Advanced Search
MyIDEAS: Login

Citations for "Some Lessons from the Yield Curve"

by Campbell, John

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Piga, Gustavo, 1998. "In Search of an Independent Province for the Treasuries: How Should Public Debt Be Managed?," Journal of Economics and Business, Elsevier, Elsevier, vol. 50(3), pages 257-275, May.
  2. James R. Lothian & Liuren Wu, 2003. "Uncovered Interest Rate Parity Over the Past Two Centuries," International Finance, EconWPA 0311009, EconWPA.
  3. Mohamad Shaaf, 2000. "Predicting Recession Using the Yield Curve: An Artificial Intelligence and Econometric Comparison," Eastern Economic Journal, Eastern Economic Association, vol. 26(2), pages 171-190, Spring.
  4. John H. Cochrane & Monika Piazzesi, 2005. "Bond Risk Premia," American Economic Review, American Economic Association, American Economic Association, vol. 95(1), pages 138-160, March.
  5. Duarte, Jefferson., 2003. "Evaluating an Alternative Risk Preference in Affine Term Structure Models," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa flwp_49, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  6. Silva Lopes, Artur C. B. da & Monteiro, Olga Susana, 2008. "Short and long run tests of the expectations hypothesis: the Portuguese case," MPRA Paper 12001, University Library of Munich, Germany.
  7. Allan M. Malz, 1998. "Interbank interest rates as term structure indicators," Research Paper, Federal Reserve Bank of New York 9803, Federal Reserve Bank of New York.
  8. Lucio Sarno & Daniel L. Thornton & Giorgio Valente, 2005. "The empirical failure of the expectations hypothesis of the term structure of bond yields," Working Papers, Federal Reserve Bank of St. Louis 2003-021, Federal Reserve Bank of St. Louis.
  9. Leo Krippner, 2002. "Extracting expectations of New Zealand's Official Cash Rate from the bank-risk yield curve," Reserve Bank of New Zealand Discussion Paper Series DP2002/01, Reserve Bank of New Zealand.
  10. Fischer, Björn & Köhler, Petra & Seitz, Franz, 2004. "The demand for euro area currencies: past, present and future," Working Paper Series, European Central Bank 0330, European Central Bank.
  11. Reschreiter, Andreas, 2004. "Conditional funding costs of inflation-indexed and conventional government bonds," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(6), pages 1299-1318, June.
  12. Joseph A. Ritter & Joseph H. Haubrich, 1996. "Commitment as investment under uncertainty," Working Papers, Federal Reserve Bank of St. Louis 1995-004, Federal Reserve Bank of St. Louis.
  13. Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P., 2011. "Time-variation in term premia: International survey-based evidence," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(4), pages 605-622, June.
  14. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2010. "Why Does the Treasury Issue Tips? The Tips–Treasury Bond Puzzle," NBER Working Papers 16358, National Bureau of Economic Research, Inc.
  15. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
  16. Seppala, Juha, 2004. "The term structure of real interest rates: theory and evidence from UK index-linked bonds," Journal of Monetary Economics, Elsevier, Elsevier, vol. 51(7), pages 1509-1549, October.
  17. Johnson, Robert R. & Buetow, Gerald W. & Jensen, Gerald R. & Reilly, Frank K., 2003. "Monetary policy and fixed income returns," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 43(1), pages 133-146.
  18. John Y. Campbell & Robert J. Shiller, 1996. "A Scorecard for Indexed Government Debt," NBER Chapters, in: NBER Macroeconomics Annual 1996, Volume 11, pages 155-208 National Bureau of Economic Research, Inc.
  19. Juha Ilmari Seppala, 2000. "The Term Structure of Real Interest Rates: Theory and Evidence from the U.K. Index-Linked Bonds," Econometric Society World Congress 2000 Contributed Papers 0245, Econometric Society.
  20. Silva Lopes, Artur C. & Monteiro, Olga Susana, 2007. "The Expectations Hypothesis of the Term Structure: Some Empirical Evidence for Portugal," MPRA Paper 6310, University Library of Munich, Germany, revised 14 Dec 2007.
  21. Michael Lamla & Sarah M. Rupprecht, 2006. "The Impact of ECB Communication on Financial Market Expectations," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 06-135, KOF Swiss Economic Institute, ETH Zurich.
