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International Yield Curves and Principal Components Selection Techniques: An Empirical Assessment
16 references·1 citing·35 second hop
International Yield Curves and Principal Components Selection Techniques: An Empirical Assessment (2014)International Yield Curves and Principal …Pricing the term structure with linear regressions (2013)Pricing the term structure wi…Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset (2011)Term Premia and Inflation Unc…Information in (and not in) the Term Structure (2011)Information in (and not in) t…Bond Liquidity Premia (2011)Bond Liquidity PremiaDecomposing the Yield Curve (2009)Decomposing the Yield CurveThe U.S. Treasury yield curve: 1961 to the present (2007)The U.S. Treasury yield curve…Market price of risk specifications for affine models: Theory and evidence☆ (2006)Market price of risk specific…Bond Risk Premia (2005)Bond Risk PremiaTerm 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…Affine Term Structure Models and the Forward Premium Anomaly (2001)Affine Term Structure Models …Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Estimating and Interpreting Forward Interest Rates (1994)Estimating and Interpreting F…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Determinants of OECD Countries’ Sovereign Yields: Safe Havens, Purgatory, and the Damned (2014)Determinants of OECD Countrie…An Intertemporal Capital Asset Pricing Model (1973)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Trends and random walks in macroeconomic time series (1988)Business conditions and expected returns on stocks and bonds (1989)Investor Psychology and Asset Pricing (2001)Measuring the Term Structure of Interest Rates (1971)THE TAX‐ADJUSTED YIELD CURVE (1975)The Determinants of Credit Spread Changes (2001)Forecasting the Term Structure of Government Bond Yields (2003)Founding family ownership and the agency cost of debt (2003)Term Structure of Interest Rates (2008)A Theory of the Term Structure of Interest Rates (1985)Dynamic Asset Pricing Theory. (1993)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Affine processes and applications in finance (2003)A consumption-based model of the term structure of interest rates☆ (2005)Common Risk Factors in Currency Markets (2011)Credit Spreads and Business Cycle Fluctuations (2012)The Econometrics of Financial Markets (2012)Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)An equilibrium characterization of the term structure (1977)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)Risk, Return, and Equilibrium: Empirical Tests (1973)A New Perspective on Gaussian Dynamic Term Structure Models (2010)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2018)The New Tools of Monetary Policy (2020)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Expected Stock Returns and Variance Risk Premia (2009)Presidential Address: Discount Rates (2011)Stochastic Differential Equations and Diffusion Processes (1983)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Prospect Theory and Asset Prices (2001)
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References

  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 2005Bond Risk Premia1,546 cited
  • 2007The U.S. Treasury yield curve: 1961 to the present1,337 cited
  • 2002Expectation puzzles, time-varying risk premia, and affine models of the term structure754 cited
  • 2013Pricing the term structure with linear regressions703 cited
  • 2001Affine Term Structure Models and the Forward Premium Anomaly594 cited
  • 2011Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset504 cited
  • 2011Information in (and not in) the Term Structure404 cited
  • 1994Estimating and Interpreting Forward Interest Rates355 cited
  • 2006Market price of risk specifications for affine models: Theory and evidence☆326 cited
  • 2009Decomposing the Yield Curve322 cited
  • 2011Bond Liquidity Premia

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  • 2014Determinants of OECD Countries’ Sovereign Yields: Safe Havens, Purgatory, and the Damned16 cited