Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Modelling the dynamics of the term structure of interest rates

10 references·8 citing·40 second hop

FromToDepth

this work references cited by second hop

References

1986Generalized autoregressive conditional heteroskedasticity22,329 cited
1990ARCH models as diffusion approximations943 cited
1979A continuous time approach to the pricing of bonds796 cited
1971Measuring the Term Structure of Interest Rates542 cited
2008Term Structure of Interest Rates524 cited
1986The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates291 cited
1972Factor Analysis as a Statistical Method. 2nd ed.289 cited
1978An arbitrage model of the term structure of interest rates181 cited
1981Measuring a Tax-Specific Term Structure of Interest Rates in the Market for British Government Securities147 cited
1991ESTIMATING THE GILT‐EDGED TERM STRUCTURE: BASIS SPLINES AND CONFIDENCE INTERVALS111 cited

Cited by

2017Investor sentiment, flight-to-quality, and corporate bond comovement55 cited
2002A comparison of yield curve estimation techniques using UK data55 cited
2005Volatility transmission between stock and bond markets53 cited
2007Level–Slope–Curvature – Fact or Artefact?39 cited
2000A Critique of Factor Analysis of Interest Rates

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

33 cited

2003Duration models and IRR management: A question of dimensions?32 cited

2002Fitting term structure of interest rates using B-splines: the case of Taiwanese Government bonds31 cited

2015A noisy principal component analysis for forward rate curves27 cited