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The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures

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References

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1988The information in forward rates264 cited
1980A Multivariate Model of the Term Structure223 cited
1993A Test of the Cox, Ingersoll, and Ross Model of the Term Structure157 cited

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2008Identification of Maximal Affine Term Structure Models120 cited
2005The Term Structure of Announcement Effects93 cited

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2001Recent Advances in Estimating Term-Structure Models70 cited

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2004Extracting the Expected Path of Monetary Policy From Futures Rates61 cited

2002Asset Pricing with Observable Stochastic Discount Factors58 cited

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2004Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility57 cited

2009Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options56 cited