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Term structure of volatilities and yield curve estimation methodology
16 references·0 citing·31 second hop
Term structure of volatilities and yield curve estimation methodology (2010)Term structure of volatilities and yield …Affine Term Structure Models (2010)Affine Term Structure ModelsTerm Structure Dynamics in Theory and Reality (2003)Term Structure Dynamics in Th…Forecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…The Daily Market for Federal Funds (1996)The Daily Market for Federal …Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Interest Rate Volatility and …ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options (1990)A One-Factor Model of Interes…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Interest Rate Term Structure Estimation with Exponential Splines: A Note (1985)Interest Rate Term Structure …Term Structure Modeling Using Exponential Splines (1982)Term Structure Modeling Using…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Measuring the Term Structure of Interest Rates (1971)Measuring the Term Structure …The Pricing of Options and Corporate Liabilities (1973)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Dynamic Conditional Correlation (2002)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)THE TAX‐ADJUSTED YIELD CURVE (1975)The Determinants of Credit Spread Changes (2001)Founding family ownership and the agency cost of debt (2003)Term Structure of Interest Rates (2008)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)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)The macroeconomy and the yield curve: a dynamic latent factor approach (2005)What does the yield curve tell us about GDP growth? (2005)Approximately normal tests for equal predictive accuracy in nested models (2006)Pricing Interest-Rate-Derivative Securities (1990)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Econometric Analysis of Cross Section and Panel Data (2001)An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)An Overview of Value at Risk (1997)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Variance Risk Premiums (2008)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 1992ARCH modeling in finance4,343 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities4,161 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options981 cited
  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
  • 1971Measuring the Term Structure of Interest Rates542 cited
  • 1996The Daily Market for Federal Funds426 cited
  • 2010Affine Term Structure Models384 cited
  • 2003Term Structure Dynamics in Theory and Reality367 cited
  • 1982Term Structure Modeling Using Exponential Splines251 cited

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1985
Interest Rate Term Structure Estimation with Exponential Splines: A Note
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