SZodixStudyAcademic Library
DashboardShelvesOpen accessMy libraryInboxNotesWriteLearnAlerts
More
Ask your libraryNotificationsQuick citeReview
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
16 references·4 citing·33 second hop
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model (2008)An Arbitrage-Free Generalized Nelson-Sieg…Zero-Coupon Yield Curves: Technical Documentation (2008)Zero-Coupon Yield Curves: Tec…A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy (2008)A Macro‐Finance Model of the …The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models (2007)The Affine Arbitrage-Free Cla…The U.S. Treasury Yield Curve: 1961 to the Present (2006)The U.S. Treasury Yield Curve…Term Structure Estimation with Survey Data on Interest Rate Forecasts (2006)Term Structure Estimation wit…The macroeconomy and the yield curve: a dynamic latent factor approach (2005)The macroeconomy and the yiel…Modeling Bond Yields in Finance and Macroeconomics (2005)Modeling Bond Yields in Finan…The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach (2004)The Macroeconomy and the Yiel…A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy (2004)A Macro-Finance Model of the …Forecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…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…Interest Rate Dynamics and Consistent Forward Rate Curves (1999)Interest Rate Dynamics and Co…A Note on the Nelson-Siegel Family (1999)A Note on the Nelson-Siegel F…Specification Analysis of Affine Term Structure Models (1998)Specification Analysis of Aff…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound (2012)Modifying Gaussian Term Struc…Correcting Estimation Bias in Dynamic Term Structure Models (2012)Correcting Estimation Bias in…Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound (2011)Modifying Gaussian Term Struc…Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields (2010)Inflation Expectations and Ri…An equilibrium characterization of the term structure (1977)Asset Pricing under the Quadratic Class (2002)Realized power variation and stochastic volatility models (2003)Brownian Motion and Stochastic Calculus (2007)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Informed and Strategic Order Flow in the Bond Markets (2007)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Discretion versus policy rules in practice (1993)The Science of Monetary Policy: A New Keynesian Perspective (1999)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets (2012)Risk, uncertainty and monetary policy (2013)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Canonical Term‐Structure Models with Observable Factors and the Dynamics of Bond Risk Premia (2008)An arbitrage‐free generalized Nelson–Siegel term structure model (2009)Stochastic Differential Equations and Diffusion Processes (1983)A Theory of the Term Structure of Interest Rates (1985)Affine processes for dynamic mortality and actuarial valuations (2005)Macro Factors and the Term Structure of Interest Rates (2006)Market price of risk specifications for affine models: Theory and evidence☆ (2006)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)The Information in Long-Maturity Forward Rates (1987)The Term Structure as a Predictor of Real Economic Activity (1991)Predicting U.S. Recessions: Financial Variables as Leading Indicators (1998)Real-Time Measurement of Business Conditions (2009)Explaining the Rate Spread on Corporate Bonds (2001)The U.S. Treasury yield curve: 1961 to the present (2007)Sovereign default and debt renegotiation (2009)A New Perspective on Gaussian Dynamic Term Structure Models (2010)Forecasting Inflation (2013)Basel Committee On Banking Supervision (2010)
this work references cited by second hop

References

  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 2005The macroeconomy and the yield curve: a dynamic latent factor approach967 cited
  • 2008A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy556 cited
  • 1999Interest Rate Dynamics and Consistent Forward Rate Curves386 cited
  • 1998Specification Analysis of Affine Term Structure Models375 cited
  • 2004The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach282 cited
  • 2005Modeling Bond Yields in Finance and Macroeconomics244 cited
  • 1999A Note on the Nelson-Siegel Family214 cited
  • 2006The U.S. Treasury Yield Curve: 1961 to the Present211 cited
  • 2006Term Structure Estimation with Survey Data on Interest Rate Forecasts170 cited
  • 2004A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy167 cited
  • 2007The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models149 cited

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

  • 2008Zero-Coupon Yield Curves: Technical Documentation149 cited
  • Cited by

    • 2012Correcting Estimation Bias in Dynamic Term Structure Models52 cited
    • 2011Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound37 cited
    • 2012Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound32 cited
    • 2010Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields25 cited