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Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-Varying Parameters
16 references·5 citing·33 second hop
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-Varying Parameters (2007)Analyzing the Term Structure of Interest …Why Has U.S. Inflation Become Harder to Forecast? (2007)Why Has U.S. Inflation Become…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…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…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…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Unobserved component time series models with Arch disturbances (1992)Unobserved component time ser…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills (1988)Asset Pricing with a Factor A…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Risk and uncertainty (2016)Risk and uncertaintyFunctional Dynamic Factor Model for Intraday Price Curves (2014)Functional Dynamic Factor Mod…A Theoretical Foundation for the Nelson-Siegel Class of Yield Curve Models (2013)A Theoretical Foundation for …The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models (2010)The Affine Arbitrage-Free Cla…Forecasting the term structures of Treasury and corporate yields using dynamic Nelson-Siegel models (2010)Forecasting the term structur…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)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)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Has the Business Cycle Changed and Why? (2002)Risk Matters: The Real Effects of Volatility Shocks (2011)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data (2017)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Explaining the Rate Spread on Corporate Bonds (2001)The U.S. Treasury yield curve: 1961 to the present (2007)Basel Committee On Banking Supervision (2010)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
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  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 2007Why Has U.S. Inflation Become Harder to Forecast?1,719 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 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
  • 1988Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills

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587 cited
  • 1992Unobserved component time series models with Arch disturbances329 cited
  • Cited by

    • 2014Functional Dynamic Factor Model for Intraday Price Curves50 cited
    • 2010Forecasting the term structures of Treasury and corporate yields using dynamic Nelson-Siegel models49 cited
    • 2010The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models34 cited
    • 2013A Theoretical Foundation for the Nelson-Siegel Class of Yield Curve Models30 cited
    • 2016Risk and uncertainty0 cited