  22. Iichiro Uesugi & Guy M. Yamashiro, 2003. "On the Relationship Between the Very Short Forward and the Spot Interest Rate," Discussion papers, Research Institute of Economy, Trade and Industry (RIETI) 03013, Research Institute of Economy, Trade and Industry (RIETI).
  23. Antje Berndt & Hanno Lustig & Sevin Yeltekin, 2010. "How Does the U.S. Government Finance Fiscal Shocks?," NBER Working Papers 16458, National Bureau of Economic Research, Inc.
  24. Kim, Don H. & Orphanides, Athanasios, 2012. "Term Structure Estimation with Survey Data on Interest Rate Forecasts," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 47(01), pages 241-272, February.
  25. Tzavalis, Elias, 2004. "The term premium and the puzzles of the expectations hypothesis of the term structure," Economic Modelling, Elsevier, Elsevier, vol. 21(1), pages 73-93, January.
  26. Juselius, Katarina & MacDonald, Ronald, 2004. "International parity relationships between the USA and Japan," Japan and the World Economy, Elsevier, Elsevier, vol. 16(1), pages 17-34, January.
  27. Avouyi-Dovi, S. & Jondeau, E., 1999. "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Working papers, Banque de France 57, Banque de France.
  28. Alessandro Missale & Francesco Giavazzi & Pierpaolo Benigno, 1997. "Managing the Public Debt in Fiscal Stabilizations: The Evidence," NBER Working Papers 6311, National Bureau of Economic Research, Inc.
  29. Hanno Lustig & Christopher Sleet & Sevin Yeltekin, 2005. "Fiscal Hedging and the Yield Curve," NBER Working Papers 11687, National Bureau of Economic Research, Inc.
  30. E Bataa & D R Osborn & D H Kim, 2006. "A Further Examination of the Expectations Hypothesis for the Term Structure," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester 72, Economics, The Univeristy of Manchester.
  31. Hanno Lustig, 2005. "Does the US government Hedge against Defense Expenditure Risk? (joint with Chris Sleet and Sevin Yeltekin)," UCLA Economics Online Papers 356, UCLA Department of Economics.
  32. Vázquez Jesús, 2004. "Switching Regimes in the Term Structure of Interest Rates during U.S. Post-War: A Case for the Lucas Proof Equilibrium?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(1), pages 1-41, March.
  33. Bagliano, Fabio C. & Favero, Carlo A., 1998. "Measuring monetary policy with VAR models: An evaluation," European Economic Review, Elsevier, Elsevier, vol. 42(6), pages 1069-1112, June.
  34. Francisco J. Ruge-Murcia, 2000. "Uncovering financial markets' beliefs about inflation targets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 15(5), pages 483-512.
  35. Angélica Arosemena, . "Lecturas Alternativas de la Estructura a Plazo: Una Breve Revisión de literatura," Borradores de Economia 223, Banco de la Republica de Colombia.
  36. Campbell, Rachel & Koedijk, Kees & Lothian, James R & Mahieu, Ronald J, 2007. "Irving Fisher, Expectational Errors, and the UIP Puzzle," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6294, C.E.P.R. Discussion Papers.
  37. Muellbauer, John & Nunziata, Luca, 2001. "Credit, the Stock Market and Oil: Forecasting US GDP," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2906, C.E.P.R. Discussion Papers.
  38. Felix Geiger, 2009. "International Interest-Rate Risk Premia in Affine Term Structure Models," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim, Department of Economics, University of Hohenheim, Germany 316/2009, Department of Economics, University of Hohenheim, Germany.
  39. Marvin Goodfriend, 1998. "Using the term structure of interest rates for monetary policy," Economic Quarterly, Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond, issue Sum, pages 13-30.
  40. John Kambhu & Patricia C. Mosser, 2001. "The effect of interest rate options hedging on term-structure dynamics," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue Dec, pages 51-70.
  41. Roland Ricart & Éric Jondeau, 1999. "Le contenu en information de la pente des taux : application au cas des titres publics français," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 140(4), pages 1-20.
  42. Pizer, William & Newell, Richard, 2000. "Discounting the Distant Future: How Much Do Uncertain Rates Increase Valuations?," Discussion Papers, Resources For the Future dp-00-45, Resources For the Future.
