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Citations for "Reverse Engineering the Yield Curve"

by David K. Backus & Stanley E. Zin

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  1. Duan, Jin-Chuan & Jacobs, Kris, 2008. "Is long memory necessary? An empirical investigation of nonnegative interest rate processes," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 567-581, June.
  2. Joost Driessen & Bertrand Melenberg & Theo Nijman, 2000. "Testing Affine Term Structure Models in Case of Transaction Costs," Econometric Society World Congress 2000 Contributed Papers 0553, Econometric Society.
  3. Ben R. Craig & Joseph G. Haubrich, 2003. "Pricing kernels, inflation, and the term structure of interest rates," Working Paper 0308, Federal Reserve Bank of Cleveland.
  4. Lars Peter Hansen & Jose A Sheinkman, 2007. "Long-term Risk: An Operator Approach," Levine's Bibliography 122247000000001669, UCLA Department of Economics.
  5. Michael J. Fleming & Eli M Remolona, 1999. "The term structure of announcement effects," BIS Working Papers 71, Bank for International Settlements.
  6. Gregory R. Duffee, 2012. "Bond pricing and the macroeconomy," Economics Working Paper Archive 598, The Johns Hopkins University,Department of Economics.
  7. Backus, David & Chernov, Mikhail & Zin, Stanley E., 2011. "Sources of entropy in representative agent models," CEPR Discussion Papers 8488, C.E.P.R. Discussion Papers.
  8. Pierre-Olivier Weill & Chris Edmond, 2008. "Aggregate implications of micro asset market segmentation," 2008 Meeting Papers 481, Society for Economic Dynamics.
  9. David Backus & Silverio Foresi & Chris Telmer, 1996. "Affine Models of Currency Pricing," NBER Working Papers 5623, National Bureau of Economic Research, Inc.
  10. Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 2001. "Peso problem explanations for term structure anomalies," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 241-270, October.
  11. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 1999. "Money and Interest Rates with Endogeneously Segmented Markets," NBER Working Papers 7060, National Bureau of Economic Research, Inc.
  12. Fornari, F. & Violi, R., 1998. "The Probability Density Function of Interest Rates Implied in the Price of Options," Papers 339, Banca Italia - Servizio di Studi.
  13. John Campbell & Robert Shiller & Luis Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Yale School of Management Working Papers amz2587, Yale School of Management.
  14. Gregory R. Duffee, 2012. "Forecasting interest rates," Economics Working Paper Archive 599, The Johns Hopkins University,Department of Economics.
  15. Georg Kaltenbrunner & Lars Lochstoer, 2007. "Long-Run Risk through Consumption Smoothing," 2007 Meeting Papers 25, Society for Economic Dynamics.
  16. R.C. Stapleton & Marti G. Subrahmanyam, 1999. "The Term Structure of Interest Rate-Futures Prices," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-045, New York University, Leonard N. Stern School of Business-.
  17. Gong, Fangxiong & Remolona, Eli M, 1997. "Two Factors along the Yield Curve," The Manchester School of Economic & Social Studies, University of Manchester, vol. 65(0), pages 1-31, Supplemen.
  18. Sharon Kozicki & P.A. Tinsley, 1997. "Shifting endpoints in the term structure of interest rates," Research Working Paper 97-08, Federal Reserve Bank of Kansas City.
  19. Michael F. Gallmeyer & Burton Hollifield & Francisco J. Palomino & Stanley E. Zin, 2007. "Arbitrage-free bond pricing with dynamic macroeconomic models," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 305-326.
  20. Eli M. Remolona & Joseph Dziwura & Irene Pedraza, 1995. "The short end of the forward convergence curve and asymmetric cat's tail convergence," Research Paper 9523, Federal Reserve Bank of New York.
  21. Gürkaynak, Refet S. & Wright, Jonathan, 2010. "Macroeconomics and the Term Structure," CEPR Discussion Papers 8018, C.E.P.R. Discussion Papers.
  22. Gonzalez-Astudillo, Manuel, 2009. "An Equilibrium Model of the Term Structure of Interest Rates: Recursive Preferences at Play," MPRA Paper 19153, University Library of Munich, Germany.
  23. Hanno Lustig & Stijn Van Nieuwerburgh, 2004. "A Theory of Housing Collateral, Consumption Insurance and Risk Premia," NBER Working Papers 10955, National Bureau of Economic Research, Inc.
  24. 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.
  25. repec:dgr:kubcen:199984 is not listed on IDEAS
  26. Jin-Chuan Duan & Kris Jacobs, 2001. "Short and Long Memory in Equilibrium Interest Rate Dynamics," CIRANO Working Papers 2001s-22, CIRANO.
  27. Mark Fisher, 1999. "Consumption and asset prices with recursive preferences: Continuous-time approximations to discrete-time models," Working Paper 99-18, Federal Reserve Bank of Atlanta.
  28. Luca Benati, 2006. "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England.
  29. Lars Lochstoer & Harjoat S. Bhamra, 2009. "Return Predictability and Labor Market Frictions in a Real Business Cycle Model," 2009 Meeting Papers 1257, Society for Economic Dynamics.
  30. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
  31. Hanno Lustig, 2004. "Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 322, UCLA Department of Economics.
  32. Fung, Ben & Mitnick, Scott & Remolona, Eli, 1999. "Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets," Working Papers 99-6, Bank of Canada.
  33. Qiang Dai & Kenneth J. Singleton, 1997. "Specification Analysis of Affine Term Structure Models," NBER Working Papers 6128, National Bureau of Economic Research, Inc.
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