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Citations for "Idiosyncratic variation of Treasury bill yields"

by Gregory R. Duffee

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  1. Das, Sanjiv R., 2002. "The surprise element: jumps in interest rates," Journal of Econometrics, Elsevier, vol. 106(1), pages 27-65, January.
  2. Mark Carlson & David C. Wheelock, 2016. "Near-Money Premiums, Monetary Policy, and the Integration of Money Markets : Lessons from Deregulation," Finance and Economics Discussion Series 2016-077, Board of Governors of the Federal Reserve System (U.S.).
  3. Manmohan Singh, 2013. "The Economics of Shadow Banking," RBA Annual Conference Volume,in: Alexandra Heath & Matthew Lilley & Mark Manning (ed.), Liquidity and Funding Markets Reserve Bank of Australia.
  4. Barone-Adesi, Giovanni & Bermudez, Ana & Hatgioannides, John, 2003. "Two-factor convertible bonds valuation using the method of characteristics/finite elements," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1801-1831, August.
  5. Michael J. Fleming & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York.
  6. Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
  7. Gurkaynak, Refet S. & Sack, Brian & Wright, Jonathan H., 2007. "The U.S. Treasury yield curve: 1961 to the present," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2291-2304, November.
  8. Robert R. Bliss & Nikolaos Panigirtzoglou, 2001. "Recovering risk aversion from options," Working Paper Series WP-01-15, Federal Reserve Bank of Chicago.
  9. 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.
  10. Diebold, Francis X. & Li, Canlin, 2006. "Forecasting the term structure of government bond yields," Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February.
  11. Manmohan Singh, 2013. "Collateral and Monetary Policy," IMF Working Papers 13/186, International Monetary Fund.
  12. Renò, Roberto, 2008. "Nonparametric Estimation Of The Diffusion Coefficient Of Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 24(05), pages 1174-1206, October.
  13. Gary Gorton & Ping He, 2016. "Optimal Monetary Policy in a Collateralized Economy," NBER Working Papers 22599, National Bureau of Economic Research, Inc.
  14. Hull, John & Predescu, Mirela & White, Alan, 2004. "The relationship between credit default swap spreads, bond yields, and credit rating announcements," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2789-2811, November.
  15. Joslin, Scott & Le, Anh & Singleton, Kenneth J., 2013. "Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs," Journal of Financial Economics, Elsevier, vol. 109(3), pages 604-622.
  16. Michael J. Fleming, 2002. "Are larger Treasury issues more liquid? Evidence from bill reopenings," Proceedings, Federal Reserve Bank of Cleveland, pages 707-739.
  17. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2010. "Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(s1), pages 143-178, 09.
  18. Downing, Chris & Oliner, Stephen, 2007. "The term structure of commercial paper rates," Journal of Financial Economics, Elsevier, vol. 83(1), pages 59-86, January.
  19. Michael J. Fleming, 2001. "Financial market implications of the federal debt paydown," Staff Reports 120, Federal Reserve Bank of New York.
  20. Griffiths, Mark D. & Lindley, James T. & Winters, Drew B., 2010. "Market-making costs in Treasury bills: A benchmark for the cost of liquidity," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2146-2157, September.
  21. 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, vol. 47(01), pages 241-272, April.
  22. Jordan, Bradford D. & Jorgensen, Randy D. & Kuipers, David R., 2000. "The relative pricing of U.S. Treasury STRIPS: empirical evidence," Journal of Financial Economics, Elsevier, vol. 56(1), pages 89-123, April.
  23. Roberto Reno' & Antonio Roma & Stephen Schaefer, 2004. "A Comparison of Alternative Nonparametric Estimators of the Short Rate Diffusion Coefficient," Department of Economics University of Siena 445, Department of Economics, University of Siena.
  24. Fan, Longzhen & Tian, Shu & Zhang, Chu, 2012. "Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 239-248.
  25. Song Han & Hao Zhou, 2008. "Effects of liquidity on the nondefault component of corporate yield spreads: evidence from intraday transactions data," Finance and Economics Discussion Series 2008-40, Board of Governors of the Federal Reserve System (U.S.).
  26. Mahdavi, Mahnaz, 2008. "A comparison of international short-term rates under no arbitrage condition," Global Finance Journal, Elsevier, vol. 18(3), pages 303-318.
  27. Dottori, Davide & Manna, Michele, 2016. "Strategy and tactics in public debt management," Journal of Policy Modeling, Elsevier, vol. 38(1), pages 1-25.
  28. 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.
  29. Robert R. Bliss, 1997. "Movements in the term structure of interest rates," Economic Review, Federal Reserve Bank of Atlanta, issue Q 4, pages 16-33.
  30. Robert R. Bliss & David C. Smith, 1997. "The stability of interest rate processes," FRB Atlanta Working Paper 97-13, Federal Reserve Bank of Atlanta.
  31. Greg Duffee, 2010. "Sharpe ratios in term structure models," Economics Working Paper Archive 575, The Johns Hopkins University,Department of Economics.
  32. Petr Jakubik & Diana Zigraiova, 2016. "Updating the Long Term Rate in Time: A Possible Approach," EIOPA Financial Stability Report - Thematic Articles 9, EIOPA, Risks and Financial Stability Department.
  33. Christensen, Jens H.E. & Diebold, Francis X. & Rudebusch, Glenn D., 2011. "The affine arbitrage-free class of Nelson-Siegel term structure models," Journal of Econometrics, Elsevier, vol. 164(1), pages 4-20, September.
