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Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?
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Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk? (2005)Validating forecasts of the joint probabi…CAViaR (2004)CAViaRForecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…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…Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …An Overview of Value at Risk (1997)An Overview of Value at RiskA YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyWhen Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Data-Snooping Biases in Tests…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)The Pricing of Options and Corporate Liabilities (1973)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Evaluating Interval Forecasts (1998)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)CoVaR (2016)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)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)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)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Machine Learning in Banking Risk Management: A Literature Review (2019)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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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
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 2004CAViaR2,210 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 1990Data-Snooping Biases in Tests of Financial Asset Pricing Models

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