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Jens H. E. Christensen · Study
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Author
Jens H. E. Christensen
31 works
· latest 2021
· 5 institutions
cluster: provisional
ORCID 0000-0001-7494-2736
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31
Citations
2,744
Works here
31
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Most cited in this library
The affine arbitrage-free class of Nelson–Siegel term structure models
2011 · 431 citations
The Response of Interest Rates to US and UK Quantitative Easing
2012 · 344 citations
Inflation Expectations and Risk Premiums in an Arbitrage‐Free Model of Nominal and Real Bond Yields
2010 · 258 citations
An arbitrage‐free generalized Nelson–Siegel term structure model
2009 · 162 citations
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models
2007 · 149 citations
Works
31 shown
Does quantitative easing affect market liquidity?
Journal of Banking & Finance
·
2021
·
2 authors
·
Open access
74
citations
The TIPS Liquidity Premium
European Finance Review
·
2021
·
3 authors
·
Open access
60
citations
Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices
Journal of Econometrics
·
2019
·
3 authors
·
Open access
58
citations
A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt
The Review of Economics and Statistics
·
2019
·
2 authors
·
Open access
104
citations
Negative Interest Rates and Inflation Expectations in Japan
RePEc: Research Papers in Economics
·
2019
·
2 authors
24
citations
Transmission of Quantitative Easing: The Role of Central Bank Reserves
The Economic Journal
·
2018
·
2 authors
87
citations
Does Quantitative Easing Affect Market Liquidity?
Federal Reserve Bank of San Francisco, Working Paper Series
·
2017
·
2 authors
·
Open access
43
citations
A Portfolio Model of Quantitative Easing
Federal Reserve Bank of San Francisco, Working Paper Series
·
2017
·
2 authors
·
Open access
23
citations
" A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt"
Federal Reserve Bank of San Francisco, Working Paper Series
·
2017
·
2 authors
·
Open access
29
citations
The TIPS Liquidity Premium
Federal Reserve Bank of San Francisco, Working Paper Series
·
2017
·
2 authors
·
Open access
26
citations
Transmission of Quantitative Easing: The Role of Central Bank Reserves
Federal Reserve Bank of San Francisco, Working Paper Series
·
2016
·
2 authors
·
Open access
16
citations
Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?
Advances in econometrics
·
2016
·
2 authors
·
chapter
·
Open access
83
citations
A probability-based stress test of Federal Reserve assets and income
Journal of Monetary Economics
·
2015
·
3 authors
·
Open access
69
citations
Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?
Federal Reserve Bank of San Francisco, Working Paper Series
·
2013
·
2 authors
41
citations
Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?
Journal of Business and Economic Statistics
·
2013
·
3 authors
·
Open access
104
citations
The Response of Interest Rates to US and UK Quantitative Easing
The Economic Journal
·
2012
·
2 authors
344
citations
The Response of Interest Rates to U.S. and U.K. Quantitative Easing
Federal Reserve Bank of San Francisco, Working Paper Series
·
2012
·
2 authors
·
Open access
111
citations
The affine arbitrage-free class of Nelson–Siegel term structure models
Journal of Econometrics
·
2011
·
3 authors
431
citations
Extracting Deflation Probability Forecasts from Treasury Yields
Federal Reserve Bank of San Francisco, Working Paper Series
·
2011
·
2 authors
·
Open access
23
citations
Extracting Deflation Probability Forecasts from Treasury Yields
RePEc: Research Papers in Economics
·
2011
·
3 authors
·
preprint
19
citations
A Model-Independent Maximum Range for the Liquidity Correction of TIPS Yields
SSRN Electronic Journal
·
2011
·
2 authors
·
preprint
·
Open access
25
citations
Inflation Expectations and Risk Premiums in an Arbitrage‐Free Model of Nominal and Real Bond Yields
Journal of money credit and banking
·
2010
·
3 authors
258
citations
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models
Federal Reserve Bank of San Francisco, Working Paper Series
·
2010
·
3 authors
·
Open access
34
citations
Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields
Federal Reserve Bank of San Francisco, Working Paper Series
·
2010
·
3 authors
·
Open access
25
citations
An arbitrage‐free generalized Nelson–Siegel term structure model
Econometrics Journal
·
2009
·
3 authors
162
citations
Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?
Federal Reserve Bank of San Francisco, Working Paper Series
·
2009
·
3 authors
·
Open access
43
citations
Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?
SSRN Electronic Journal
·
2009
·
3 authors
·
preprint
·
Open access
41
citations
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
National Bureau of Economic Research
·
2008
·
3 authors
·
report
·
Open access
45
citations
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
Federal Reserve Bank of San Francisco, Working Paper Series
·
2008
·
3 authors
·
Open access
57
citations
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models
SSRN Electronic Journal
·
2007
·
3 authors
·
preprint
·
Open access
149
citations
Confidence sets for continuous-time rating transition probabilities
Journal of Banking & Finance
·
2004
·
2 authors
·
Open access
136
citations