  34. Jean-Sébastien Fontaine & René Garcia & Sermin Gungor, 2015. "Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns," Staff Working Papers 15-12, Bank of Canada.
  35. Charlotte Christiansen, 2004. "Regime switching in the yield curve," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(4), pages 315-336, 04.
  36. Dell'Aquila, Rosario & Ronchetti, Elvezio & Trojani, Fabio, 2003. "Robust GMM analysis of models for the short rate process," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 373-397, May.
  37. Roberto Reno', 2004. "Nonparametric Estimation of the Diffusion Coefficient via Fourier Analysis, with Aplication to Short Rate Modeling," Department of Economics University of Siena 440, Department of Economics, University of Siena.
  38. Kucuk, Ugur N., 2010. "Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market," MPRA Paper 27428, University Library of Munich, Germany.
  39. Christiansen, Charlotte, 2008. "Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 925-948, December.
  40. Bams, Dennis & Schotman, Peter C., 2003. "Direct estimation of the risk neutral factor dynamics of Gaussian term structure models," Journal of Econometrics, Elsevier, vol. 117(1), pages 179-206, November.
  41. Longstaff, Francis A., 2000. "The term structure of very short-term rates: New evidence for the expectations hypothesis," Journal of Financial Economics, Elsevier, vol. 58(3), pages 397-415, December.
  42. Song Han & Hao Zhou, 2016. "Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1650012-01 .
  43. Gann, Philipp & Laut, Amelie, 2008. "Einflussfaktoren auf den Credit Spread von Unternehmensanleihen," Discussion Papers in Business Administration 4231, University of Munich, Munich School of Management.
  44. Choi, Hwan-sik & Jeong, Minsoo & Park, Joon Y., 2014. "An asymptotic analysis of likelihood-based diffusion model selection using high frequency data," Journal of Econometrics, Elsevier, vol. 178(P3), pages 539-557.
  45. Perignon, Christophe & Smith, Daniel R., 2007. "Yield-factor volatility models," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3125-3144, October.
  46. Diana Zigraiova & Petr Jakubik, 2017. "Updating the Ultimate Forward Rate over Time: A Possible Approach," Working Papers 2017/03, Czech National Bank, Research Department.
  47. Torben G. Andersen & Luca Benzoni, 2010. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 65(2), pages 603-653, 04.
  48. repec:eee:finmar:v:33:y:2017:i:c:p:42-74 is not listed on IDEAS
  49. Dong Lou & Hongjun Yan & Jinfan Zhang, 2013. "Anticipated and Repeated Shocks in Liquid Markets," Review of Financial Studies, Society for Financial Studies, vol. 26(8), pages 1891-1912.
  50. Manmohan Singh, 2012. "Puts in the Shadow," IMF Working Papers 12/229, International Monetary Fund.
  51. Thomas B. King, 2003. "Discipline and liquidity in the market for federal funds," Supervisory Policy Analysis Working Papers 2003-02, Federal Reserve Bank of St. Louis.
  52. Marco Lippi & Daniel L. Thornton, 2004. "A Dynamic Factor Analysis of the Response of U.S. Interest Rates to News," LEM Papers Series 2004/05, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  53. Andreas Reschreiter, 2011. "Real and nominal UK interest rates, ERM membership, and inflation targeting," Empirical Economics, Springer, vol. 40(3), pages 559-579, May.
  54. Hanson, Samuel G., 2014. "Mortgage convexity," Journal of Financial Economics, Elsevier, vol. 113(2), pages 270-299.
  55. Daniel R. Smith & Christophe Parignon, 2004. "Modeling Yield-Factor Volatility," Econometric Society 2004 Australasian Meetings 307, Econometric Society.
  56. Reschreiter, Andreas, 2011. "The effects of the monetary policy regime shift to inflation targeting on the real interest rate in the United Kingdom," Economic Modelling, Elsevier, vol. 28(1), pages 754-759.
  57. Kanjilal, Kakali, 2013. "Factors causing movements of yield curve in India," Economic Modelling, Elsevier, vol. 31(C), pages 739-751.
  58. Kenneth D. Garbade & Matthew Rutherford, 2007. "Buybacks in Treasury cash and debt management," Staff Reports 304, Federal Reserve Bank of New York.
  59. Nikolas Rokkanen, 2009. "Lemmings in the bond market? An empirical analysis of the term structure of credit spreads," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(1), pages 31-57, March.
  60. Reschreiter, Andreas, 2011. "The effects of the monetary policy regime shift to inflation targeting on the real interest rate in the United Kingdom," Economic Modelling, Elsevier, vol. 28(1-2), pages 754-759, January.
  61. Ait-Sahalia, Yacine, 1996. "Testing Continuous-Time Models of the Spot Interest Rate," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 385-426.
  62. Jordan, Bradford D. & Kuipers, David R., 1997. "Negative option values are possible: The impact of Treasury bond futures on the cash U.S. Treasury market," Journal of Financial Economics, Elsevier, vol. 46(1), pages 67-102, October.
  63. Bali, Turan G. & Wu, Liuren, 2006. "A comprehensive analysis of the short-term interest-rate dynamics," Journal of Banking & Finance, Elsevier, vol. 30(4), pages 1269-1290, April.
  64. Bliss, Robert R. & Panigirtzoglou, Nikolaos, 2002. "Testing the stability of implied probability density functions," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 381-422, March.
  65. Golec, Pascal & Perotti, Enrico, 2017. "Safe assets: a review," Working Paper Series 2035, European Central Bank.
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