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Citations for "Modelling the Term Structure"

by Pagan, A.R. & Hall, A.D. & Martin, V.

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  1. Peter Reinhard Hansen, 2000. "Structural Changes in the Cointegrated Vector Autoregressive Model," Working Papers 2000-20, Brown University, Department of Economics.
  2. Farshid Vahid & Lin Luo, 2004. "Forecasting Australian GDP Growth Using Coefficients Constrained by A Term Structure Model," Econometric Society 2004 Australasian Meetings 232, Econometric Society.
  3. Christopher S. Jones, 2003. "Nonlinear Mean Reversion in the Short-Term Interest Rate," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 793-843, July.
  4. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," NBER Working Papers 10423, National Bureau of Economic Research, Inc.
  5. Diebold, Francis X. & Li, Canlin, 2003. "Forecasting the term structure of government bond yields," CFS Working Paper Series 2004/09, Center for Financial Studies (CFS).
  6. Clive G. Bowsher & Roland Meeks, 2008. "The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve," Economics Papers 2008-W05, Economics Group, Nuffield College, University of Oxford.
  7. Nielsen, Morten Ørregaard, 2010. "Nonparametric cointegration analysis of fractional systems with unknown integration orders," Journal of Econometrics, Elsevier, vol. 155(2), pages 170-187, April.
  8. Chiarella, Carl & Hung, Hing & T, Thuy-Duong, 2009. "The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2075-2088, April.
  9. Christian GOURIEROUX & Eric RENAULT & Pascale VALERY, 2007. "Diffusion Processes with Polynomial Eigenfunctions," Annales d'Economie et de Statistique, ENSAE, issue 85, pages 115-130.
  10. Martin, V.L. & Wilkins, N.P., 1997. "Indirect Estimation of Arfima and Varfima Models," Department of Economics - Working Papers Series 547, The University of Melbourne.
  11. Ahrens, Ralf, 1999. "Improving market-based forecasts of short-term interest rates: Time-varying stationarity and the predictive content of switching regime-expectations," CFS Working Paper Series 1999/14, Center for Financial Studies (CFS).
  12. Seppo Pynnonen & Warren Hogan & Jonathan Batten, 2006. "Modelling credit spreads on yen Eurobonds within an equilibrium correction framework," Applied Financial Economics, Taylor & Francis Journals, vol. 16(8), pages 583-606.
  13. 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.
  14. Markku Lanne, 2000. "Near unit roots, cointegration, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 513-529.
  15. Marçal, Emerson Fernandes & Valls Pereira, Pedro L., 2012. "Evaluating the existence of structural change in the brazilian term structure of interest : evidence based on cointegration models with structural break," Textos para discussão 314, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  16. Jun Yu & Peter C. B. Phillips, 2001. "A Gaussian approach for continuous time models of the short-term interest rate," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 3.
  17. Ballocchi, Giuseppe & Dacorogna, Michel M. & Hopman, Carl M. & Muller, Ulrich A. & Olsen, Richard B., 1999. "The intraday multivariate structure of the Eurofutures markets," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 479-513, December.
  18. Di Matteo, T. & Aste, T. & Mantegna, R.N., 2004. "An interest rates cluster analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 339(1), pages 181-188.
  19. Sarno, Lucio & Daniel l Thornton & Giorgio Valente, 2003. "Federal Funds Rate Prediction," Royal Economic Society Annual Conference 2003 183, Royal Economic Society.
  20. Di Matteo, T. & Aste, T. & Hyde, S.T. & Ramsden, S., 2005. "Interest rates hierarchical structure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 21-33.
  21. Gregory R. Duffee, 2012. "Forecasting interest rates," Economics Working Paper Archive 599, The Johns Hopkins University,Department of Economics.
  22. Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc.
  23. Sarno, Lucio & Thornton, Daniel L., 2003. "The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1079-1110, June.
  24. Matt Pritsker, 1997. "Nonparametric density estimation and tests of continuous time interest rate models," Finance and Economics Discussion Series 1997-26, Board of Governors of the Federal Reserve System (U.S.).
  25. Di Matteo, T. & Airoldi, M. & Scalas, E., 2004. "On pricing of interest rate derivatives," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 339(1), pages 189-196.
  26. Sébastien Morin, 2004. "Ruptures structurelles sur les marchés action et obligataire américains : preuve empirique à partir de la méthode de Saikkönen," Économie et Prévision, Programme National Persée, vol. 166(5), pages 87-98.
  27. Ibrahim Chowdhury & Lucio Sarno, 2004. "Time-Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5-6), pages 759-793.
  28. Alfaro, Rodrigo & Becerra, Juan Sebastian & Sagner, Andres, 2010. "Estimación de la estructura de tasas utilizando el modelo Dinámico Nelson Siegel: resultados para Chile y EEUU
    [The Dynamic Nelson-Siegel model: empirical results for Chile and US]
    ," MPRA Paper 25912, University Library of Munich, Germany, revised 23 Jun 2010.
  29. Jose Luis Fernandez-Serrano & M. Dolores Robles-Fernandez, 2008. "Time-series model forecasts and structural breaks: evidence from Spanish pre-EMU interest rates," Applied Economics, Taylor & Francis Journals, vol. 40(13), pages 1707-1721.
  30. Peter Reinhard Hansen, 2000. "Structural Breaks in the Cointegrated Vector Autoregressive Model," Econometric Society World Congress 2000 Contributed Papers 1240, Econometric Society.
  31. Clive Bowsher & Roland Meeks, 2006. "The Impossibility of Stationary Yield Spreads and I(1) Yields under the Expectations Theory of the Term Structure," Economics Series Working Papers 2006-W05, University of Oxford, Department of Economics.
  32. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  33. Petros Dellaportas & David G. T. Denison & Chris Holmes, 2007. "Flexible Threshold Models for Modelling Interest Rate Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 419-437.
  34. Engsted, Tom, 2002. " Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 301-55, July.
  35. Tauchen, George E., 1995. "New Minimum Chi-Square Methods in Empirical Finance," Working Papers 95-42, Duke University, Department of Economics.
  36. S. Lardic & V. Mignon, 2002. "Fractional cointegration and term structure of interest rates," THEMA Working Papers 2002-28, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  37. Greg Duffee, 2011. "Forecasting with the term structure: The role of no-arbitrage restrictions," Economics Working Paper Archive 576, The Johns Hopkins University,Department of Economics.
  38. Petko Kalev & Brett Inder, 2006. "The information content of the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 38(1), pages 33-45.
  39. Clements, Michael P. & Galv O, Ana Beatriz C., 2003. "Testing The Expectations Theory Of The Term Structure Of Interest Rates In Threshold Models," Macroeconomic Dynamics, Cambridge University Press, vol. 7(04), pages 567-585, September.
  40. Peter Lildholdt & Nikolaos Panigirtzoglou & Chris Peacock, 2007. "An affine macro-factor model of the UK yield curve," Bank of England working papers 322, Bank of England.
  41. A. S. Hurn & K. A. Lindsay & V. L. Martin, 2003. "On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(1), pages 45-63, 01.
  42. S. Lardic & V. Mignon, 2002. "Term premium and long-range dependence in volatility : A FIGARCH-M estimation on some Asian countries," THEMA Working Papers 2002-26, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  43. Sandrine Lardic & Valérie Mignon, 2004. "Fractional cointegration and the term structure," Empirical Economics, Springer, vol. 29(4), pages 723-736, December.
  44. Mardi Dungey & Vance L Martin & Adrian R Pagan, 2000. "A multivariate latent factor decomposition of international bond yield spreads," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 697-715.