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A Theoretical Foundation for the Nelson-Siegel Class of Yield Curve Models
16 references·4 citing·28 second hop
A Theoretical Foundation for the Nelson-Siegel Class of Yield Curve Models (2013)A Theoretical Foundation for the Nelson-S…The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment (2011)The Effectiveness of Alternat…The affine arbitrage-free class of Nelson–Siegel term structure models (2011)The affine arbitrage-free cla…A New Perspective on Gaussian Dynamic Term Structure Models (2010)A New Perspective on Gaussian…The U.S. Treasury yield curve: 1961 to the present (2007)The U.S. Treasury yield curve…The macroeconomy and the yield curve: a dynamic latent factor approach (2005)The macroeconomy and the yiel…Forecasting 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…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…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…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…The predictive power of Nelson–Siegel factor loadings for the real economy (2021)The predictive power of Nelso…The natural rate of interest: information derived from a shadow rate model (2020)The natural rate of interest:…US and Chinese yield curve responses to RMB exchange rate policy shocks (2019)US and Chinese yield curve re…With a Little Help from My Friends: Survey-Based Derivation of Euro Area Short Rate Expectations at the Effective Lower Bound (2018)With a Little Help from My Fr…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)An Intertemporal Capital Asset Pricing Model (1973)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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)Bond Risk Premia (2005)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)Discretion versus policy rules in practice (1993)Sovereign default and debt renegotiation (2009)Forecasting Inflation (2013)Optimum consumption and portfolio rules in a continuous-time model (1971)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)Prospect Theory and Asset Prices (2001)Explaining the Rate Spread on Corporate Bonds (2001)Basel Committee On Banking Supervision (2010)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 2007The U.S. Treasury yield curve: 1961 to the present1,337 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
  • 2011The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment671 cited
  • 2010A New Perspective on Gaussian Dynamic Term Structure Models544 cited

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  • 2011The affine arbitrage-free class of Nelson–Siegel term structure models431 cited
  • Cited by

    • 2019US and Chinese yield curve responses to RMB exchange rate policy shocks13 cited
    • 2020The natural rate of interest: information derived from a shadow rate model12 cited
    • 2018With a Little Help from My Friends: Survey-Based Derivation of Euro Area Short Rate Expectations at the Effective Lower Bound12 cited
    • 2021The predictive power of Nelson–Siegel factor loadings for the real economy11 cited