  43. Giuseppe Ferrero & Andrea Nobili, 2008. "Short-term interest rate futures as monetary policy forecasts," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 681, Bank of Italy, Economic Research and International Relations Area.
  44. 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, Elsevier, vol. 131(1-2), pages 339-358.
  45. Grahame Johnson, 2003. "Measuring Interest Rate Expectations in Canada," Working Papers, Bank of Canada 03-26, Bank of Canada.
  46. THORBECKE, Willem & Hanjiang ZHANG, 2008. "Monetary Policy Surprises and Interest Rates: Choosing between the Inflation-Revelation and Excess Sensitivity Hypotheses," Discussion papers, Research Institute of Economy, Trade and Industry (RIETI) 08031, Research Institute of Economy, Trade and Industry (RIETI).
  47. Aiyagari, S.R. & Gertler, M., 1998. ""Overreaction" of Asset Prices in General Equilibrium," Working Papers, C.V. Starr Center for Applied Economics, New York University 98-25, C.V. Starr Center for Applied Economics, New York University.
  48. Modena, Matteo, 2008. "The term structure and the expectations hypothesis: a threshold model," MPRA Paper 9611, University Library of Munich, Germany.
  49. Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers, Federal Reserve Bank of St. Louis 2010-013, Federal Reserve Bank of St. Louis.
  50. Uesugi, Iichiro & Yamashiro, Guy M., 2009. "Does the Expectation Hypothesis Hold at the Shortest End of the Term Structure?," Hitotsubashi Journal of Economics, Hitotsubashi University, Hitotsubashi University, vol. 50(1), pages 71-85, June.
  51. Alan S. Blinder, 2006. "Monetary Policy Today: Sixteen Questions and about Twelve Answers," Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies. 73, Princeton University, Department of Economics, Center for Economic Policy Studies..
  52. Jondeau, E. & Ricart, R., 1996. "The Expectation Theory: Tests on French, German, and American Euro-Rates," Working papers, Banque de France 35, Banque de France.
  53. Jondeau, Eric & Ricart, Roland, 1999. "The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates," Journal of International Money and Finance, Elsevier, Elsevier, vol. 18(5), pages 725-750, October.
  54. Lustig, Hanno & Sleet, Christopher & Yeltekin, Sevin, 2008. "Fiscal hedging with nominal assets," Journal of Monetary Economics, Elsevier, Elsevier, vol. 55(4), pages 710-727, May.
  55. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, Princeton University Press, edition 1, volume 1, number 8355.
  56. Giuseppe Ferrero & Andrea Nobili, 2009. "Futures Contract Rates as Monetary Policy Forecasts," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 5(2), pages 109-145, June.
  57. Fausto Hernández Trillo & Alejandro Villagómez Amezcua, 2000. "La estructura de la deuda pública en México: Lecciones y perspectivas," Research Department Publications, Inter-American Development Bank, Research Department 3104, Inter-American Development Bank, Research Department.
  58. Hansen, Bruce E. & Seo, Byeongseon, 2002. "Testing for two-regime threshold cointegration in vector error-correction models," Journal of Econometrics, Elsevier, Elsevier, vol. 110(2), pages 293-318, October.
  59. Chunsheng Zhou, 1996. "Stock market fluctuations and the term structure," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 96-3, Board of Governors of the Federal Reserve System (U.S.).
  60. Zsolt Darvas & Gábor Rappai & Zoltán Schepp, 2007. "Uncovering Yield Parity: A New Insight into the UIP Puzzle through the Stationarity of Long Maturity Forward Rates," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group 84, Money Macro and Finance Research Group.
  61. Gianluca Salsecci & Giovanna Paladino, 1999. "Spread corrigé des risques et dynamique du taux d'intérêt à long terme : une application aux marchés allemand, américain et italien," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 140(4), pages 45-62.
  62. Balduzzi, Pierluigi, et al, 1998. "Interest Rate Targeting and the Dynamics of Short-Term Rates," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 30(1), pages 26-50, February.
  63. Daniel L. Thornton, 2004. "Tests of the expectations hypothesis: resolving the Campbell-Shiller paradox," Working Papers, Federal Reserve Bank of St. Louis 2003-022, Federal Reserve Bank of St. Louis.
  64. Jondeau, E. & Sedillot, F., 1998. "La prevision des taux longs français et allemands a partir d'un modele a anticipations rationnelles," Working papers, Banque de France 55, Banque de France.
