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An Affine Macro-Factor Model of the UK Yield Curve
16 references·1 citing·34 second hop
An Affine Macro-Factor Model of the UK Yield Curve (2007)An Affine Macro-Factor Model of the UK Yi…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment (2004)Monetary Policy Alternatives …Forecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Shifting endpoints in the term structure of interest rates (2001)Shifting endpoints in the ter…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…The robustness and efficiency of monetary policy rules as guidelines for interest rate setting by the European central bank (1999)The robustness and efficiency…Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates (1993)Maximum Likelihood Estimation…Discretion versus policy rules in practice (1993)Discretion versus policy rule…The Term Structure as a Predictor of Real Economic Activity (1991)The Term Structure as a Predi…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…What does the term structure tell us about future inflation? (1990)What does the term structure …The real term structure and consumption growth (1988)The real term structure and c…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Applying a macro-finance yield curve to UK quantitative Easing (2013)Applying a macro-finance yiel…An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Econometric policy evaluation: A critique (1976)The theory and practice of econometrics (1986)The Information in Long-Maturity Forward Rates (1987)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Credit Spreads and Business Cycle Fluctuations (2012)Rules, discretion and reputation in a model of monetary policy (1983)The Science of Monetary Policy: A New Keynesian Perspective (1999)Estimation and Inference of Impulse Responses by Local Projections (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Stochastic Differential Equations and Diffusion Processes (1983)Basel Committee On Banking Supervision (2010)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)The Determinants of Credit Spread Changes (2001)Sovereign default and debt renegotiation (2009)A New Perspective on Gaussian Dynamic Term Structure Models (2010)Forecasting Inflation (2013)A consumption-based model of the term structure of interest rates☆ (2005)Macro Factors in Bond Risk Premia (2009)
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References

  • 1993Discretion versus policy rules in practice9,059 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1988The real term structure and consumption growth703 cited
  • 2004Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment670 cited
  • 1993Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates552 cited
  • 1999The robustness and efficiency of monetary policy rules as guidelines for interest rate setting by the European central bank542 cited
  • 2001Shifting endpoints in the term structure of interest rates

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439 cited
  • 1990What does the term structure tell us about future inflation?428 cited
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    • 2013Applying a macro-finance yield curve to UK quantitative Easing21 cited