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Citations for "Parsimonious Modeling of Yield Curves"

by Nelson, Charles R & Siegel, Andrew F

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  1. Roush, Jennifer E., 2007. "The expectations theory works for monetary policy shocks," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1631-1643, September.
  2. Ubukata, M. & Fukushige, M., 2009. "Estimation and inference in the yield curve model with an instantaneous error term," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2938-2946.
  3. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Empirical Hedging Performance on Long-dDted Crude Oil Derivatives," Research Paper Series 376, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Almeida, Caio & Vicente, José, 2008. "The role of no-arbitrage on forecasting: Lessons from a parametric term structure model," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2695-2705, December.
  5. Lange, Ronald H., 2013. "The Canadian macroeconomy and the yield curve: A dynamic latent factor approach," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 261-274.
  6. Dennis Philip & Chihwa Kao & Giovanni Urga, 2007. "Testing for Instability in Factor Structure of Yield Curves," Center for Policy Research Working Papers 96, Center for Policy Research, Maxwell School, Syracuse University.
  7. 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.
  8. Alton Gilbert, 1999. "Has the quality of bank loans deteriorated?," Monetary Trends, Federal Reserve Bank of St. Louis, issue Aug.
  9. Oliveira, Luís & Curto, José Dias & Nunes, João Pedro, 2012. "The determinants of sovereign credit spread changes in the Euro-zone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(2), pages 278-304.
  10. Bassett, William F. & Lee, Seung Jung & Spiller, Thomas Popeck, 2015. "Estimating changes in supervisory standards and their economic effects," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 21-43.
  11. Alice X. D. Dong & Jennifer S. K. Chan & Gareth W. Peters, 2014. "Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression," Papers 1402.2492, arXiv.org.
  12. Mirta González & María Cecilia Pérez, 2015. "Simulation of the term structure. An application for measuring the interest rate risk," BCRA Working Paper Series 201570, Central Bank of Argentina, Economic Research Department.
  13. Diebold, Francis X. & Li, Canlin & Yue, Vivian Z., 2008. "Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach," Journal of Econometrics, Elsevier, vol. 146(2), pages 351-363, October.
  14. Aydemir, Resul & Ovenc, Gokhan, 2016. "Interest rates, the yield curve and bank profitability in an emerging market economy," Economic Systems, Elsevier, vol. 40(4), pages 670-682.
  15. Meredith Beechey & Pär Österholm, 2014. "Policy interest-rate expectations in Sweden: a forecast evaluation," Applied Economics Letters, Taylor & Francis Journals, vol. 21(14), pages 984-991, September.
  16. Abdymomunov, Azamat & Kang, Kyu Ho & Kim, Ki Jeong, 2016. "Can credit spreads help predict a yield curve?," Journal of International Money and Finance, Elsevier, vol. 64(C), pages 39-61.
  17. Andr\'es Sosa & Ernesto Mordecki, 2015. "Modelling the Uruguayan debt through gaussians models," Papers 1508.00108, arXiv.org.
  18. Morini,S., 2003. "Estimación de la curva de tipos cupón-cero con polinomios de Legendre," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 21, pages 363-375, Agosto.
  19. Rafael Barros de Rezende, 2011. "Giving Flexibility to the Nelson-Siegel Class of Term Structure Models," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(1), pages 27-49.
  20. Tabak, B.M. & Sollaci, A.B. & Gomes, G.M. & Cajueiro, D.O., 2012. "Forecasting the yield curve for the Euro region," Economics Letters, Elsevier, vol. 117(2), pages 513-516.
  21. Favero, Carlo A. & Giavazzi, Francesco & Iacone, Fabrizio & Guido Tabellini, 2000. "Extracting information from asset prices: The methodology of EMU calculators," European Economic Review, Elsevier, vol. 44(9), pages 1607-1632, October.
  22. Alejandro Revéiz Hérault & Juan Manuel Julio & Silvia Juliana Mera, "undated". "Títulos hipotecarios de los Estados Unidos: Estudios de las características del mercado e instrumentos," Lecturas en Finanzas 002961, Banco de la Republica de Colombia.
