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Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models
16 references·5 citing·44 second hop
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A Eurib…Estimating Shadow-Rate Term Structure Models with Near-Zero Yields (2014)Estimating Shadow-Rate Term S…Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Risk Premiums in Dynamic Term…Pricing the term structure with linear regressions (2013)Pricing the term structure wi…Identification and estimation of Gaussian affine term structure models (2012)Identification and estimation…The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment (2011)The Effectiveness of Alternat…Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields (2010)Term Structure Models and the…A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy (2008)A Macro‐Finance Model of the …A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Quadratic Term Structure Models: Theory and Evidence (2002)Quadratic Term Structure Mode…Asset Pricing under the Quadratic Class (2002)Asset Pricing under the Quadr…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Interest Rates as Options (1995)Interest Rates as OptionsMonetary Policy in the Open Economy With Digital Currencies (2025)Monetary Policy in the Open E…Gender quotas, board diversity and spillover effects. 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References

  • 2016Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound1,840 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 2013Pricing the term structure with linear regressions703 cited
  • 2011The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment671 cited
  • 2013Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks587 cited
  • 2008A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy556 cited
  • 2002Quadratic Term Structure Models: Theory and Evidence469 cited
  • 1995Interest Rates as Options428 cited
  • 2010Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields281 cited
  • 2002Asset Pricing under the Quadratic Class259 cited
  • 2017Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds214 cited
  • 2012Identification and estimation of Gaussian affine term structure models181 cited
  • 2016Monetary Policy Expectations at the Zero Lower Bound176 cited
  • 2014What Is a Prime Bank? A Euribor–OIS Spread Perspective

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175 cited
  • 2014Estimating Shadow-Rate Term Structure Models with Near-Zero Yields171 cited
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    • 2024Gender quotas, board diversity and spillover effects. Evidence from Italian banks40 cited
    • 2022Exchange Rate Pass-through in Small, Open, Commodity-exporting Economies: Lessons from Canada31 cited
    • 2022Public Guarantees and Credit Additionality During the Covid-19 Pandemic30 cited
    • 2025Monetary Policy in the Open Economy With Digital Currencies19 cited
    • 2020Bargaining Power and the Phillips Curve: A Micro-Macro Analysis17 cited