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Constrained smoothing -splines for the term structure of interest rates
16 references·0 citing·33 second hop
Constrained smoothing -splines for the term structure of interest rates (2009)Constrained smoothing -splines for the te…Handbook of Fixed‐Income Securities (2016)Handbook of Fixed‐Income Secu…Nonparametric option pricing under shape restrictions (2003)Nonparametric option pricing …Modeling Financial Time Series with S-Plus® (2003)Modeling Financial Time Serie…Lee–Carter mortality forecasting with age-specific enhancement (2003)Lee–Carter mortality forecast…Stochastic Processes for Insurance and Finance (2001)Stochastic Processes for Insu…Stochastic Processes for Insurance and Finance (2000)Stochastic Processes for Insu…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…Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994 (1994)Estimating and Interpreting F…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…Term Structure Modeling Using Exponential Splines (1982)Term Structure Modeling Using…THE TAX‐ADJUSTED YIELD CURVE (1975)THE TAX‐ADJUSTED YIELD CURVEMeasuring the Term Structure of Interest Rates (1971)Measuring the Term Structure …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)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)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Specification Analysis of Affine Term Structure Models (2000)Term Premia and Interest Rate Forecasts in Affine Models (2002)The Theory of Investment Value, by John Burr Williams (1939)What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns (1993)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)New Evidence on the Interest Rate Effects of Budget Deficits and Debt (2009)The Effects of Corporate Social Performance on the Cost of Corporate Debt and Credit Ratings (2011)Term Structure of Interest Rates (2008)Noise as Information for Illiquidity (2013)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)On minimizing the ruin probability by investment and reinsurance (2002)On the optimal dividend problem for a spectrally negative Lévy process (2007)Explaining the Rate Spread on Corporate Bonds (2001)Forecasting the Term Structure of Government Bond Yields (2003)Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model (1994)Numerical Valuation of High Dimensional Multivariate American Securities (1995)An empirical analysis of changes in credit rating properties: Timeliness, accuracy and volatility (2008)
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References

  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 2001Stochastic Processes for Insurance and Finance839 cited
  • 1994Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994588 cited
  • 1975THE TAX‐ADJUSTED YIELD CURVE548 cited
  • 1971Measuring the Term Structure of Interest Rates542 cited
  • 1994Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994426 cited
  • 2016Handbook of Fixed‐Income Securities407 cited
  • 2003Modeling Financial Time Series with S-Plus®407 cited
  • 2003Lee–Carter mortality forecasting with age-specific enhancement397 cited
  • 2000Stochastic Processes for Insurance and Finance353 cited
  • 2003Nonparametric option pricing under shape restrictions342 cited
  • 1996Estimating and Interpreting the Yield Curve285 cited
  • 1982Term Structure Modeling Using Exponential Splines

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