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A genetic algorithm estimation of the term structure of interest rates
12 references·2 citing·36 second hop
A genetic algorithm estimation of the term structure of interest rates (2008)A genetic algorithm estimation of the ter…Zero-Coupon Yield Curves: Technical Documentation (2008)Zero-Coupon Yield Curves: Tec…Yield Curve Modelling at the Bank of Canada (2008)Yield Curve Modelling at the …A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration (2006)A Three-Factor Yield Curve Mo…The macroeconomy and the yield curve: a dynamic latent factor approach (2005)The macroeconomy and the yiel…Modeling Bond Yields in Finance and Macroeconomics (2005)Modeling Bond Yields in Finan…Forecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…New estimates of the UK real and nominal yield curves (2001)New estimates of the UK real …Estimating and Interpreting the Yield Curve (1996)Estimating and Interpreting t…Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994 (1994)Estimating and Interpreting F…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…A New Approach to Estimation of the Term Structure of Interest Rates (1984)A New Approach to Estimation …Measuring the Term Structure of Interest Rates (1971)Measuring the Term Structure …A market based approach to inflation expectations, risk premia and real interest rates (2012)A market based approach to in…Extraction of Financial Market Expectations about Inflation and Interest Rates from a Liquid Market (2009)Extraction of Financial Marke…THE TAX‐ADJUSTED YIELD CURVE (1975)The U.S. Treasury Yield Curve: 1961 to the Present (2006)Real Term Structure and Inflation Compensation in the Euro Area (2012)The Information in Long-Maturity Forward Rates (1987)The U.S. Treasury yield curve: 1961 to the present (2007)Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply (2012)The Theory of Financial Decisions. (1980)Term Structure Modeling Using Exponential Splines (1982)Immunizing Default-Free Bond Portfolios with a Duration Vector (1988)Chapter 13 The term structure of interest rates (1990)ESTIMATING THE GILT‐EDGED TERM STRUCTURE: BASIS SPLINES AND CONFIDENCE INTERVALS (1991)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Informed and Strategic Order Flow in the Bond Markets (2007)Canonical Term‐Structure Models with Observable Factors and the Dynamics of Bond Risk Premia (2008)An arbitrage‐free generalized Nelson–Siegel term structure model (2009)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)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)The Term Structure as a Predictor of Real Economic Activity (1991)Predicting U.S. Recessions: Financial Variables as Leading Indicators (1998)Real-Time Measurement of Business Conditions (2009)Basel Committee On Banking Supervision (2010)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models (2007)The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models (2007)How arbitrage-free is the Nelson–Siegel model? (2011)New techniques to extract market expectations from financial instruments (1997)Liquidity risk and specialness (2002)Pensionmetrics 2: stochastic pension plan design during the distribution phase (2003)Term Structure of Interest Rates (2008)Noise as Information for Illiquidity (2013)Explaining the Rate Spread on Corporate Bonds (2001)
this work references cited by second hop

References

  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 2005The macroeconomy and the yield curve: a dynamic latent factor approach967 cited
  • 1994Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994588 cited
  • 1971Measuring the Term Structure of Interest Rates542 cited
  • 1996Estimating and Interpreting the Yield Curve285 cited
  • 2005Modeling Bond Yields in Finance and Macroeconomics244 cited
  • 2001New estimates of the UK real and nominal yield curves181 cited
  • 2008Zero-Coupon Yield Curves: Technical Documentation149 cited
  • 1984A New Approach to Estimation of the Term Structure of Interest Rates147 cited
  • 2008Yield Curve Modelling at the Bank of Canada70 cited
  • 2006A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration49 cited

Cited by

  • 2009Extraction of Financial Market Expectations about Inflation and Interest Rates from a Liquid Market22 cited
  • 2012A market based approach to inflation expectations, risk premia and real interest rates12 cited

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