  23. Oliver Blaskowitz & Helmut Herwartz, 2009. "Adaptive forecasting of the EURIBOR swap term structure," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 575-594.
  24. Anders B. Trolle & Eduardo S. Schwartz, 2009. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4423-4461, November.
  25. Altug, Sumru & Çakmaklı, Cem, 2016. "Forecasting inflation using survey expectations and target inflation: Evidence for Brazil and Turkey," International Journal of Forecasting, Elsevier, vol. 32(1), pages 138-153.
  26. Sekkel, Rodrigo, 2011. "International evidence on bond risk premia," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 174-181, January.
  27. Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2009. "An arbitrage-free generalized Nelson--Siegel term structure model," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 33-64, November.
  28. Ludwig Hausse & Martin Rohleder & Marco Wilkens, 2016. "Systemic interest rate and market risk at US banks," Journal of Business Economics, Springer, vol. 86(8), pages 933-961, November.
  29. Leo Krippner, 2009. "A theoretical foundation for the Nelson and Siegel class of yield curve models," Reserve Bank of New Zealand Discussion Paper Series DP2009/10, Reserve Bank of New Zealand.
  30. Annika Alexius & Peter Sellin, 2012. "Exchange Rates and Long-Term Bonds," Scandinavian Journal of Economics, Wiley Blackwell, vol. 114(3), pages 974-990, 09.
  31. Jakas, Vicente, 2011. "Theory and empirics of an affine term structure model applied to European data," MPRA Paper 36029, University Library of Munich, Germany.
  32. Takeaki Kariya & Jingsui Wang & Zhu Wang & Eiichi Doi & Yoshiro Yamamura, 2012. "Empirically Effective Bond Pricing Model and Analysis on Term Structures of Implied Interest Rates in Financial Crisis," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(3), pages 259-292, September.
  33. Stefan Fiesel & Marliese Uhrig-Homburg, 2016. "Illiquidity Transmission in a Three-Country Framework: A Conditional Approach," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 17(3), pages 261-284, December.
  34. Allan M. Malz, 1998. "Interbank interest rates as term structure indicators," Research Paper 9803, Federal Reserve Bank of New York.
  35. Adams, John C. & Mansi, Sattar A., 2009. "CEO turnover and bondholder wealth," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 522-533, March.
  36. Matiur Rahman & Muhammad Mustafa, 2009. "The Slope of the U.S. Nominal Treasury Yield Curve and the Exchange Rate," New York Economic Review, New York State Economics Association (NYSEA), vol. 40(1), pages 3-12.
  37. Nath, Golaka, 2012. "Estimating term structure changes using principal component analysis in Indian sovereign bond market," MPRA Paper 39229, University Library of Munich, Germany.
  38. Kitamura, Yukinobu, 1997. "Indexed Bonds and Monetary Policy: The Real Interest Rate and the Expected Rate of Inflation," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 15(1), pages 1-25, May.
  39. Damir Filipovi\'c & Sander Willems, 2016. "Exact Smooth Term Structure Estimation," Papers 1606.03899, arXiv.org.
  40. Xie, Yan Alice & Liu, Sheen & Wu, Chunchi & Anderson, Bing, 2009. "The effects of default and call risk on bond duration," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1700-1708, September.
  41. Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2010. "Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs," NBER Working Papers 15733, National Bureau of Economic Research, Inc.
  42. Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75, Brandeis University, Department of Economics and International Businesss School.
  43. Liuren Wu & Frank X. Zhang, 2005. "A no-arbitrage analysis of economic determinants of the credit spread term structure," Finance and Economics Discussion Series 2005-59, Board of Governors of the Federal Reserve System (U.S.).
  44. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
  45. Dick Dijk & Siem Jan Koopman & Michel Wel & Jonathan H. Wright, 2014. "Forecasting interest rates with shifting endpoints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 693-712, 08.
