Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

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

Term Premia and Interest Rate Forecasts in Affine Models

16 references·15 citing·34 second hop

FromToDepth

this work references cited by second hop

References

1993Common risk factors in the returns on stocks and bonds26,615 cited
1985A Theory of the Term Structure of Interest Rates8,333 cited
1977An equilibrium characterization of the term structure6,104 cited
1989Business conditions and expected returns on stocks and bonds3,934 cited
1993Dynamic Asset Pricing Theory.2,891 cited
1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 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
1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
1987The Information in Long-Maturity Forward Rates1,552 cited
1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions598 cited
1997Estimating continuous-time stochastic volatility models of the short-term interest rate500 cited
1998Specification Analysis of Affine Term Structure Models375 cited

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

1996

Testing term structure estimation methods

203 cited

Cited by

2008Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance60 cited
2011Identification and Estimation of Gaussian Affine Term Structure Models59 cited
2012Correcting Estimation Bias in Dynamic Term Structure Models52 cited
2015Nonlinearity and Flight to Safety in the Risk-Return Trade-Off for Stocks and Bonds48 cited
2003Macro Factors and the Term Structure of Interest Rates46 cited
2001Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure41 cited
2004Market Price of Risk Specifications for Affine Models: Theory and Evidence39 cited
2003Generalizing the Affine Framework to HJM and Random Field Models35 cited
2006Factors Behind Low Long-Term Interest Rates29 cited
2015How Much of Bank Credit Risk is Sovereign Risk? Evidence from the Eurozone28 cited
2005Inflation, Fisher Equation, and the Term Structure of Inflation Risk Premia: Theory and Evidence from Tips25 cited
2010Why Do Closed-End Bond Funds Exist? An Additional Explanation for the Growth in Domestic Closed-End Bond Funds23 cited
2008The inflation risk premium in the term structure of interest rates18 cited
2011Predictions of Short-Term Rates and the Expectations Hypothesis14 cited
2012What Accounts for the Fall in UK Ten-Year Government Bond Yields?10 cited