  65. Ravenna , Federico & Seppälä , Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Research Discussion Papers, Bank of Finland 25/2006, Bank of Finland.
  66. David G. Barr & John Y. Campbell, 1996. "Inflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Prices," NBER Working Papers 5821, National Bureau of Economic Research, Inc.
  67. Joseph G. Haubrich & Ann M. Dombrosky, 1996. "Predicting real growth using the yield curve," Economic Review, Federal Reserve Bank of Cleveland, Federal Reserve Bank of Cleveland, issue Q I, pages 26-35.
  68. Seo, Byeongseon, 2003. "Nonlinear mean reversion in the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 27(11-12), pages 2243-2265, September.
  69. Smant, David / D.J.C., 2010. "Direct tests of the expectations theory of the term structure: Survey expectations, the term premium and coefficient biases," MPRA Paper 19815, University Library of Munich, Germany.
  70. ARANHA, Marcel Z. & MOURA, Marcelo L., 2008. "The impact of monetary policy on the yield curve in the Brazilian economy," Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa wpe_157, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  71. McMillan, David G., 2009. "Forward interest rate premium and asymmetric adjustment: Evidence from 16 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 19(2), pages 258-273, April.
  72. Carlo Ambrogio Favero & Francesco Giavazzi, . "Why are Brazil´s Interest Rates so High?," Working Papers 224, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  73. William Roberds & Charles H. Whiteman, 1996. "Endogenous term premia and anomalies in the term structure of interest rates: explaining the predictability smile," Working Paper, Federal Reserve Bank of Atlanta 96-11, Federal Reserve Bank of Atlanta.
  74. Alan S. Blinder, 1997. "Distinguished Lecture on Economics in Government: What Central Bankers Could Learn from Academics--And Vice Versa," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 11(2), pages 3-19, Spring.
  75. Basma Bekdache & Christopher F. Baum, 1998. "Modeling fixed income excess returns," Boston College Working Papers in Economics, Boston College Department of Economics 409, Boston College Department of Economics, revised 14 Apr 2000.
  76. Christian Wolff & Ron Jongen & Willem F.C. Verschoor, 2009. "Time-Variation in Term Permia: International Survey-Based Evidence," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg 09-02, Luxembourg School of Finance, University of Luxembourg.
  77. Thorbecke, Willem & Coppock, Lee, 1997. "Why good economic news depressed stock and bond prices in 1996," Economics Letters, Elsevier, Elsevier, vol. 54(3), pages 253-257, July.
  78. Jondeau, E. & Ricart, R., 1999. "The Information Content of the French and German Government Bond Tield Curves: Why Such Differences?," Working papers, Banque de France 61, Banque de France.
  79. C. Emre Alper & Aras Akdemir & Kazim Kazimov, 2004. "Estimating the Term Structure of Government Securities in Turkey," Working Papers, Bogazici University, Department of Economics 2004/03, Bogazici University, Department of Economics.
  80. Thorbecke, Willem, 2000. "Monetary Policy, Time-Varying Risk, and the Bond Market Debacle of 1994," Journal of Macroeconomics, Elsevier, Elsevier, vol. 22(1), pages 159-174, January.
  81. Reschreiter, Andreas, 2006. "Real and Nominal UK Interest Rates, ERM Membership and Inflation Targeting," Economics Series, Institute for Advanced Studies 193, Institute for Advanced Studies.
  82. repec:fth:starer:98-25 is not listed on IDEAS
  83. Daniel Burren, 2010. "The Term Structure of Interest Rates in a New Keynesian Model with Time-Varying Macro Volatility," Annals of Economics and Finance, Society for AEF, vol. 11(2), pages 277-299, November.
  84. Gabriel Pérez Quirós & Jorge Sicilia, 2002. "Is the European Central Bank (and the United States Federal Reserve) predictable?," Banco de Espa�a Working Papers 0229, Banco de Espa�a.
  85. Byeongseon Seo, 2000. "Nonlinear Mean Reversion In The Term Structure Of Interest Rates," Computing in Economics and Finance 2000, Society for Computational Economics 121, Society for Computational Economics.
  86. Serafín Frache & Gabriel Katz, 2004. "Estimating a Risky Term Structure of Uruguayan Sovereign Bonds," Documentos de Trabajo (working papers), Department of Economics - dECON 0304, Department of Economics - dECON.
