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Dynamic term structure models for SOFR futures
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Dynamic term structure models for SOFR futures (2021)Dynamic term structure models for SOFR fu…Looking Forward to Backward-Looking Rates: A Modeling Framework for Term Rates Replacing LIBOR (2019)Looking Forward to Backward-L…Inferring Term Rates from SOFR Futures Prices (2019)Inferring Term Rates from SOF…Interest Rate Modeling: Post-Crisis Challenges and Approaches (2015)Interest Rate Modeling: Post-…Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models (2013)Computing Arbitrage-Free Yiel…The affine arbitrage-free class of Nelson–Siegel term structure models (2011)The affine arbitrage-free cla…Futures prices as risk-adjusted forecasts of monetary policy (2008)Futures prices as risk-adjust…Financial Derivatives in Theory and Practice (2004)Financial Derivatives in Theo…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…Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary policy surprises and…Interest Rates as Options (1995)Interest Rates as OptionsTesting the Heath-Jarrow-Morton/Ho-Lee Model of Interest Rate Contingent Claims Pricing (1993)Testing the Heath-Jarrow-Mort…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A Theory of the Term Structure of Interest Rates (1985)Chapter 5 Theory and empirical testing of asset pricing models (1995)Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options (2009)A Recovery that We Can Trust? Deducing and Testing the Restrictions of the Recovery Theorem (2016)Common risk factors in the returns on stocks and bonds (1993)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Discretion versus policy rules in practice (1993)Sovereign default and debt renegotiation (2009)A New Perspective on Gaussian Dynamic Term Structure Models (2010)Forecasting Inflation (2013)The federal funds rate and the channels of monetary transmission (1989)Monetary Policy Shocks: What Have We Learned and to What End? (1998)What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)An Anatomy of Commodity Futures Risk Premia (2011)Countercyclical currency risk premia (2013)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Comparing Predictive Accuracy (1994)Inflation Expectations and Risk Premiums in an Arbitrage‐Free Model of Nominal and Real Bond Yields (2010)Bond Liquidity Premia (2011)Correcting Estimation Bias in Dynamic Term Structure Models (2012)Interest Rates and Information Geometry (2001)Chaos and coherence: a new framework for interest–rate modelling (2004)Derivatives (2004)Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields (2010)Interest‐Rate Modelling (2014)Bond Risk Premiums with Machine Learning (2020)Affine multiple yield curve models (2018)A consistent stochastic model of the term structure of interest rates for multiple tenors (2020)Term structure modelling for multiple curves with stochastic discontinuities (2020)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)
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References

  • 1977An equilibrium characterization of the term structure6,104 cited
  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 2011The affine arbitrage-free class of Nelson–Siegel term structure models431 cited
  • 1995Interest Rates as Options428 cited
  • 2004Financial Derivatives in Theory and Practice425 cited
  • 2008Futures prices as risk-adjusted forecasts of monetary policy353 cited
  • 1993Testing the Heath-Jarrow-Morton/Ho-Lee Model of Interest Rate Contingent Claims Pricing74 cited
  • 2015Interest Rate Modeling: Post-Crisis Challenges and Approaches61 cited
  • 2019Looking Forward to Backward-Looking Rates: A Modeling Framework for Term Rates Replacing LIBOR43 cited
  • 2019Inferring Term Rates from SOFR Futures Prices27 cited
  • 2013Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models27 cited

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