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An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates
8 references·4 citing·36 second hop
An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates (2008)An Empirical Analysis of the Canadian Ter…Forecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…Immunization Using Principal Component Analysis (1996)Immunization Using Principal …A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…A New Tool for Portfolio Managers (1996)A New Tool for Portfolio Mana…Explorations Into Factors Explaining Money Market Returns (1994)Explorations Into Factors Exp…Key Rate Durations (1992)Key Rate DurationsCommon Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices (2019)Term Structure Analysis with …Unconventional Monetary Policy in a Small Open Economy (2017)Unconventional Monetary Polic…The Canadian macroeconomy and the yield curve: A dynamic latent factor approach (2012)The Canadian macroeconomy and…The Canadian macroeconomy and the yield curve: an equilibrium‐based approach (2007)The Canadian macroeconomy and…The federal funds rate and the channels of monetary transmission (1989)The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market (2013)Linkages in the term structure of interest rates across sovereign bond markets (2016)Yield curve interactions with the macroeconomic factors during global financial crisis among Asian markets (2017)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)A Theory of the Term Structure of Interest Rates (1985)Idiosyncratic Variation of Treasury Bill Yields (1996)Modern Investment Management: An Equilibrium Approach (2003)Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach (2008)Review of the Principles of Life-office Valuations (1952)Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies (1971)Immunization derived from a polynomial duration vector in the Spanish bond market (2001)Generalized M-vector models for hedging interest rate risk (2003)Immunization using a stochastic-process independent multi-factor model: The Portuguese experience (2005)The Pricing of Options and Corporate Liabilities (1973)An equilibrium characterization of the term structure (1977)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Discretion versus policy rules in practice (1993)Sovereign default and debt renegotiation (2009)A New Perspective on Gaussian Dynamic Term Structure Models (2010)Forecasting Inflation (2013)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)The TIPS Liquidity Premium (2017)Predictability in the Shape of the Term Structure of Interest Rates (2005)Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure (2009)Yield Curve Modeling and Forecasting (2013)The Term Structure of Interest Rates as a Random Field (2000)An introduction to market risk measurement (2002)Portfolio Theory and Performance Analysis (2003)Explaining the Rate Spread on Corporate Bonds (2001)The U.S. Treasury yield curve: 1961 to the present (2007)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)
this work references cited by second hop

References

  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1994Explorations Into Factors Explaining Money Market Returns277 cited
  • 1992Key Rate Durations160 cited
  • 1996A New Tool for Portfolio Managers82 cited
  • 1996Immunization Using Principal Component Analysis74 cited

Cited by

  • 2019Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices58 cited
  • 2012The Canadian macroeconomy and the yield curve: A dynamic latent factor approach24 cited
  • 2007The Canadian macroeconomy and the yield curve: an equilibrium‐based approach22 cited
  • 2017Unconventional Monetary Policy in a Small Open Economy19 cited

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