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A factor risk model with reference returns for the US dollar and Japanese yen bond markets. (2006). Nyholm, Ken ; Coche, Joachim ; Bernadell, Carlos.
In: Working Paper Series.
RePEc:ecb:ecbwps:2006641.

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  2. Ang, A. and M. Piazzesi, 2003, A No-Arbitrage Vector Autoregression of the Term Structure Dynamics with Macroeconomic and Latent Variables, Journal of Monetary Economics, Vol. 50, pp 745-787.

  3. Bernadell, C., J. Coche and K. Nyholm, 2005, Yield curve prediction for the strategic investor, Working Paper, The European Central Bank, No. 472/April.

  4. Campbell, J. Y. and L. M. Viceira, 2002, Strategic asset allocation, portfolio choice for long-term investors, New York, Oxford University Press.

  5. Connor, G., 1995, The Three Types of Factor Models: A Comparison of Their Explanatory Power, Financial Analyst Journal, May-June, pp 42-46.
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  6. Diebold F. X. and G. D. Rudebusch and S. B. Aruoba, 2005, The Macroeconomy and the Yield Curve: A Nonstructural Analysis, Journal of Econometrics, Forthcoming.

  7. Kennedy, P., 2001, A Guide to Econometrics, MIT Press, Cambridge Massachusetts.

  8. Kim, C. J and C. R. Nelson, 2000, State Space Models with Regime Switching, MIT press.
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  9. Nelson, C.R and A.F. Siegel, 1987, Parsimonious Modeling of Yield Curves, Journal of Business, 60, 473-489.

  10. Taylor, J. B., 1993, Discretion versus policy rules in practice, Carnegie-Rochester Conference Series on Public Policy, Vol. 39, pp 195-214.

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