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The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models. (2015). Christensen, Bent Jesper ; Andreasen, Martin M..
In: Journal of Econometrics.
RePEc:eee:econom:v:184:y:2015:i:2:p:420-451.

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Cited: 17

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Citations

Citations received by this document

  1. The incremental information in the yield curve about future interest rate risk. (2023). Christensen, Bent Jesper ; Veliyev, Bezirgen ; Kjar, Mads Markvart.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:155:y:2023:i:c:s0378426623001711.

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  2. Special Repo Rates and the Cross-Section of Bond Prices: The Role of the Special Collateral Risk Premium*. (2022). Pancost, Aaron N ; Damico, Stefania.
    In: Review of Finance.
    RePEc:oup:revfin:v:26:y:2022:i:1:p:117-162..

    Full description at Econpapers || Download paper

  3. Tractable Term Structure Models. (2022). Feunou, Bruno ; Lundblad, Christian ; Le, Anh ; Fontaine, Jean-Sebastien.
    In: Management Science.
    RePEc:inm:ormnsc:v:68:y:2022:i:11:p:8411-8429.

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  4. Long and short memory in dynamic term structure models. (2021). Huseynov, Salman.
    In: CREATES Research Papers.
    RePEc:aah:create:2021-15.

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  5. The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper.
    In: CREATES Research Papers.
    RePEc:aah:create:2021-11.

    Full description at Econpapers || Download paper

  6. Bond Risk Premiums at the Zero Lower Bound. (2019). Meldrum, Andrew C ; Joergensen, Kasper ; Andreasen, Martin M.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2019-40.

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  7. Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices. (2019). Rudebusch, Glenn ; Andreasen, Martin M.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:212:y:2019:i:1:p:26-46.

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  8. Bond Risk Premiums at the Zero Lower Bound. (2019). Meldrum, Andrew ; Jorgensen, Kasper ; Andreasen, Martin Moller.
    In: CREATES Research Papers.
    RePEc:aah:create:2019-10.

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  9. A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States. (2018). Meldrum, Andrew C ; Andreasen, Martin M.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2018-56.

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  10. Term Structure Analysis with Big Data. (2017). Rudebusch, Glenn ; Christensen, Jens ; Andreasen, Martin.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2017-21.

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  11. Term Structure Analysis with Big Data. (2017). Rudebusch, Glenn ; Andreasen, Martin M.
    In: CREATES Research Papers.
    RePEc:aah:create:2017-31.

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  12. Evaluating the robustness of UK term structure decompositions using linear regression methods. (2016). Meldrum, Andrew ; Malik, Sheheryar.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:67:y:2016:i:c:p:85-102.

    Full description at Econpapers || Download paper

  13. Estimating dynamic equilibrium models using mixed frequency macro and financial data. (2016). van der Wel, Michel ; Posch, Olaf ; Christensen, Bent Jesper.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:1:p:116-137.

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  14. US-euro area term structure spillovers, implications for central banks. (2016). Nyholm, Ken.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20161980.

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  15. Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia. (2016). Engsted, Tom ; Andreasen, Martin M ; Sander, Magnus ; Moller, Stig V.
    In: CREATES Research Papers.
    RePEc:aah:create:2016-26.

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  16. Dynamic term structure models: the best way to enforce the zero lower bound in the United States. (2015). Meldrum, Andrew ; Andreasen, Martin M.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0550.

    Full description at Econpapers || Download paper

  17. Market beliefs about the UK monetary policy life-off horizon: a no-arbitrage shadow rate term structure model approach. (2015). Meldrum, Andrew ; Andreasen, Martin M.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0541.

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  2. A Macroeconomic Approach to the Term Premium. (2018). Williams, Peter D ; Kopp, Emanuel.
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  45. Dynamic term structure models: The best way to enforce the zero lower bound. (2014). Meldrum, Andrew ; Andreasen, Martin M..
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  48. A New Linear Estimator for Gaussian Dynamic Term Structure Models. (2013). Diez de los Rios, Antonio.
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  49. Forecasting through the rear-view mirror: data revisions and bond return predictability. (2012). Moench, Emanuel.
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