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Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?
16 references·4 citing·42 second hop
Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? (2001)Are Interest Rate Derivatives Spanned by …A Cointegration Analysis of Treasury Bill Yields (2008)A Cointegration Analysis of T…Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility (2002)Do Bonds Span the Fixed Incom…Asset Pricing under the Quadratic Class (2002)Asset Pricing under the Quadr…Interest Rate Dynamics and Consistent Forward Rate Curves (1999)Interest Rate Dynamics and Co…The Market Model of Interest Rate Dynamics (1997)The Market Model of Interest …LIBOR and swap market models and measures (1997)LIBOR and swap market models …Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates (1997)Closed Form Solutions for Ter…Idiosyncratic Variation of Treasury Bill Yields (1996)Idiosyncratic Variation of Tr…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Explorations Into Factors Explaining Money Market Returns (1994)Explorations Into Factors Exp…A Test for the Number of Factors in an Approximate Factor Model (1993)A Test for the Number of Fact…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1983)Arbitrage, Factor Structure, …Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1982)Arbitrage, Factor Structure, …Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…The Swaption Cube (2012)The Swaption CubeStochastic Volatility (2009)Stochastic VolatilityPredictability of Interest Rates and Interest-Rate Portfolios (2009)Predictability of Interest Ra…Design and Estimation of Quadratic Term Structure Models (2002)Design and Estimation of Quad…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)The Pricing of Options and Corporate Liabilities (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Pricing American-style securities using simulation (1997)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Theory of rational option pricing (2005)Moment explosions in stochastic volatility models (2006)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)Theory of Rational Option Pricing (1973)Term Structure Dynamics in Theory and Reality (2003)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Brownian Motion and Stochastic Calculus (2007)The arbitrage theory of capital asset pricing (1976)An Empirical Investigation of the Arbitrage Pricing Theory (1980)The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)Panels with Nonstationary Multifactor Error Structures (2006)Risk, Return, and Equilibrium: Empirical Tests (1973)Economic Forces and the Stock Market (1986)Measuring the Pricing Error of the Arbitrage Pricing Theory (1996)Testing Hypotheses About the Number of Factors in Large Factor Models (2009)A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models (2011)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Arbitrage Theory in Continuous Time (1998)Alternative models for stock price dynamics (2003)Arbitrage Theory in Continuous Time (2004)Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Overconfidence, Arbitrage, and Equilibrium Asset Pricing (2001)International Stock Return Comovements (2005)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 1983Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets1,097 cited
  • 1982Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets975 cited
  • 1997LIBOR and swap market models and measures746 cited
  • 1997Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates562 cited
  • 1993A Test for the Number of Factors in an Approximate Factor Model475 cited
  • 1999Interest Rate Dynamics and Consistent Forward Rate Curves386 cited
  • 2002Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility322 cited
  • 2008A Cointegration Analysis of Treasury Bill Yields320 cited
  • 1994Explorations Into Factors Explaining Money Market Returns277 cited
  • 2002Asset Pricing under the Quadratic Class

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259 cited
  • 1996Idiosyncratic Variation of Treasury Bill Yields254 cited
  • Cited by

    • 2012The Swaption Cube42 cited
    • 2002Design and Estimation of Quadratic Term Structure Models42 cited
    • 2009Predictability of Interest Rates and Interest-Rate Portfolios34 cited
    • 2009Stochastic Volatility33 cited