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The Determinants of the Treasury Security Yield Curve
16 references·1 citing·32 second hop
The Determinants of the Treasury Security Yield Curve (1981)The Determinants of the Treasury Security…INNOVATIONS IN INTEREST RATE POLICY (2016)INNOVATIONS IN INTEREST RATE …The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)The Volatility of Long-Term I…A note on maximum likelihood estimation of the rational expectations model of the term structure (1979)A note on maximum likelihood …OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966. (1975)OPTIMAL INVESTMENT AND CONSUM…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Inflation, Rational Expectations and the Term Structure of Interest Rates (1973)Inflation, Rational Expectati…The Fundamental Determinants of the Interest Rates (1970)The Fundamental Determinants …The Cyclical Behavior of the Term Structure of Interest Rates (1970)The Cyclical Behavior of the …Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions (1970)Optimal Investment and Consum…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Pitfalls in Financial Model-Building (1968)Pitfalls in Financial Model-B…Debt Management and the Term Structure of Interest Rates: An Empirical Analysis of Recent Experience (1967)Debt Management and the Term …The Term Structure of Interest Rates (1957)The Term Structure of Interes…The Structure of Interest Rates (1940)The Structure of Interest Rat…Value and Capital (1939)Value and CapitalThe effect of interest rate volatility on treasury yields (2002)The effect of interest rate v…Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)MONEY, INCOME, AND CAUSALITY (1972)Does the Stock Market Overreact? (1985)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)A Theory of the Term Structure of Interest Rates (1985)Theory of Games and Economic Behavior (1946)ON THE THEORY OF FINANCIAL INTERMEDIATION (1971)An Asymptotic Theory of Growth Under Uncertainty (1975)Modern portfolio theory, 1950 to date (2011)The Distributed Lag Between Capital Appropriations and Expenditures (1965)A Treatise on Money (1971)A multivariate model of strategic asset allocation (2002)Macroeconomics and Reality (1980)Shareholder value, stakeholder management, and social issues: what's the bottom line? (2001)Do ESG Controversies Matter for Firm Value? Evidence from International Data (2016)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)Bond Supply and Excess Bond Returns (2014)Corrigendum: a preferred-habitat model of the term structure of interest rates (Econometrica, (2021), 89, 1, (77-112), 10.3982/ECTA17440) (2023)Self-fulfilling prophecies (1981)The contingent valuation method: a review (2003)Rare Disasters, Asset Prices, and Welfare Costs (2009)Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods (1974)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)
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References

  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1939Value and Capital2,893 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1968Pitfalls in Financial Model-Building1,042 cited
  • 1979The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure811 cited
  • 2016INNOVATIONS IN INTEREST RATE POLICY442 cited
  • 1957The Term Structure of Interest Rates373 cited
  • 1970Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions347 cited
  • 1975OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966.347 cited
  • 1973Inflation, Rational Expectations and the Term Structure of Interest Rates270 cited
  • 1967Debt Management and the Term Structure of Interest Rates: An Empirical Analysis of Recent Experience248 cited
  • 1940The Structure of Interest Rates236 cited
  • 1970The Cyclical Behavior of the Term Structure of Interest Rates199 cited
  • 1979

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A note on maximum likelihood estimation of the rational expectations model of the term structure
188 cited
  • 1970The Fundamental Determinants of the Interest Rates171 cited
  • Cited by

    • 2002The effect of interest rate volatility on treasury yields15 cited