Estimation of the term structure of interest rates: an international perspective
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- Tease, Warren J, 1988. "The Expectations Theory of the Term Structure of Interest Rates in Australia," The Economic Record, The Economic Society of Australia, vol. 64(185), pages 120-127, June.
- Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
- Juttner, D J & Madden, G M & Tuckwell, R H, 1975. "Time Series Analysis of the Term Structure of Australian Interest Rates," The Economic Record, The Economic Society of Australia, vol. 51(133), pages 19-30, March.
- McCulloch, J Huston, 1971.
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University of Chicago Press, vol. 44(1), pages 19-31, January.
- Tom Doan, "undated". "RATS program to estimate term structure with cubic splines," Statistical Software Components RTZ00019, Boston College Department of Economics.
- Kalman J. Cohen & Robert L. Kramer & W. Howard Waugh, 1966. "Regression Yield Curves for U.S. Government Securities," Management Science, INFORMS, vol. 13(4), pages 168-175, December.
- Shea, Gary S., 1984. "Pitfalls in Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(03), pages 253-269, September.
- Schaefer, Stephen M, 1981. "Measuring a Tax-Specific Term Structure of Interest Rates in the Market for British Government Securities," Economic Journal, Royal Economic Society, vol. 91(362), pages 415-438, June.
- Bloch, F A, 1974. "The Term Structure of Interest Rates in Australia: A Test Using the Error-learning Model," The Economic Record, The Economic Society of Australia, vol. 50(129), pages 77-93, March.
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- Echols, Michael E. & Elliott, Jan Walter, 1976. "A Quantitative Yield Curve Model for Estimating the Term Structure of Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(01), pages 87-114, March.
- Schaefer, Stephen M & Schwartz, Eduardo S, 1987. " Time-Dependent Variance and the Pricing of Bond Options," Journal of Finance, American Finance Association, vol. 42(5), pages 1113-1128, December.
- Vasicek, Oldrich A & Fong, H Gifford, 1982. " Term Structure Modeling Using Exponential Splines," Journal of Finance, American Finance Association, vol. 37(2), pages 339-348, May.
- Chambers, Donald R. & Carleton, Willard T. & Waldman, Donald W., 1984. "A New Approach to Estimation of the Term Structure of Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(03), pages 233-252, September.
- Shea, Gary S, 1985. " Interest Rate Term Structure Estimation with Exponential Splines: A Note," Journal of Finance, American Finance Association, vol. 40(1), pages 319-325, March.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
- Brown, Stephen J & Dybvig, Philip H, 1986. " The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 41(3), pages 617-630, July.
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