SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A Regime-Switching Model of the Yield Curve at the Zero Bound
16 references·0 citing·45 second hop
A Regime-Switching Model of the Yield Curve at the Zero Bound (2015)A Regime-Switching Model of the Yield Cur…Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Measuring the Macroeconomic I…Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates (2014)Measuring the Effect of the Z…Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Risk Premiums in Dynamic Term…Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Can Time‐Varying Risk of Rare…The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment (2011)The Effectiveness of Alternat…A New Perspective on Gaussian Dynamic Term Structure Models (2010)A New Perspective on Gaussian…The U.S. Treasury yield curve: 1961 to the present (2007)The U.S. Treasury yield curve…Bond Yields and the Federal Reserve (2005)Bond Yields and the Federal R…Bond Risk Premia (2005)Bond Risk PremiaIs Default Event Risk Priced in Corporate Bonds? (2004)Is Default Event Risk Priced …Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Estimating the Price of Default Risk (1999)Estimating the Price of Defau…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Corporate bond liquidity before and after the onset of the subprime crisis (2011)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Dynamic Asset Pricing Theory. (1993)Counterparty Risk and the Pricing of Defaultable Securities (2001)Measuring Abnormal Bond Performance (2008)The Determinants of Credit Default Swap Premia (2009)The Information in Long-Maturity Forward Rates (1987)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)The Econometrics of Financial Markets (2012)Pricing the term structure with linear regressions (2013)Intermediary asset pricing: New evidence from many asset classes (2017)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Rare Disasters, Asset Prices, and Welfare Costs (2009)Tails, Fears, and Risk Premia (2011)Tail Risk and Asset Prices (2014)An Intertemporal Capital Asset Pricing Model (1973)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)An equilibrium characterization of the term structure (1977)Stochastic Differential Equations and Diffusion Processes (1983)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Basel Committee On Banking Supervision (2010)Interpreting the macroeconomic time series facts (1992)Monetary Policy Shocks: What Have We Learned and to What End? (1998)Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Macroeconomic Shocks and Their Propagation (2016)Uncertainty Shocks in a Model of Effective Demand (2017)Measuring the effects of federal reserve forward guidance and asset purchases on financial markets (2020)Explaining the Rate Spread on Corporate Bonds (2001)Forecasting the Term Structure of Government Bond Yields (2003)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Credit Spreads and Business Cycle Fluctuations (2012)
this work references cited by second hop

References

  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 2016Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound1,840 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2005Bond Risk Premia1,546 cited
  • 2007The U.S. Treasury yield curve: 1961 to the present1,337 cited
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
  • 2013Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?914 cited
  • 1999Estimating the Price of Default Risk724 cited
  • 2011The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment671 cited
  • 2014Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates595 cited
  • 2013Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks587 cited
  • 2004Is Default Event Risk Priced in Corporate Bonds?566 cited
  • 2005Bond Yields and the Federal Reserve557 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2010
A New Perspective on Gaussian Dynamic Term Structure Models
544 cited

Cited by

No citing works inside the corpus for this window.