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Nonlinear Kalman Filtering in Affine Term Structure Models
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Nonlinear Kalman Filtering in Affine Term Structure Models (2012)Nonlinear Kalman Filtering in Affine Term…Bond Liquidity Premia (2011)Bond Liquidity PremiaPredictive Regressions: A Present‐Value Approach (2010)Predictive Regressions: A Pre…Decomposing swap spreads (2008)Decomposing swap spreadsStochastic skew in currency options☆ (2007)Stochastic skew in currency o…Market price of risk specifications for affine models: Theory and evidence☆ (2006)Market price of risk specific…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002)Expectation puzzles, time-var…Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility (2002)Do Bonds Span the Fixed Incom…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Estimating the Price of Default Risk (1999)Estimating the Price of Defau…Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter (1999)Estimating and Testing Expone…Specification Analysis of Affine Term Structure Models (1998)Specification Analysis of Aff…An Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997)An Econometric Model of the T…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model (1994)Exploiting the Conditional De…Time-Varying Skew in VIX Derivatives Pricing (2020)Time-Varying Skew in VIX Deri…An equilibrium characterization of the term structure (1977)Trends and random walks in macroeconmic time series (1982)A Theory of the Term Structure of Interest Rates (1985)Modeling Sovereign Yield Spreads: A Case Study of Russian Debt (2003)Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates (2005)Affine Term Structure Models (2010)The Pricing of Options and Corporate Liabilities (1973)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Dynamic Asset Pricing Theory. (1993)Counterparty Risk and the Pricing of Defaultable Securities (2001)Measuring Abnormal Bond Performance (2008)The Determinants of Credit Default Swap Premia (2009)Stochastic Differential Equations and Diffusion Processes (1983)Affine processes for dynamic mortality and actuarial valuations (2005)Macro Factors and the Term Structure of Interest Rates (2006)Common risk factors in the returns on stocks and bonds (1993)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Forecasting, Structural Time Series Models and the Kalman Filter (1990)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)On the Timing and Pricing of Dividends (2012)Robust Econometric Inference for Stock Return Predictability (2014)A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction (2024)Affine Term Structure Models and the Forward Premium Anomaly (2001)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)A consumption-based model of the term structure of interest rates☆ (2005)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)Basel Committee On Banking Supervision (2010)
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References

  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields793 cited
  • 2002Expectation puzzles, time-varying risk premia, and affine models of the term structure754 cited
  • 1999Estimating the Price of Default Risk724 cited
  • 2010Predictive Regressions: A Present‐Value Approach446 cited
  • 1994Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model394 cited
  • 1998Specification Analysis of Affine Term Structure Models375 cited
  • 2007Stochastic skew in currency options☆341 cited
  • 2006Market price of risk specifications for affine models: Theory and evidence☆326 cited
  • 2002Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility322 cited
  • 2011Bond Liquidity Premia304 cited
  • 2008Decomposing swap spreads277 cited

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  • 1999Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter267 cited
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    • 2020Time-Varying Skew in VIX Derivatives Pricing22 cited