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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. Torben B. Rasmussen, "undated". "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.
  2. 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.
  3. Benjamin Cohen & Hyun Song Shin, 2002. "Positive feedback trading under stress: evidence from the US Treasury securities market," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 148-180 Bank for International Settlements.
  4. 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.
  5. 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.
  6. Cassola, Nuno & Morana, Claudio, 2010. "Comovements in volatility in the euro money market," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 525-539, April.
  7. 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.
  8. 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.
  9. Don H. Kim & Jonathan H. Wright, 2014. "Jumps in Bond Yields at Known Times," NBER Working Papers 20711, National Bureau of Economic Research, Inc.
  10. Evzen Kocenda & Jan Hanousek, 2010. "Foreign News and Spillovers in Emerging European Stock Markets," William Davidson Institute Working Papers Series wp983, William Davidson Institute at the University of Michigan.
  11. Monika Piazzesi, 2005. "Bond Yields and the Federal Reserve," Journal of Political Economy, University of Chicago Press, vol. 113(2), pages 311-344, April.
  12. Jean-Pierre Zigrand & Jon Danielsson, 2003. "On time-scaling of risk and the square–root–of–time rule," FMG Discussion Papers dp439, Financial Markets Group.
  13. George Monokroussos, 2005. "Dynamic Limited Dependent Variable Modeling and US Monetary Policy," Computing in Economics and Finance 2005 460, Society for Computational Economics.
  14. 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.
  15. 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.
  16. 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.
  17. Jan Hanousek & Evzen Kocenda & Ali M. Kutan, 2008. "The Reaction of Asset Prices to Macroeconomic Announcements in New EU Markets: Evidence from Intraday Data," CERGE-EI Working Papers wp349, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  18. Leonardo Bartolini & Alessandro Prati, 2003. "Cross-country differences in monetary policy execution and money market rates' volatility," Staff Reports 175, Federal Reserve Bank of New York.
  19. 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.
  20. 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.
  21. 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.
  22. Viktor Kotlán, 2001. "Monetary policy and the term structure of interest rates in a small open economy - a model framework approach," Macroeconomics 0110003, EconWPA.
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