  87. Ivanova, Detelina & Lahiri, Kajal & Seitz, Franz, 2000. "Interest rate spreads as predictors of German inflation and business cycles," International Journal of Forecasting, Elsevier, Elsevier, vol. 16(1), pages 39-58.
  88. Javier J. Pérez & Rocío Prieto, 2014. "The structure of sub-natural public debt: Liquidity vs credit risk," Banco de Espa�a Working Papers 1403, Banco de Espa�a.
  89. repec:fth:starer:9825 is not listed on IDEAS
  90. Barros Luís, Jorge & Cassola, Nuno, 2001. "A two-factor model of the German term structure of interest rates," Working Paper Series, European Central Bank 0046, European Central Bank.
  91. Madeline Zavodny & Donna K. Ginther, 2005. "Does the Beige Book Move Financial Markets?," Southern Economic Journal, Southern Economic Association, vol. 72(1), pages 138–151, July.
  92. 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, New York University, Leonard N. Stern School of Business- 99-042, New York University, Leonard N. Stern School of Business-.
  93. Kevin L. Kliesen & Frank A. Schmid, 2004. "Do productivity growth, budget deficits, and monetary policy actions affect real interest rates? evidence from macroeconomic announcement data," Working Papers, Federal Reserve Bank of St. Louis 2004-019, Federal Reserve Bank of St. Louis.
  94. Josué Cortés Espada & Carlos Capistrán & Manuel Ramos-Francia & Alberto Torres, 2009. "An empirical analysis of the mexican term structure of interest rates," Economics Bulletin, AccessEcon, vol. 29(3), pages 2300-2313.
  95. Perignon, Christophe & Smith, Daniel R., 2007. "Yield-factor volatility models," Journal of Banking & Finance, Elsevier, Elsevier, vol. 31(10), pages 3125-3144, October.
  96. Alquist, Ron & Chabot, Benjamin, 2011. "Did gold-standard adherence reduce sovereign capital costs?," Journal of Monetary Economics, Elsevier, Elsevier, vol. 58(3), pages 262-272.
  97. Josué Fernando Cortés Espada & Manuel Ramos Francia, 2008. "A Macroeconomic Model of the Term Structure of Interest Rates in Mexico," Working Papers, Banco de México 2008-10, Banco de México.
  98. Halkos, George E. & Papadamou, Stephanos T., 2006. "An investigation of bond term premia in international government bond indices," Research in International Business and Finance, Elsevier, Elsevier, vol. 20(1), pages 45-61, March.
  99. Azar, Samih Antoine, 2010. "Testing the Expectations Hypothesis on Corporate Bond Yields," Review of Applied Economics, Review of Applied Economics, Review of Applied Economics, vol. 6(1-2).
  100. Schepp, Zoltán, 2003. "Befektetői horizont és a „forwardrejtély”
    [The investor horizon and the ‘forward puzzle’]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 939-963.
  101. María José Gutiérrez & Jesús Vázquez, . "The Changing Behavior of the Term Structure of Post-War U.S. Interest Rates and Changes in the Federal Reserve Chairman. Is There a Link?," Working Papers on International Economics and Finance 01-03, FEDEA.
  102. Hasan Cömert, 2012. "Decoupling between the Federal Funds Rate and Long-term Interest Rates: Decreasing Effectiveness of Monetary Policy in the U.S," Working Papers, Political Economy Research Institute, University of Massachusetts at Amherst wp295, Political Economy Research Institute, University of Massachusetts at Amherst.
  103. Coe, P.J. & Pesaran, M.H. & Vahey, S.P., 2003. "Scope for Cost Minimization in Public Debt Management: the Case of the UK," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0338, Faculty of Economics, University of Cambridge.
  104. repec:ebl:ecbull:v:3:y:2005:i:6:p:1-7 is not listed on IDEAS
  105. Philip Turner, 2011. "Fiscal Dominance and the Long-Term Interest Rate," FMG Special Papers, Financial Markets Group sp199, Financial Markets Group.
  106. Josué Fernando Cortés Espada & Alberto Torres García & Manuel Ramos Francia, 2008. "An Empirical Analysis of the Mexican Term Structure of Interest Rates," Working Papers, Banco de México 2008-07, Banco de México.