  46. Sowmya, Subramaniam & Prasanna, Krishna & Bhaduri, Saumitra, 2016. "Linkages in the term structure of interest rates across sovereign bond markets," Emerging Markets Review, Elsevier, vol. 27(C), pages 118-139.
  47. Bhanot, Karan & Mansi, Sattar A. & Wald, John K., 2010. "Takeover risk and the correlation between stocks and bonds," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 381-393, June.
  48. Alexius, Annika, 2000. "UIP for Short Investments in Long-Term Bonds," Working Paper Series 115, Sveriges Riksbank (Central Bank of Sweden).
  49. Landschoot, Astrid Van, 2008. "Determinants of yield spread dynamics: Euro versus US dollar corporate bonds," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2597-2605, December.
  50. Anderson, Ronald C. & Mansi, Sattar A. & Reeb, David M., 2003. "Founding family ownership and the agency cost of debt," Journal of Financial Economics, Elsevier, vol. 68(2), pages 263-285, May.
  51. Fernando A. Broner & Guido Lorenzoni & Sergio L. Schmukler, 2013. "Why Do Emerging Economies Borrow Short Term?," Journal of the European Economic Association, European Economic Association, vol. 11, pages 67-100, 01.
  52. Wali Ullah & Yasumasa Matsuda, 2012. "Term Structure Modeling and Forecasting of Government Bond Yields : Does Macroeconomic Factors Imply Better Out-of-Sample Forecasts?," TERG Discussion Papers 304, Graduate School of Economics and Management, Tohoku University.
  53. Fernandez, Viviana, 2001. "A nonparametric approach to model the term structure of interest rates: The case of Chile," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 99-122.
  54. Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P., 2016. "Bond portfolio optimization using dynamic factor models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 128-158.
  55. Jari Hännikäinen, 2016. "When does the yield curve contain predictive power? Evidence from a data-rich environment," Working Papers 1603, University of Tampere, School of Management, Economics.
  56. Kanjilal, Kakali, 2013. "Factors causing movements of yield curve in India," Economic Modelling, Elsevier, vol. 31(C), pages 739-751.
  57. repec:ebl:ecbull:eb-17-00107 is not listed on IDEAS
  58. Roger Lord & Antoon Pelsser, 2007. "Level-Slope-Curvature - Fact or Artefact?," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(2), pages 105-130.
  59. Michiel De Pooter & Patrice Robitaille & Ian Walker & Michael Zdinak, 2014. "Are Long-Term Inflation Expectations Well Anchored in Brazil, Chile, and Mexico?," International Journal of Central Banking, International Journal of Central Banking, vol. 10(2), pages 337-400, June.
  60. Vicente, José & Tabak, Benjamin M., 2008. "Forecasting bond yields in the Brazilian fixed income market," International Journal of Forecasting, Elsevier, vol. 24(3), pages 490-497.
  61. Éric Jondeau & Roland Ricart, 1998. "La théorie des anticipations de la structure par terme : test à partir de titres publics français," Annals of Economics and Statistics, GENES, issue 52, pages 1-22.
  62. Coppes, Robert Christophor & Stokking, Evert Jan, 1996. "Credit risk exposure with interest and currency swaps," European Journal of Operational Research, Elsevier, vol. 91(2), pages 338-345, June.
  63. Antonio Mannolini & Carlo Mari & Roberto Renò, 2008. "Pricing caps and floors with the extended CIR model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 386-400.
  64. Uri Ron, 2000. "A Practical Guide to Swap Curve Construction," Staff Working Papers 00-17, Bank of Canada.
  65. Jennie Bai & Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2012. "On bounding credit event risk premia," Staff Reports 577, Federal Reserve Bank of New York.
  66. Chi-Sang Tam & Ip-Wing Yu, 2008. "Modelling sovereign bond yield curves of the US, Japan and Germany," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 82-91.
  67. Audzeyeva, Alena & Schenk-Hoppé, Klaus Reiner, 2010. "The role of country, regional and global market risks in the dynamics of Latin American yield spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 404-422, October.
