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The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models
16 references·4 citing·31 second hop
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models (2010)The Affine Arbitrage-Free Class of Nelson…The macroeconomy and the yield curve: a dynamic latent factor approach (2005)The macroeconomy and the yiel…The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach (2004)The Macroeconomy and the Yiel…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…Quadratic Term Structure Models: Theory and Evidence (2002)Quadratic Term Structure Mode…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Transform Analysis and Asset Pricing for Affine Jump-Diffusions (1999)Transform Analysis and Asset …A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)A No-Arbitrage Vector Autoreg…Specification Analysis of Affine Term Structure Models (1998)Specification Analysis of Aff…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Transmission of Quantitative Easing: The Role of Central Bank Reserves (2016)Transmission of Quantitative …Estimating Shadow-Rate Term Structure Models with Near-Zero Yields (2013)Estimating Shadow-Rate Term S…Identification and Estimation of Gaussian Affine Term Structure Models (2012)Identification and Estimation…Term Structure Forecasting using Macro Factors and Forecast Combination (2010)Term Structure Forecasting us…Trends and random walks in macroeconomic time series (1988)Business conditions and expected returns on stocks and bonds (1989)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)The Pricing of Options and Corporate Liabilities (1973)Modeling Term Structures of Defaultable Bonds (1999)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)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Common risk factors in the returns on stocks and bonds (1993)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)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)Theory of rational option pricing (2005)A consumption-based model of the term structure of interest rates☆ (2005)Macro Factors in Bond Risk Premia (2009)The Econometrics of Financial Markets (2012)Stochastic Differential Equations and Diffusion Processes (1983)Basel Committee On Banking Supervision (2010)Explaining the Rate Spread on Corporate Bonds (2001)The U.S. Treasury yield curve: 1961 to the present (2007)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
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  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 2005The macroeconomy and the yield curve: a dynamic latent factor approach967 cited
  • 1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions598 cited
  • 1999A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables543 cited
  • 2002Quadratic Term Structure Models: Theory and Evidence469 cited
  • 1998Specification Analysis of Affine Term Structure Models375 cited

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  • 2004The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach282 cited
  • Cited by

    • 2010Term Structure Forecasting using Macro Factors and Forecast Combination45 cited
    • 2012Identification and Estimation of Gaussian Affine Term Structure Models28 cited
    • 2013Estimating Shadow-Rate Term Structure Models with Near-Zero Yields27 cited
    • 2016Transmission of Quantitative Easing: The Role of Central Bank Reserves16 cited