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Switching VARMA Term Structure Models
16 references·10 citing·35 second hopsampled
Switching VARMA Term Structure Models (2006)Switching VARMA Term Structure ModelsWhat does the yield curve tell us about GDP growth? (2005)What does the yield curve tel…Bond Risk Premia (2005)Bond Risk PremiaAffine processes and applications in finance (2003)Affine processes and applicat…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Regime Switches in Interest Rates (2002)Regime Switches in Interest R…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Testing Continuous-Time Models of the Spot Interest Rate (1996)Testing Continuous-Time Model…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…An Analysis of the Real Interest Rate Under Regime Shifts (1996)An Analysis of the Real Inter…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Interest Rate Volatility and …Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Evaluating the robustness of UK term structure decompositions using linear regression methods (2016)Evaluating the robustness of …Nominal Interest Rates and the News (2015)Nominal Interest Rates and th…Regime Switching and Bond Pricing (2013)Regime Switching and Bond Pri…JFEC Invited Paper: Gaussian Macro-Finance Term Structure Models with Lags (2013)JFEC Invited Paper: Gaussian …Asset pricing with Second-Order Esscher Transforms (2012)Asset pricing with Second-Ord…Markov Switching in Portfolio Choice and Asset Pricing Models: A Survey (2011)Markov Switching in Portfolio…Discrete time Wishart term structure models (2011)Discrete time Wishart term st…International money and stock market contingent claims (2010)International money and stock…Optimal portfolio allocation under asset and surplus VaR constraints (2008)Optimal portfolio allocation …Econometric Asset Pricing Modelling (2008)Econometric Asset Pricing Mod…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Forecasting Volatility in Financial Markets: A Review (2003)The Pricing of Options and Corporate Liabilities (1973)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)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)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)The Information in Long-Maturity Forward Rates (1987)Common risk factors in the returns on stocks and bonds (1993)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)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)Stochastic Differential Equations and Diffusion Processes (1983)Basel Committee On Banking Supervision (2010)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 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
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 2005Bond Risk Premia1,546 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
  • 2002Regime Switches in Interest Rates854 cited
  • 2005What does the yield curve tell us about GDP growth?815 cited

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1996
An Analysis of the Real Interest Rate Under Regime Shifts
779 cited

Cited by

  • 2008Optimal portfolio allocation under asset and surplus VaR constraints52 cited
  • 2008Econometric Asset Pricing Modelling51 cited
  • 2013JFEC Invited Paper: Gaussian Macro-Finance Term Structure Models with Lags39 cited
  • 2012Asset pricing with Second-Order Esscher Transforms35 cited
  • 2011Discrete time Wishart term structure models31 cited
  • 2015Nominal Interest Rates and the News29 cited
  • 2010International money and stock market contingent claims29 cited
  • 2011Markov Switching in Portfolio Choice and Asset Pricing Models: A Survey28 cited
  • 2013Regime Switching and Bond Pricing25 cited
  • 2016Evaluating the robustness of UK term structure decompositions using linear regression methods25 cited