  68. Rogelio Maldonado Castaño & Natalia Zapata Rueda & Javier Orlando Pantoja Robayo, 2012. "Estimación dinámica de una estructura de tasas de interés para Colombia: análisis empírico con filtros de Kalman," DOCUMENTOS DE TRABAJO CIEF 010631, UNIVERSIDAD EAFIT.
  69. Maxim Zagonov, 2011. "Securitization and Bank Intermediation Function," Finance zagonov-wpsz2011, Socionet.
  70. Choong Tze Chua & Dean Foster & Krishna Ramaswamy & Robert Stine, 2008. "A Dynamic Model for the Forward Curve," Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 265-310, January.
  71. Juan-Francisco Martínez & Rodrigo Cifuentes & Juan Sebastián Becerra, 2017. "Pruebas de Tensión Bancaria del Banco Central de Chile: Actualización," Working Papers Central Bank of Chile 801, Central Bank of Chile.
  72. Yu, Wei-Choun & Zivot, Eric, 2011. "Forecasting the term structures of Treasury and corporate yields using dynamic Nelson-Siegel models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 579-591, April.
  73. Berndt, Antje & Yeltekin, Şevin, 2015. "Monetary policy, bond returns and debt dynamics," Journal of Monetary Economics, Elsevier, vol. 73(C), pages 119-136.
  74. Tomas Björk & Bent Jesper Christensen, 1999. "Interest Rate Dynamics and Consistent Forward Rate Curves," Mathematical Finance, Wiley Blackwell, vol. 9(4), pages 323-348.
  75. Michael J. Dueker, 1999. "A barometer of financial market uncertainty," Monetary Trends, Federal Reserve Bank of St. Louis, issue May.
  76. Coroneo, Laura & Nyholm, Ken & Vidova-Koleva, Rositsa, 2011. "How arbitrage-free is the Nelson-Siegel model?," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 393-407, June.
  77. Haroon Mumtaz & Paolo Surico, 2009. "Time-varying yield curve dynamics and monetary policy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 895-913.
  78. Leo Krippner, 2003. "Modelling the Yield Curve with Orthonormalised Laguerre Polynomials: A Consistent Cross-Sectional and Inter-Temporal Approach," Working Papers in Economics 03/02, University of Waikato, Department of Economics.
  79. Sonia Benito Muela, 2005. "Factores comunes en la ETTI española. Un análisis de corto y largo plazo," Documentos de Trabajo del ICAE 0510, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  80. Wahyudi, Imam & Robbi, Abdu, 2009. "Exploring Determinant Factors of Bond Trading with Inventory Management Theory (Case Study of Indonesian Capital Market, January – March 2009)," MPRA Paper 59883, University Library of Munich, Germany, revised 16 Jul 2010.
  81. de Haan, Leo & Hessel, Jeroen & van den End, Jan Willem, 2014. "Are European sovereign bonds fairly priced? The role of modelling uncertainty," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 239-267.
  82. Bystrom, Hans & Kwon, Oh Kang, 2007. "A simple continuous measure of credit risk," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 508-523.
  83. J. Baixauli & Susana Alvarez, 2012. "Implied Severity Density Estimation: An Extended Semiparametric Method to Compute Credit Value at Risk," Computational Economics, Springer;Society for Computational Economics, vol. 40(2), pages 115-129, August.
  84. Florian Glaser & Sven Panz, 2016. "(Pro?)-cyclicality of collateral haircuts and systemic illiquidity," ESRB Working Paper Series 27, European Systemic Risk Board.
  85. Rocío Elizondo, 2013. "Forecasting the Term Structure of Interest Rates in Mexico Using an Affine Model," Working Papers 2013-03, Banco de México.
  86. Molenaars, Tomas K. & Reinerink, Nick H. & Hemminga, Marcus A., 2015. "Forecasting the yield curve: art or science?," MPRA Paper 61917, University Library of Munich, Germany.
