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Predictions of Short-Term Rates and the Expectations Hypothesis
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Predictions of Short-Term Rates and the Expectations Hypothesis (2011)Predictions of Short-Term Rates and the E…The macroeconomy and the yield curve: a dynamic latent factor approach (2005)The macroeconomy and the yiel…Bond Risk Premia (2005)Bond Risk PremiaForecasting 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…Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002)Expectation puzzles, time-var…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…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…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The information in the term structure (1984)The information in the term s…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)25 years of time series forecasting (2006)Tests of Conditional Predictive Ability (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)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)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)Common risk factors in the returns on stocks and bonds (1993)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)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)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)A consumption-based model of the term structure of interest rates☆ (2005)Macro Factors in Bond Risk Premia (2009)The Econometrics of Financial Markets (2012)Stochastic Differential Equations and Diffusion Processes (1983)Basel Committee On Banking Supervision (2010)Explaining the Rate Spread on Corporate Bonds (2001)The U.S. Treasury yield curve: 1961 to the present (2007)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1997Testing the equality of prediction mean squared errors2,103 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 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
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 2005Bond Risk Premia1,546 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 2005The macroeconomy and the yield curve: a dynamic latent factor approach967 cited
  • 2002Expectation puzzles, time-varying risk premia, and affine models of the term structure754 cited
  • 1984

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The information in the term structure
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