  107. Bates, David S., 2003. "Empirical option pricing: a retrospection," Journal of Econometrics, Elsevier, Elsevier, vol. 116(1-2), pages 387-404.
  108. 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.
  109. David Backus & Silverio Foresi & Abon Mozumdar & Liuren Wu, 1998. "Predictable Changes in Yields and Forward Rates," NBER Working Papers 6379, National Bureau of Economic Research, Inc.
  110. Bulkley, George & Harris, Richard D.F. & Nawosah, Vivekanand, 2011. "Revisiting the expectations hypothesis of the term structure of interest rates," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(5), pages 1202-1212, May.
  111. MacDonald, Ronald, 2000. " Expectations Formation and Risk in Three Financial Markets: Surveying What the Surveys Say," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 14(1), pages 69-100, February.
  112. Balduzzi, Pierluigi & Bertola, Giuseppe & Foresi, Silverio, 1997. "A model of target changes and the term structure of interest rates," Journal of Monetary Economics, Elsevier, Elsevier, vol. 39(2), pages 223-249, July.
  113. Weißbach, Rafael & Ponyatovskyy, Vladyslav & Zimmermann, Guido, 2006. "The Yield of Ten-Year T-Bonds: Stumbling Towards a 'Good' Forecast," Technical Reports 2006,50, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  114. Jongen, Ron & Verschoor, Willem F C & Wolff, Christian C, 2005. "Time Variation in Term Premia: International Evidence," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4959, C.E.P.R. Discussion Papers.
  115. Bulkley, George & Giordani, Paolo, 2011. "Structural breaks, parameter uncertainty, and term structure puzzles," Journal of Financial Economics, Elsevier, Elsevier, vol. 102(1), pages 222-232, October.
  116. Carlo A. Favero, . "Does Macroeconomics Help Understand the Term Structure of Interest Rates?," Working Papers 195, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  117. Frank F. Gong & Eli M. Remolona, 1996. "Two factors along the yield curve," Research Paper, Federal Reserve Bank of New York 9613, Federal Reserve Bank of New York.
  118. Bengt Holmstrom & Jean Tirole, 1998. "LAPM: A Liquidity-based Asset Pricing Model," NBER Working Papers 6673, National Bureau of Economic Research, Inc.
  119. Andrea Carriero, 2007. "A Bayesian Framework for the Expectations Hypothesis. How to Extract Additional Information from the Term Structure of Interest Rates," Working Papers, Queen Mary, University of London, School of Economics and Finance 591, Queen Mary, University of London, School of Economics and Finance.
  120. Vázquez Pérez, Jesús & Gutiérrez Huerta, María José, 2002. "Markov Switching Risk Premium and the term structure of interest rates. Empirical evidence from US post-war interest rates," DFAEII Working Papers 2002-24, University of the Basque Country - Department of Foundations of Economic Analysis II.
  121. Markus Leippold & Liuren Wu, 2002. "Design and Estimation of Quadratic Term Structure Models," Finance, EconWPA 0207014, EconWPA.
  122. Favero, Carlo A., 2006. "Taylor rules and the term structure," Journal of Monetary Economics, Elsevier, Elsevier, vol. 53(7), pages 1377-1393, October.
  123. Gebhardt, William R. & Hvidkjaer, Soeren & Swaminathan, Bhaskaran, 2005. "The cross-section of expected corporate bond returns: Betas or characteristics?," Journal of Financial Economics, Elsevier, Elsevier, vol. 75(1), pages 85-114, January.
  124. Hsu, Chiente & Kugler, Peter, 1997. "The Revival of the Expectations Hypothesis of the US Term Structure of Interest Rates," Economics Letters, Elsevier, Elsevier, vol. 55(1), pages 115-120, August.
  125. Jeffrey C. Fuhrer, 1995. "Modeling long-term nominal interest rates," Working Papers, Federal Reserve Bank of Boston 95-7, Federal Reserve Bank of Boston.
  126. Reschreiter, Andreas, 2008. "Lower borrowing costs with inflation-indexed bonds: A trading rule based assessment," Economics Letters, Elsevier, Elsevier, vol. 99(2), pages 272-274, May.
  127. Daiki Maki, 2005. "The term structure of interest rates with nonlinear adjustment: Evidence from a unit root test in the nonlinear STAR framework," Economics Bulletin, AccessEcon, vol. 3(6), pages 1-7.