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Citations for "Modelling the Term Structure"

by Pagan, A.R. & Hall, A.D. & Martin, V.

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  1. 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.
  2. Morten Ørregaard Nielsen, 2009. "Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders," CREATES Research Papers 2009-02, Department of Economics and Business Economics, Aarhus University.
  3. Christopher S. Jones, 2003. "Nonlinear Mean Reversion in the Short-Term Interest Rate," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 793-843, July.
  4. 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.
  5. Tauchen, George E., 1995. "New Minimum Chi-Square Methods in Empirical Finance," Working Papers 95-42, Duke University, Department of Economics.
  6. Clive G. Bowsher & Roland Meeks, 2008. "The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve," Economics Papers 2008-W05, Economics Group, Nuffield College, University of Oxford.
  7. Sarno, Lucio & Daniel l Thornton & Giorgio Valente, 2003. "Federal Funds Rate Prediction," Royal Economic Society Annual Conference 2003 183, Royal Economic Society.
  8. Jose Luis Fernandez-Serrano & M. Dolores Robles-Fernandez, 2008. "Time-series model forecasts and structural breaks: evidence from Spanish pre-EMU interest rates," Applied Economics, Taylor & Francis Journals, vol. 40(13), pages 1707-1721.
  9. Petros Dellaportas & David G. T. Denison & Chris Holmes, 2007. "Flexible Threshold Models for Modelling Interest Rate Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 419-437.
  10. Teresa Corzo Santamaría & Javier Gómez Biscarri, 2005. "Nonparametric estimation of convergence of interest rates: Effects on bond pricing," Spanish Economic Review, Springer;Spanish Economic Association, vol. 7(3), pages 167-190, 09.
  11. Petko Kalev & Brett Inder, 2006. "The information content of the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 38(1), pages 33-45.
  12. Jun Yu & Peter C. B. Phillips, 2001. "A Gaussian approach for continuous time models of the short-term interest rate," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 3.
  13. Peter Lildholdt & Nikolaos Panigirtzoglou & Chris Peacock, 2007. "An affine macro-factor model of the UK yield curve," Bank of England working papers 322, Bank of England.
  14. Markku Lanne, 2000. "Near unit roots, cointegration, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 513-529.
  15. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," NBER Working Papers 10423, National Bureau of Economic Research, Inc.
  16. Peter Reinhard Hansen, 2000. "Structural Breaks in the Cointegrated Vector Autoregressive Model," Econometric Society World Congress 2000 Contributed Papers 1240, Econometric Society.
  17. Strohsal, Till & Weber, Enzo, 2010. "Mean-Variance Cointegration and the Expectations Hypothesis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 442, University of Regensburg, Department of Economics.
  18. Mardi Dungey & Vance L Martin & Adrian R Pagan, 2000. "A multivariate latent factor decomposition of international bond yield spreads," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 697-715.
  19. 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.
  20. Martin, V.L. & Wilkins, N.P., 1997. "Indirect Estimation of Arfima and Varfima Models," Department of Economics - Working Papers Series 547, The University of Melbourne.
  21. Sébastien Morin, 2004. "Ruptures structurelles sur les marchés action et obligataire américains : preuve empirique à partir de la méthode de Saikkönen," Économie et Prévision, Programme National Persée, vol. 166(5), pages 87-98.
  22. T. Di Matteo & M. Airoldi & E. Scalas, 2004. "On pricing of interest rate derivatives," Papers cond-mat/0401445,
  23. repec:adr:anecst:y:2007:i:85:p:05 is not listed on IDEAS
  24. T. Di Matteo & T. Aste & R. N. Mantegna, 2004. "An interest rates cluster analysis," Papers cond-mat/0401443,
  25. A. S. Hurn & K. A. Lindsay & V. L. Martin, 2003. "On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(1), pages 45-63, 01.
  26. Clive G. Bowsher & Roland Meeks, 2006. "The Impossibility of Stationary Yield Spreads and I(1) Yields under the Expectations Theory of the Term Structure," Economics Papers 2006-W05, Economics Group, Nuffield College, University of Oxford.
  27. Engsted, Tom, 2002. " Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 301-55, July.
  28. Di Matteo, T. & Aste, T. & Hyde, S.T. & Ramsden, S., 2005. "Interest rates hierarchical structure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 21-33.
  29. Clements, Michael P. & Galv O, Ana Beatriz C., 2003. "Testing The Expectations Theory Of The Term Structure Of Interest Rates In Threshold Models," Macroeconomic Dynamics, Cambridge University Press, vol. 7(04), pages 567-585, September.
  30. Ibrahim Chowdhury & Lucio Sarno, 2004. "Time-Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5-6), pages 759-793.
  31. Gregory R. Duffee, 2012. "Forecasting interest rates," Economics Working Paper Archive 599, The Johns Hopkins University,Department of Economics.
  32. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  33. Alfaro, Rodrigo & Becerra, Juan Sebastian & Sagner, Andres, 2010. "Estimación de la estructura de tasas utilizando el modelo Dinámico Nelson Siegel: resultados para Chile y EEUU
    [The Dynamic Nelson-Siegel model: empirical results for Chile and US]
    ," MPRA Paper 25912, University Library of Munich, Germany, revised 23 Jun 2010.
  34. Hansen, Peter Reinhard, 2003. "Structural changes in the cointegrated vector autoregressive model," Journal of Econometrics, Elsevier, vol. 114(2), pages 261-295, June.
  35. Ballocchi, Giuseppe & Dacorogna, Michel M. & Hopman, Carl M. & Muller, Ulrich A. & Olsen, Richard B., 1999. "The intraday multivariate structure of the Eurofutures markets," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 479-513, December.
  36. Carl Chiarella & Hing Hung & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series 151, Quantitative Finance Research Centre, University of Technology, Sydney.
  37. Farshid Vahid & Lin Luo, 2004. "Forecasting Australian GDP Growth Using Coefficients Constrained by A Term Structure Model," Econometric Society 2004 Australasian Meetings 232, Econometric Society.
  38. S. Lardic & V. Mignon, 2002. "Term premium and long-range dependence in volatility : A FIGARCH-M estimation on some Asian countries," THEMA Working Papers 2002-26, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  39. S. Lardic & V. Mignon, 2002. "Fractional cointegration and term structure of interest rates," THEMA Working Papers 2002-28, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  40. Marçal, Emerson Fernandes & Pereira, Pedro L. Valls, 2012. "Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break," Textos para discussão 314, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  41. Seppo Pynnonen & Warren Hogan & Jonathan Batten, 2006. "Modelling credit spreads on yen Eurobonds within an equilibrium correction framework," Applied Financial Economics, Taylor & Francis Journals, vol. 16(8), pages 583-606.
  42. Ahrens, Ralf, 1999. "Improving market-based forecasts of short-term interest rates: Time-varying stationarity and the predictive content of switching regime-expectations," CFS Working Paper Series 1999/14, Center for Financial Studies (CFS).
  43. 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.
  44. Sugita, Katsuhiro, 2006. "Time Series Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates in the Presence of Multiple Structural Breaks," Discussion Papers 2006-15, Graduate School of Economics, Hitotsubashi University.
  45. Matthew Pritsker, 1997. "Nonparametric density estimation and tests of continuous time interest rate models," Finance and Economics Discussion Series 1997-26, Board of Governors of the Federal Reserve System (U.S.).
  46. Sandrine Lardic & Valérie Mignon, 2004. "Fractional cointegration and the term structure," Empirical Economics, Springer, vol. 29(4), pages 723-736, December.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.