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Forecasting bond yields in the Brazilian fixed income market
16 references·3 citing·29 second hop
Forecasting bond yields in the Brazilian fixed income market (2008)Forecasting bond yields in the Brazilian …The Dynamics of Economic Functions: Modeling and Forecasting the Yield Curve (2008)The Dynamics of Economic Func…Macro Factors and the Term Structure of Interest Rates (2006)Macro Factors and the Term St…Macro Factors and the Affine Term Structure of Interest Rates (2006)Macro Factors and the Affine …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…Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002)Expectation puzzles, time-var…Directional accuracy tests of long-term interest rate forecasts (2002)Directional accuracy tests of…A general characterization of one factor affine term structure models (2001)A general characterization of…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…A 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 AccuracyMaximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates (1993)Maximum Likelihood Estimation…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…The Sovereign Yield Curve and Credit Ratings in GIIPS (2017)The Sovereign Yield Curve and…Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound (2012)Modifying Gaussian Term Struc…Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound (2011)Modifying Gaussian Term Struc…The Pricing of Options and Corporate Liabilities (1973)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)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)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)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)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)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

  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 1991Common Factors Affecting Bond Returns1,796 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
  • 2002Expectation puzzles, time-varying risk premia, and affine models of the term structure754 cited
  • 1993Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates552 cited
  • 2006Macro Factors and the Term Structure of Interest Rates327 cited
  • 2001A general characterization of one factor affine term structure models129 cited
  • 2006Macro Factors and the Affine Term Structure of Interest Rates117 cited
  • 2002Directional accuracy tests of long-term interest rate forecasts101 cited

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  • 2008The Dynamics of Economic Functions: Modeling and Forecasting the Yield Curve69 cited
  • Cited by

    • 2011Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound37 cited
    • 2012Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound32 cited
    • 2017The Sovereign Yield Curve and Credit Ratings in GIIPS31 cited