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Citations for "An Econometric Model of the Yield Curve With Macroeconomic Jump Effects"

by Piazzesi, Monika

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  1. Durham, Garland B., 2003. "Likelihood-based specification analysis of continuous-time models of the short-term interest rate," Journal of Financial Economics, Elsevier, vol. 70(3), pages 463-487, December.
  2. Viktor Kotlán, 2001. "Monetary policy and the term structure of interest rates in a small open economy - a model framework approach," Macroeconomics 0110003, EconWPA.
  3. Monika Piazzesi, 2005. "Bond Yields and the Federal Reserve," Journal of Political Economy, University of Chicago Press, vol. 113(2), pages 311-344, April.
  4. Torben B. Rasmussen, . "Affine Bond Pricing with a Mixture Distribution for Interest Rate Time-Series DynamicsCreation-Date: 20100225," CREATES Research Papers 2010-11, Department of Economics and Business Economics, Aarhus University.
  5. Andrew Ang & Monika Piazzesi, 2001. "A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables," NBER Working Papers 8363, National Bureau of Economic Research, Inc.
  6. Jon Danielsson & Jean-Pierre Zigrand, 2003. "On time-scaling of risk and the square–root–of–time rule," LSE Research Online Documents on Economics 24827, London School of Economics and Political Science, LSE Library.
  7. George Monokroussos, 2011. "Dynamic Limited Dependent Variable Modeling and U.S. Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43, pages 519-534, 03.
  8. Jan Hanousek & Evzen Kocenda, 2009. "Intraday Price Discovery in Emerging European Stock Markets," CERGE-EI Working Papers wp382, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  9. Cassola, Nuno & Morana, Claudio, 2006. "Comovements in volatility in the euro money market," Working Paper Series 0703, European Central Bank.
  10. Peng Cheng & Olivier Scaillet, 2002. "Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility," FAME Research Paper Series rp67, International Center for Financial Asset Management and Engineering.
  11. Benjamin H. Cohen & Hyun Song Shin, 2003. "Positive feedback trading under stress: Evidence from the US Treasury securities market," BIS Working Papers 122, Bank for International Settlements.
  12. Don H. Kim & Jonathan H. Wright, 2014. "Jumps in Bond Yields at Known Times," NBER Working Papers 20711, National Bureau of Economic Research, Inc.
  13. Kim, Don H. & Wright, Jonathan H., 2014. "Jumps in Bond Yields at Known Times," Finance and Economics Discussion Series 2014-100, Board of Governors of the Federal Reserve System (U.S.), revised 17 Jun 2016.
  14. Bartolini, Leonardo & Prati, Alessandro, 2006. "Cross-country differences in monetary policy execution and money market rates' volatility," European Economic Review, Elsevier, vol. 50(2), pages 349-376, February.
  15. Monika Piazzesi, 2002. "The Fed and Interest Rates - A High-Frequency Identification," American Economic Review, American Economic Association, vol. 92(2), pages 90-95, May.
  16. 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.
  17. Hanousek, Jan & Kocenda, Evzen & Kutan, Ali M., 2009. "The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data," Journal of Financial Stability, Elsevier, vol. 5(2), pages 199-219, June.
  18. Isela Elizabeth Téllez León & Francisco Venegas Martínez, 2013. "Principales determinantes en las decisiones de política monetaria de México: un análisis econométrico," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 28(1), pages 79-108.
  19. Dieckmann, Stephan & Gallmeyer, Michael, 2005. "The equilibrium allocation of diffusive and jump risks with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 29(9), pages 1547-1576, September.
  20. Marcello Pericoli, 2013. "Macroeconomic and monetary policy surprises and the term structure of interest rates," Temi di discussione (Economic working papers) 927, Bank of Italy, Economic Research and International Relations Area.
  21. Jiang, George & Yan, Shu, 2009. "Linear-quadratic term structure models - Toward the understanding of jumps in interest rates," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 473-485, March.
  22. Hibiki Ichiue, 2004. "Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model," Econometric Society 2004 Far Eastern Meetings 581, Econometric Society.
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