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General Bayesian time‐varying parameter vector autoregressions for modeling government bond yields
16 references·0 citing·48 second hopsampled
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References

  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 2006Were There Regime Switches in U.S. Monetary Policy?1,607 cited
  • 2007The U.S. Treasury yield curve: 1961 to the present1,337 cited
  • 2015FRED-MD: A Monthly Database for Macroeconomic Research908 cited
  • 2019Vulnerable Growth779 cited
  • 2012Dynamic Factor Models468 cited
  • 2000Bayesian Dynamic Factor Models and Portfolio Allocation454 cited
  • 1996Measuring the Pricing Error of the Arbitrage Pricing Theory433 cited
  • 2010Comparing and evaluating Bayesian predictive distributions of asset returns376 cited
  • 2008On the evolution of the monetary policy transmission mechanism261 cited
  • 2008Global yield curve dynamics and interactions: A dynamic Nelson–Siegel approach261 cited
  • 2019Global trends in interest rates225 cited
  • 2020Interest Rates under Falling Stars209 cited
  • 2007Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Models

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