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Recent Advances in Estimating Term-Structure Models
16 references·5 citing·33 second hop
Recent Advances in Estimating Term-Structure Models (2001)Recent Advances in Estimating Term-Struct…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…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…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…The journal of financial economics (1993)The journal of financial econ…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…ARCH modeling in finance (1992)ARCH modeling in financeYield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…Continuous-Time Finance. (1991)Continuous-Time Finance.Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Option pricing: A simplified approach (1979)Option pricing: A simplified …An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Why common factors in international bond returns are not so common (2007)Why common factors in interna…Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models (2004)Out-of-Sample Performance of …The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads (2002)The Market Price of Credit Ri…THE ENTROPY THEORY OF BOND OPTION PRICING (2002)THE ENTROPY THEORY OF BOND OP…Nonparametric Specification Testing for Continuous-Time Models with Application to Spot Interest Rates (2002)Nonparametric Specification T…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Theory of Rational Option Pricing (1973)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Theory of rational option pricing (2005)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)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)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Institutional Investors and Equity Prices (2001)Relational Contracts and the Theory of the Firm (2002)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1993The journal of financial economics2,544 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 2000Specification Analysis of Affine Term Structure Models

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Cited by

  • 2004Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models67 cited
  • 2002THE ENTROPY THEORY OF BOND OPTION PRICING65 cited
  • 2007Why common factors in international bond returns are not so common54 cited
  • 2002Nonparametric Specification Testing for Continuous-Time Models with Application to Spot Interest Rates47 cited
  • 2002The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads35 cited