  87. Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015. "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia 919, Banco de la Republica de Colombia.
  88. David Jamieson Bolder & Yuliya Romanyuk, 2008. "Combining Canadian Interest-Rate Forecasts," Staff Working Papers 08-34, Bank of Canada.
  89. 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.
  90. Matsumura, Marco & Moreira, Ajax & Vicente, José, 2011. "Forecasting the yield curve with linear factor models," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 237-243.
  91. Leo Krippner, 2012. "Modifying Gaussian term structure models when interest rates are near the zero lower bound (this is a revised version of CAMA working paper 36/2011)," CAMA Working Papers 2012-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  92. Löchel, H. & Packham, N. & Walisch, F., 2016. "Determinants of the onshore and offshore Chinese government yield curves," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 77-93.
  93. Cremers, Martijn & Driessen, Joost & Maenhout, Pascal & Weinbaum, David, 2008. "Individual stock-option prices and credit spreads," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2706-2715, December.
  94. Jan De Wit, 2006. "Exploring the CDS-Bond Basis," Working Paper Research 104, National Bank of Belgium.
  95. Nath, Golaka, 2012. "Indian corporate bonds market –an analytical prospective," MPRA Paper 38992, University Library of Munich, Germany.
  96. Jens Boysen-Hogrefe, 2012. "Die Zinslast des Bundes in der Schuldenkrise: Wie lukrativ ist der „sichere Hafen“?," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 13, pages 81-91, 05.
  97. Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2014. "No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates," CEPR Discussion Papers 9848, C.E.P.R. Discussion Papers.
  98. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?," Research Paper Series 367, Quantitative Finance Research Centre, University of Technology, Sydney.
  99. Chen, Rui & Du, Ke, 2013. "A generalised arbitrage-free Nelson–Siegel model: The impact of unspanned stochastic volatility," Finance Research Letters, Elsevier, vol. 10(1), pages 41-48.
  100. Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2010. "Default Risk in Corporate Yield Spreads," Financial Management, Financial Management Association International, vol. 39(2), pages 707-731, 06.
  101. Schmid, Bernd & Kalemanova, Anna, 2002. "Applying a three-factor defaultable term structure model to the pricing of credit default options," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 139-158.
  102. Chiu, Nan-Chieh & Fang, Shu-Cherng & Lavery, John E. & Lin, Jen-Yen & Wang, Yong, 2008. "Approximating term structure of interest rates using cubic L1 splines," European Journal of Operational Research, Elsevier, vol. 184(3), pages 990-1004, February.
  103. Leif Andersen, 2007. "Discount curve construction with tension splines," Review of Derivatives Research, Springer, vol. 10(3), pages 227-267, December.
  104. 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.
  105. Gzyl, Henryk & Mayoral, Silvia, 2016. "Determination of zero-coupon and spot rates from treasury data by maximum entropy methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 38-50.
  106. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
  107. Dionne, Georges & Gauthier, Geneviève & Hammami, Khemais & Maurice, Mathieu & Simonato, Jean-Guy, 2011. "A reduced form model of default spreads with Markov-switching macroeconomic factors," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1984-2000, August.
  108. Lin, Bing-Huei, 1999. "Fitting the term structure of interest rates for Taiwanese government bonds," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 331-352, November.
  109. 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.
  110. Alan S. Blinder & Michael Ehrmann & Jakob de Haan & David-Jan Jansen, 2016. "Necessity as the Mother of Invention: Monetary Policy after the Crisis," NBER Working Papers 22735, National Bureau of Economic Research, Inc.
  111. Avouyi-Dovi, S. & Jondeau, E., 1999. "Modelling the French Swap Spread," Working papers 65, Banque de France.
  112. Heidorn, Thomas & Mokinski, Frieder & Rühl, Christoph & Schmaltz, Christian, 2015. "The impact of fundamental and financial traders on the term structure of oil," Energy Economics, Elsevier, vol. 48(C), pages 276-287.
