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No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
16 references·0 citing·41 second hop
No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates (2020)No-Arbitrage Priors, Drifting Volatilitie…Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Measuring the Macroeconomic I…Large Bayesian vector auto regressions (2009)Large Bayesian vector auto re…The U.S. Treasury yield curve: 1961 to the present (2007)The U.S. Treasury yield curve…Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Drifts and volatilities: mone…Forecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…A 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…Comparing Predictive Accuracy (2002)Comparing Predictive AccuracySpecification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Forecasting With Bayesian Vector Autoregressions—Five Years of Experience (1986)Forecasting With Bayesian Vec…Forecasting and conditional projection using realistic prior distributions (1984)Forecasting and conditional p…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)Forecasting Economic Time Series (2000)25 years of time series forecasting (2006)Tests of Conditional Predictive Ability (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)The Pricing of Options and Corporate Liabilities (1973)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)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Measuring the Term Structure of Interest Rates (1971)THE TAX‐ADJUSTED YIELD CURVE (1975)The Determinants of Credit Spread Changes (2001)Founding family ownership and the agency cost of debt (2003)Term Structure of Interest Rates (2008)Discretion versus policy rules in practice (1993)The macroeconomy and the yield curve: a dynamic latent factor approach (2005)What does the yield curve tell us about GDP growth? (2005)Approximately normal tests for equal predictive accuracy in nested models (2006)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)Macro Factors in Bond Risk Premia (2009)Econometric policy evaluation: A critique (1976)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Estimation and Inference of Impulse Responses by Local Projections (2005)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Measuring Uncertainty (2015)Stochastic Differential Equations and Diffusion Processes (1983)Monetary Policy Shocks: What Have We Learned and to What End? (1998)Zero Bound on Interest Rates and Optimal Monetary Policy (2003)Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Economic policy uncertainty and the credit channel: Aggregate and bank level U.S. evidence over several decades (2016)Macroeconomic Shocks and Their Propagation (2016)Uncertainty Shocks in a Model of Effective Demand (2017)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Applications of deep learning in stock market prediction: Recent progress (2021)Machine learning in the Chinese stock market (2021)
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References

  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1997Testing the equality of prediction mean squared errors2,123 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 2016Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound1,877 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 2002Comparing Predictive Accuracy1,745 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
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1986Forecasting With Bayesian Vector Autoregressions—Five Years of Experience1,483 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 2007The U.S. Treasury yield curve: 1961 to the present1,337 cited
  • 2009Large Bayesian vector auto regressions1,211 cited

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1984
Forecasting and conditional projection using realistic prior distributions
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