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Flexible Term Structure Estimation: Which Method is Preferred?
16 references·1 citing·38 second hop
Flexible Term Structure Estimation: Which Method is Preferred? (2006)Flexible Term Structure Estimation: Which…Fully Nonparametric Estimation of Scalar Diffusion Models (2003)Fully Nonparametric Estimatio…A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)A Nonparametric Model of Term…Testing Continuous-Time Models of the Spot Interest Rate (1996)Testing Continuous-Time Model…Nonparametric Pricing of Interest Rate Derivative Securities (1995)Nonparametric Pricing of Inte…Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates (1993)Maximum Likelihood Estimation…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…Liquidity, Maturity, and the Yields on U.S. Treasury Securities (1991)Liquidity, Maturity, and the …Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Term Structure Modeling Using Exponential Splines (1982)Term Structure Modeling Using…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…THE TAX‐ADJUSTED YIELD CURVE (1975)THE TAX‐ADJUSTED YIELD CURVEMeasuring the Term Structure of Interest Rates (1971)Measuring the Term Structure …Stripping the Discount Curve—A Robust Machine Learning Approach (2025)Stripping the Discount Curve—…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)Theory of Rational Option Pricing (1973)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Common Factors Affecting Bond Returns (1991)A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)The Term Structure of Real Rates and Expected Inflation (2007)A New Perspective on Gaussian Dynamic Term Structure Models (2010)Common risk factors in the returns on stocks and bonds (1993)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Efficient estimation of conditional variance functions in stochastic regression (1998)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)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)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Specification Analysis of Affine Term Structure Models (2000)Term Premia and Interest Rate Forecasts in Affine Models (2002)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)Modeling Term Structures of Defaultable Bonds (1999)Specification Tests in Econometrics (1978)Nonparametric risk management and implied risk aversion (2000)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)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)Theory of rational option pricing (2005)Explaining the Rate Spread on Corporate Bonds (2001)The U.S. Treasury yield curve: 1961 to the present (2007)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 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
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
  • 1993Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates552 cited
  • 1997A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk548 cited
  • 1975THE TAX‐ADJUSTED YIELD CURVE548 cited
  • 1995Nonparametric Pricing of Interest Rate Derivative Securities546 cited
  • 1971Measuring the Term Structure of Interest Rates542 cited
  • 1991Liquidity, Maturity, and the Yields on U.S. Treasury Securities503 cited
  • 1982Term Structure Modeling Using Exponential Splines323 cited

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  • 2003Fully Nonparametric Estimation of Scalar Diffusion Models322 cited
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    • 2025Stripping the Discount Curve—A Robust Machine Learning Approach22 cited