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The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value☆
16 references·16 citing·43 second hopsampled
The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value☆ (2008)The expectation hypothesis of the term st…The Statistics of Sharpe Ratios (2002)The Statistics of Sharpe Rati…Regime Switches in Interest Rates (2002)Regime Switches in Interest R…The Economic Value of Volatility Timing (2001)The Economic Value of Volatil…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Risk-Adjusted Performance (1997)Risk-Adjusted PerformanceModeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)Using Survey Data to Test Som…The information in the term structure (1984)The information in the term s…Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates (1983)Forward Rates and Future Poli…Macroeconomics and Reality (1980)Macroeconomics and RealityFormulating and estimating dynamic linear rational expectations models (1980)Formulating and estimating dy…The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)The Volatility of Long-Term I…Forecasting European carbon returns using dimension reduction techniques: Commodity versus financial fundamentals (2021)Forecasting European carbon r…Monetary Policy Expectation Errors (2020)Monetary Policy Expectation E…Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection (2020)Comparing high-dimensional co…Exploring Mispricing in the Term Structure of CDS Spreads (2018)Exploring Mispricing in the T…The effect of the term auction facility on the London interbank offered rate (2016)The effect of the term auctio…The economic value of predicting bond risk premia (2016)The economic value of predict…The Effect of the Term Auction Facility on the London Interbank Offered Rate (2015)The Effect of the Term Auctio…A Regime-Switching Nelson-Siegel Term Structure Model and Interest Rate Forecasts (2013)A Regime-Switching Nelson-Sie…The predictive information content of external imbalances for exchange rate returns: How much is it worth? (2012)The predictive information co…Statistical and Economic Methods for Evaluating Exchange Rate Predictability (2012)Statistical and Economic Meth…Spot and forward volatility in foreign exchange (2011)Spot and forward volatility i…Forecasting Government Bond Risk Premia Using Technical Indicators (2011)Forecasting Government Bond R…Timing exchange rates using order flow: The case of the Loonie (2010)Timing exchange rates using o…How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads (2009)How the Subprime Crisis Went …A century of equity premium predictability and the consumption–wealth ratio: An international perspective (2009)A century of equity premium p…Exchange Rate Forecasting, Order Flow and Macroeconomic Information (2008)Exchange Rate Forecasting, Or…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)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)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)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time Series Analysis: Forecasting and Control (1977)The Solution of Linear Difference Models under Rational Expectations (1980)On the Limitations of Government Borrowing: A Framework for Empirical Testing (1985)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)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)Bond Risk Premia (2005)Rational-expectations econometric analysis of changes in regime (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Stock Return Predictability: Is it There? (2006)An equilibrium characterization of the term structure (1977)Stochastic Differential Equations and Diffusion Processes (1983)Basel Committee On Banking Supervision (2010)Risk, Return, and Equilibrium: Empirical Tests (1973)Modeling and Forecasting Realized Volatility (2001)The economic value of volatility timing using “realized” volatility (2003)On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)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)
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References

  • 1980Macroeconomics and Reality12,826 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 1980Formulating and estimating dynamic linear rational expectations models877 cited
  • 2002Regime Switches in Interest Rates854 cited
  • 2001The Economic Value of Volatility Timing848 cited
  • 2002The Statistics of Sharpe Ratios842 cited
  • 1979The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure811 cited
  • 1985Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations738 cited
  • 1984The information in the term structure659 cited
  • 1997Risk-Adjusted Performance581 cited
  • 1983Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates

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562 cited

Cited by

  • 2012The predictive information content of external imbalances for exchange rate returns: How much is it worth?95 cited
  • 2011Spot and forward volatility in foreign exchange84 cited
  • 2016The economic value of predicting bond risk premia79 cited
  • 2015The Effect of the Term Auction Facility on the London Interbank Offered Rate69 cited
  • 2009How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads67 cited
  • 2020Monetary Policy Expectation Errors64 cited
  • 2016The effect of the term auction facility on the London interbank offered rate51 cited
  • 2012Statistical and Economic Methods for Evaluating Exchange Rate Predictability50 cited
  • 2010Timing exchange rates using order flow: The case of the Loonie47 cited
  • 2013A Regime-Switching Nelson-Siegel Term Structure Model and Interest Rate Forecasts45 cited
  • 2009A century of equity premium predictability and the consumption–wealth ratio: An international perspective40 cited
  • 2011Forecasting Government Bond Risk Premia Using Technical Indicators38 cited
  • 2018Exploring Mispricing in the Term Structure of CDS Spreads37 cited
  • 2021Forecasting European carbon returns using dimension reduction techniques: Commodity versus financial fundamentals37 cited
  • 2008Exchange Rate Forecasting, Order Flow and Macroeconomic Information32 cited
  • 2020Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection27 cited