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Examining the Nelson-Siegel Class of Term Structure Models
16 references·9 citing·33 second hop
Examining the Nelson-Siegel Class of Term Structure Models (2007)Examining the Nelson-Siegel Class of Term…Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach (2008)Forecasting the yield curve i…A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy (2008)A Macro‐Finance Model of the …The macroeconomy and the yield curve: a dynamic latent factor approach (2005)The macroeconomy and the yiel…Forecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Interest Rate Dynamics and Consistent Forward Rate Curves (1999)Interest Rate Dynamics and Co…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994 (1994)Estimating and Interpreting F…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…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Term Structure Modeling Using Exponential Splines (1982)Term Structure Modeling Using…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…THE TAX‐ADJUSTED YIELD CURVE (1975)THE TAX‐ADJUSTED YIELD CURVEInvestor strategies in the green bond market: The influence of liquidity risks, economic factors and clientele effects (2022)Investor strategies in the gr…Decomposing global yield curve co-movement (2019)Decomposing global yield curv…Measuring the natural yield curve (2014)Measuring the natural yield c…Forecasting interest rates with shifting endpoints (2013)Forecasting interest rates wi…Estimating the spot rate curve using the Nelson–Siegel model (2013)Estimating the spot rate curv…Calibrating the Nelson-Siegel-Svensson Model (2010)Calibrating the Nelson-Siegel…An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model (2008)An Arbitrage-Free Generalized…An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model (2008)An Arbitrage-Free Generalized…Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-Varying Parameters (2007)Analyzing the Term Structure …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)The Pricing of Options and Corporate Liabilities (1973)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Common risk factors in the returns on stocks and bonds (1993)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)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)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Stochastic Differential Equations and Diffusion Processes (1983)Basel Committee On Banking Supervision (2010)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)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Explaining the Rate Spread on Corporate Bonds (2001)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)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 2005The macroeconomy and the yield curve: a dynamic latent factor approach967 cited
  • 2008A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy556 cited
  • 1975THE TAX‐ADJUSTED YIELD CURVE548 cited
  • 1994Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994426 cited
  • 1999Interest Rate Dynamics and Consistent Forward Rate Curves386 cited
  • 1982Term Structure Modeling Using Exponential Splines323 cited
  • 2008Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach

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Cited by

  • 2022Investor strategies in the green bond market: The influence of liquidity risks, economic factors and clientele effects61 cited
  • 2010Calibrating the Nelson-Siegel-Svensson Model60 cited
  • 2013Forecasting interest rates with shifting endpoints58 cited
  • 2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model57 cited
  • 2007Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-Varying Parameters55 cited
  • 2013Estimating the spot rate curve using the Nelson–Siegel model47 cited
  • 2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model45 cited
  • 2019Decomposing global yield curve co-movement20 cited
  • 2014Measuring the natural yield curve15 cited