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A New Linear Estimator for Gaussian Dynamic Term Structure Models
16 references·3 citing·38 second hop
A New Linear Estimator for Gaussian Dynamic Term Structure Models (2014)A New Linear Estimator for Gaussian Dynam…Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Risk Premiums in Dynamic Term…Pricing the term structure with linear regressions (2013)Pricing the term structure wi…Review of Economic Studies (2010)Review of Economic StudiesA New Perspective on Gaussian Dynamic Term Structure Models (2010)A New Perspective on Gaussian…Time-Varying Risk Premiums and the Output Gap (2008)Time-Varying Risk Premiums an…Bond Risk Premia (2005)Bond Risk PremiaAn Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates (2005)An Arbitrage-Free Three-Facto…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…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…Small-sample Confidence Intervals for Impulse Response Functions (1998)Small-sample Confidence Inter…Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates (1993)Maximum Likelihood Estimation…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Interest Rate Volatility and No-Arbitrage Affine Term Structure Models (2021)Interest Rate Volatility and …Quantitative Easing and Long-Term Yields in Small Open Economies (2017)Quantitative Easing and Long-…Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility (2014)Estimation of Affine Term Str…Trends and random walks in macroeconomic time series (1988)Business conditions and expected returns on stocks and bonds (1989)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)Presidential Address: Discount Rates (2011)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Costly capital reallocation and the effects of government spending (1998)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)Uncertainty and Economic Activity: Evidence from Business Survey Data (2013)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)An equilibrium characterization of the term structure (1977)Discretion versus policy rules in practice (1993)A consumption-based model of the term structure of interest rates☆ (2005)Macro Factors in Bond Risk Premia (2009)The Econometrics of Financial Markets (2012)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Expected Stock Returns and Variance Risk Premia (2009)How Sovereign Is Sovereign Credit Risk? (2011)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)Stochastic Differential Equations and Diffusion Processes (1983)Term Premia and Interest Rate Forecasts in Affine Models (2002)Basel Committee On Banking Supervision (2010)Explaining the Rate Spread on Corporate Bonds (2001)Forecasting the Term Structure of Government Bond Yields (2003)The U.S. Treasury yield curve: 1961 to the present (2007)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Why is There so Little Money in U.S. Politics? (2003)Belief in a Just World and Redistributive Politics (2006)
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References

  • 2010Review of Economic Studies2,967 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 2005Bond Risk Premia1,546 cited
  • 1998Small-sample Confidence Intervals for Impulse Response Functions919 cited
  • 2002Expectation puzzles, time-varying risk premia, and affine models of the term structure754 cited
  • 2013Pricing the term structure with linear regressions703 cited
  • 2013Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks587 cited
  • 1993Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates552 cited
  • 2010A New Perspective on Gaussian Dynamic Term Structure Models544 cited
  • 2008Time-Varying Risk Premiums and the Output Gap501 cited

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  • 2005An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates490 cited
  • Cited by

    • 2021Interest Rate Volatility and No-Arbitrage Affine Term Structure Models27 cited
    • 2014Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility21 cited
    • 2017Quantitative Easing and Long-Term Yields in Small Open Economies11 cited