  113. Rodrigo Alfaro & Andrés Sagner, 2011. "Stress Tests for Banking Sector: A Technical Note," Money Affairs, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 143-162, July-Dece.
  114. Liuren Wu & Frank Xiaoling Zhang, 2008. "A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure," Management Science, INFORMS, vol. 54(6), pages 1160-1175, June.
  115. Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch, 2005. "Modeling Bond Yields in Finance and Macroeconomics," American Economic Review, American Economic Association, vol. 95(2), pages 415-420, May.
  116. van Landschoot, A., 2003. "The Term Structure of Credit Spreads on Euro Corporate Bonds," Discussion Paper 2003-046, Tilburg University, Center for Economic Research.
  117. Shamsuddin, Abul, 2014. "Are Dow Jones Islamic equity indices exposed to interest rate risk?," Economic Modelling, Elsevier, vol. 39(C), pages 273-281.
  118. Charlotte Bartels, 2012. "Redistribution and Insurance in the German Welfare State," Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, vol. 132(2), pages 265-295.
  119. Ben Hunt, 1995. "Modelling the Yields on Australian Coupon Paying Bonds," Working Paper Series 50, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  120. Constantino Hevia & Ivan Petrella & Martin Sola, 2016. "Risk Premia and Seasonality in Commodity Futures," Department of Economics Working Papers 2016_01, Universidad Torcuato Di Tella.
  121. Joao Frois Caldeira & Guilherme Valle Moura & Marcelo Savino Portugal, 2011. "Efficient Interest Ratecurve Estimation And Forecasting In Brazil," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 133, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  122. Adrien Verdelhan, 2010. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Journal of Finance, American Finance Association, vol. 65(1), pages 123-146, 02.
  123. Christensen, Jens H.E. & Lopez, Jose A. & Rudebusch, Glenn D., 2015. "A probability-based stress test of Federal Reserve assets and income," Journal of Monetary Economics, Elsevier, vol. 73(C), pages 26-43.
  124. Paul Beaumont & Yaniv Jerassy-Etzion, 2011. "Computing maximally smooth forward rate curves for coupon bonds: An iterative piecewise quartic polynomial interpolation method," Working Papers wp2011_08_03, Department of Economics, Florida State University.
  125. Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2017. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del Gobierno colombiano," REVISTA DESARROLLO Y SOCIEDAD, UNIVERSIDAD DE LOS ANDES-CEDE, vol. 78, February.
  126. Basma Bekdache & Christopher F. Baum, "undated". "The Ex Ante Predictive Accuracy of Alternative Models of the Term Structure of Interest Rates," Computing in Economics and Finance 1997 72, Society for Computational Economics.
  127. Pilar Abad & Antonio Díaz & M. Dolores Robles-Fernández, 2012. "Credit rating announcements, trading activity and yield spreads: the Spanish evidence," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 5(1), pages 38-63.
  128. Anders B. Trolle & Eduardo S. Schwartz, 2009. "A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives," Review of Financial Studies, Society for Financial Studies, vol. 22(5), pages 2007-2057, May.
  129. Glenn D. Rudebusch, 2010. "Macro-Finance Models Of Interest Rates And The Economy," Manchester School, University of Manchester, vol. 78(s1), pages 25-52, 09.
  130. Hattori, Takahiro & Miyake, Hiroki, 2016. "The Japan Municipal Bond Yield Curve: 2002 to the Present," MPRA Paper 69725, University Library of Munich, Germany.
  131. Maciel, Leandro & Gomide, Fernando & Ballini, Rosangela, 2016. "A differential evolution algorithm for yield curve estimation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 129(C), pages 10-30.
  132. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2012. "Forecasting government bond yields with large Bayesian vector autoregressions," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2026-2047.
  133. Groll, Andreas & López-Cabrera, Brenda & Meyer-Brandis, Thilo, 2016. "A consistent two-factor model for pricing temperature derivatives," Energy Economics, Elsevier, vol. 55(C), pages 112-126.
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