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Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound
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Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound (2012)Modifying Gaussian Term Structure Models …Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields (2010)Term Structure Models and the…Affine Term Structure Models (2010)Affine Term Structure ModelsA New Perspective on Gaussian Dynamic Term Structure Models (2010)A New Perspective on Gaussian…Term-Structure Models (2009)Term-Structure ModelsThe U.S. Treasury yield curve: 1961 to the present (2007)The U.S. Treasury yield curve…Forecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates (2003)Black's Model of Interest Rat…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002)Expectation puzzles, time-var…The Complete Guide to Option Pricing Formulas (1997)The Complete Guide to Option …Interest Rates as Options (1995)Interest Rates as OptionsParsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…A Multivariate Model of the Term Structure (1980)A Multivariate Model of the T…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)An Intertemporal Capital Asset Pricing Model (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)The Information in Long-Maturity Forward Rates (1987)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)The Econometrics of Financial Markets (2012)Pricing the term structure with linear regressions (2013)Intermediary asset pricing: New evidence from many asset classes (2017)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)Forecasting Inflation (2013)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Bond Liquidity Premia (2011)Information in (and not in) the Term Structure (2011)Risk premia in crude oil futures prices (2013)Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Interest‐Rate Modelling (2014)Explaining the Rate Spread on Corporate Bonds (2001)A consumption-based model of the term structure of interest rates☆ (2005)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 2007The U.S. Treasury yield curve: 1961 to the present1,337 cited
  • 2002Expectation puzzles, time-varying risk premia, and affine models of the term structure754 cited
  • 2010A New Perspective on Gaussian Dynamic Term Structure Models544 cited
  • 1997The Complete Guide to Option Pricing Formulas529 cited
  • 1995Interest Rates as Options428 cited
  • 2010Affine Term Structure Models384 cited
  • 2009Term-Structure Models300 cited
  • 2010Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields281 cited
  • 1980A Multivariate Model of the Term Structure223 cited
  • 2003Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates

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