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Can we Exploit Predictability in Bond Markets?
16 references·0 citing·32 second hop
Can we Exploit Predictability in Bond Markets? (2011)Can we Exploit Predictability in Bond Mar…Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Risk Premiums in Dynamic Term…What does the yield curve tell us about GDP growth? (2005)What does the yield curve tel…Bond Risk Premia (2005)Bond Risk PremiaA 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…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…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…Bayesian Analysis of Stochastic Volatility Models (1994)Bayesian Analysis of Stochast…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…An Intertemporal Capital Asset Pricing Model (1973)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)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)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)A Theory of the Term Structure of Interest Rates (1985)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Prospect Theory and Asset Prices (2001)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Common risk factors in the returns on stocks and bonds (1993)Forecasting the Term Structure of Government Bond Yields (2003)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Discretion versus policy rules in practice (1993)Macro Factors in Bond Risk Premia (2009)Stochastic Differential Equations and Diffusion Processes (1983)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)
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References

  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,705 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 2005Bond Risk Premia1,546 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1994Bayesian Analysis of Stochastic Volatility Models980 cited
  • 2005What does the yield curve tell us about GDP growth?850 cited

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2013
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
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