRA Paper 9959, University Library of Munich, Germany. [Downloadable!]
6. 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)
7. Scholes, Myron S., 1997. "Derivatives in a Dynamic Environment," Nobel Prize in Economics documents 1997-2, Nobel Prize Committee. [Downloadable!]
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   • Scholes, Myron S, 1998. "Derivatives in a Dynamic Environment," American Economic Review, American Economic Association, vol. 88(3), pages 350-70, June. [Downloadable!] (restricted)
8. Konstantijn Maes, 2004. "Modeling the Term Structure of Interest Rates: Where Do We Stand?," Research series 200402, National Bank of Belgium. [Downloadable!]
   Other versions:
   • Konstantijn Maes & Konstantijn Maes, 2003. "Modeling the Term Structure of Interest Rates: Where Do We Stand?," International Economics Working Papers Series wpie008, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics. [Downloadable!]
9. R.C. Stapleton & Marti G. Subrahmanyam, 1999. "The Term Structure of Interest Rate-Futures Prices," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-045, New York University, Leonard N. Stern School of Business-. [Downloadable!]
10. Basma Bekdache & Christopher F. Baum, 1997. "The Ex Ante Predictive Accuracy of Alternative Models of the Term Structure of Interest Rates," Boston College Working Papers in Economics 372, Boston College Department of Economics. [Downloadable!]
    Other versions:
    • Basma Bekdache & Christopher F. Baum, . "The Ex Ante Predictive Accuracy of Alternative Models of the Term Structure of Interest Rates," Computing in Economics and Finance 1997 72, Society for Computational Economics. [Downloadable!]
11. Peter Vlaar, 2007. "Term Structure Modeling for Pension Funds:What to do in Practice?," DNB Working Papers 123, Netherlands Central Bank, Research Department. [Downloadable!]
12. Richard Roll, 1987. "Managing Risk in Thrift Institutions: Beyond the Duration Cap," University of California at Los Angeles, Anderson Graduate School of Management 1192, Anderson Graduate School of Management, UCLA. [Downloadable!]
13. Jin-Chuan Duan & Kris Jacobs, 2001. "Short and Long Memory in Equilibrium Interest Rate Dynamics," CIRANO Working Papers 2001s-22, CIRANO. [Downloadable!]
14. K. Nowman, 2003. "A Note on Gaussian Estimation of the CKLS and CIR Models with Feedback Effects for Japan," Asia-Pacific Financial Markets, Springer, vol. 10(2), pages 275-279, September. [Downloadable!] (restricted)
15. Markus Leippold & Liuren Wu, 1999. "The Potential Approach to Bond and Currency Pricing," Finance 9903004, EconWPA. [Downloadable!]
16. 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)
17. 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!]
18. 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-.
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19. L. Ingber & M.F. Wehner & G.M. Jabbour & T.M. Barnhill, . "Application of statistical mechanics methodology to term-structure bond-pricing models," Lester Ingber Papers 91as, Lester Ingber. [Downloadable!]
20. 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)
21. 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)
22. Jacob Boudoukh & Matthew Richardson, 1999. "A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility," NBER Working Papers 7213, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
23. Eliseo Navarro & Juan M. Nave, 1997. "A two-factor duration model for interest rate risk management," Investigaciones Economicas, Fundación SEPI, vol. 21(1), pages 55-74, January. [Downloadable!]
24. Gerardo Hernandez-del-Valle & Carlos Pacheco-Gonzalez, 2009. "Optimal execution of Portfolio transactions with geometric price process," Quantitative Finance Papers 0908.1211, arXiv.org, revised Nov 2009. [Downloadable!]
25. 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!]
26. 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.
27. Ruijun Bu & Ludovic Giet & Kaddour Hadri & Michel Lubrano, 2009. "Modeling Multivariate Interest Rates using Time-Varying Copulas and Reducible Stochastic Differential Equations," Working Papers halshs-00408014_v1, HAL. [Downloadable!]
28. 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!]
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29. Ram Bhar & Carl Chiarella & Thuy Duong To, 2002. "A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models," Research Paper Series 80, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
30. 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!]
31. 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)
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32. Luca Benati, . "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England. [Downloadable!]
33. Gonzalo Cortazar & Eduardo S. Schwartz & Lorenzo F. Naranjo, 2007. "Term-structure estimation in markets with infrequent trading," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(4), pages 353-369. [Downloadable!]
34. David Backus & Silverio Foresi & Chris Telmer, 1998. "Discrete-Time Models of Bond Pricing," NBER Working Papers 6736, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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35. Ghulam Sorwar, 2005. "Implied derivative security prices based two-factor interest model: a UK application," Applied Financial Economics, Taylor and Francis Journals, vol. 15(10), pages 739-744, June. [Downloadable!] (restricted)
36. David F. Babbel & Craig Merrill, 1997. "Economic Valuation Models for Insurers," Center for Financial Institutions Working Papers 97-44, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
37. Constantin Mellios, 2001. "Valuation of Interest Rate Options in a Two-Factor Model of the Term Structure of Interest Rate," Working Papers 2001-1, Laboratoire Orléanais de Gestion - université d'Orléans. [Downloadable!]
38. Gonzalo Cortazar & Eduardo Schwartz & Lorezo Naranjo, 2003. "Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data," University of California at Los Angeles, Anderson Graduate School of Management 1109, Anderson Graduate School of Management, UCLA. [Downloadable!]
39. Antoine Frachot & Jean-Philippe Lesne, 1995. "Modèles factoriels de la structure par termes des taux d'intérêt : Théorie et application économétrique," Annales d'Economie et de Statistique, ADRES, issue 40, pages 04, Octobre-D. [Downloadable!]
40. 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!]
41. Carl Chiarella & Nadima El-Hassan, 1999. "Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines," Research Paper Series 12, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
42. 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!]
43. 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!]
44. Jacob Boudoukh & Matthew Richardson & Richard Stanton & Robert Whitelaw, 1999. "A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-042, New York University, Leonard N. Stern School of Business-. [Downloadable!]
45. Ram Bhar & Carl Chiarella & Thuy-Duong To, 2004. "Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets," Finance 0409003, EconWPA. [Downloadable!]
46. 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)
47. L. Ingber, . "Statistical mechanics of nonlinear nonequilibrium financial markets: Applications to optimized trading," Lester Ingber Papers 96nn, Lester Ingber. [Downloadable!]
48. Chris Strickland, 1996. "A comparison of diffusion models of the term structure," European Journal of Finance, Taylor and Francis Journals, vol. 2(1), pages 103-123, March. [Downloadable!] (restricted)
49. Sandra Peterson & Richard C. Stapleton & Marti G. Subrahmanyam, 1999. "The Valuation of American-Style Swaptions in a Two-factor Spot-Futures Model," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-078, New York University, Leonard N. Stern School of Business-. [Downloadable!]
50. Phelim P. Boyle & Ken Seng Tan & Weidong Tian, 2001. "Calibrating the Black-Derman-Toy model: some theoretical results," Applied Mathematical Finance, Taylor and Francis Journals, vol. 8(1), pages 27-48, March. [Downloadable!] (restricted)
51. Dutta Goutam & Vaidyanathan K & Basu Sankarshan, 2002. "Term Structure Estimation in Illiquid Government Bond Markets: An Empirical Analysis for India," IIMA Working Papers 2002-09-01, Indian Institute of Management Ahmedabad, Research and Publication Department. [Downloadable!]
52. 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!]
53. Fan, Longzhen & Johansson, Anders C., 2009. "China'S Official Rates And Bond Yields," Working Paper Series 2009-3, China Economic Research Center, Stockholm School of Economics. [Downloadable!]
54. Robert R. Bliss & Peter Ritchken, 1995. "Empirical tests of two state-variable HJM models," Working Paper 95-13, Federal Reserve Bank of Atlanta. [Downloadable!]
55. Ming Dong & David Hirshleifer, 2004. "A Generalized Earnings-Based Stock Valuation Model," Finance 0412008, EconWPA. [Downloadable!]
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    • Ming Dong & David Hirshleifer, 2005. "A Generalized Earnings-Based Stock Valuation Model," Manchester School, University of Manchester, vol. 73(s1), pages 1-31, 09. [Downloadable!] (restricted)
56. Stefan JASCHKE, . "Exploratory Data Analysis of Short-Term Interest Rates," Sonderforschungsbereich 373 1994-47, Humboldt Universitaet Berlin.
57. 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)
58. Isabelle Bajeux-Besnainou, Roland Portait, 1998. "Pricing stock and bond derivatives with a multi-factor Gaussian model," Applied Mathematical Finance, Taylor and Francis Journals, vol. 5(3-4), pages 207-225, September. [Downloadable!] (restricted)
59. 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)

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