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Identification and Estimation of Gaussian Affine Term Structure Models. (2012). Wu, Jing Cynthia ; Hamilton, James.
In: NBER Working Papers.
RePEc:nbr:nberwo:17772.

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  1. An affine term structure model with Fed chairs’ speeches. (2024). Ko, Eunmi.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324003660.

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  2. Evaluating the yield curve effects of central bank asset purchases under a forward-looking supply factor. (2024). Gimeno, Ricardo ; Moreno, Antonio ; Equiza, Juan ; Thomas, Carlos.
    In: European Economic Review.
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  3. Pricing the Bund term structure with linear regressions – without an observable short rate. (2023). Speck, Christian.
    In: Discussion Papers.
    RePEc:zbw:bubdps:082023.

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  4. Correcting estimation bias in regime switching dynamic term structure models. (2023). Liu, Liu ; Cho, Sungjun.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:61:y:2023:i:3:d:10.1007_s11156-023-01182-z.

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  5. Estimates of the US Shadow-Rate. (2023). Pia, Marco ; Alfaro, Rodrigo.
    In: Latin American Journal of Central Banking (previously Monetaria).
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  6. The information in joint term structures of bond yields. (2023). Spencer, Peter ; Raczko, Marek ; Meldrum, Andrew.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:134:y:2023:i:c:s0261560623000293.

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  7. Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds. (2023). Chernov, Mikhail ; Hordahl, Peter ; Creal, Drew.
    In: Journal of International Economics.
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  8. Maximum likelihood estimation of the Hull–White model. (2023). Rus, Toma ; Kladivko, Kamil.
    In: Journal of Empirical Finance.
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  9. A robust model for the term structure of interest rates: some applications in Colombia. (2023). Rodríguez-Novoa, Daniela ; Sanchez-Quinto, Camilo Eduardo ; Rodriguez-Novoa, Daniela ; Cabrera-Rodriguez, Wilmar Alexander.
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  10. Identification Robust Inference for the Risk Premium in Term Structure Models. (2023). Kong, Lingwei ; Kleibergen, Frank.
    In: Papers.
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  11. (Un)expected monetary policy shocks and term premia. (2022). Meyergohde, Alexander ; Kliem, Martin .
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:37:y:2022:i:3:p:477-499.

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  12. Bond risk premia, priced regime shifts, and macroeconomic fundamentals. (2022). Petrella, Ivan ; Sola, Martin ; Hevia, Constantino.
    In: Department of Economics Working Papers.
    RePEc:udt:wpecon:2022_03.

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  13. Predicting interest rate distributions using PCA & quantile regression. (2022). Westgaard, Sjur ; Pimentel, Rita ; Risstad, Morten.
    In: Digital Finance.
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  14. A Computational Analysis of the Tradeoff in the Estimation of Different State Space Specifications of Continuous Time Affine Term Structure Models. (2022). Juneja, Januj Amar.
    In: Computational Economics.
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  15. The network structure of overnight index swap rates. (2022). Uddin, Ajim ; Taylor, Stephen ; Fang, Ming.
    In: Finance Research Letters.
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  16. .

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  17. No?arbitrage priors, drifting volatilities, and the term structure of interest rates. (2021). Clark, Todd ; Carriero, Andrea ; Marcellino, Massimiliano.
    In: Journal of Applied Econometrics.
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  18. How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?. (2021). Juneja, Januj Amar.
    In: Computational Management Science.
    RePEc:spr:comgts:v:18:y:2021:i:1:d:10.1007_s10287-020-00380-7.

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  19. Information in the Term Structure: A Forecasting Perspective. (2021). Liu, Rui ; Jacobs, Kris ; Doshi, Hitesh.
    In: Management Science.
    RePEc:inm:ormnsc:v:67:y:2021:i:8:p:5255-5277.

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  20. Monetary policy surprises and their transmission through term premia and expected interest rates. (2021). Ustek, Roman ; Mumtaz, Haroon ; Kaminska, Iryna.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:124:y:2021:i:c:p:48-65.

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  21. Reconstructing the yield curve. (2021). Wu, Jing Cynthia ; Liu, Yan.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:142:y:2021:i:3:p:1395-1425.

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  22. No-Arbitrage pricing of GDP-Linked bonds. (2021). Eguren Martin, Fernando ; Yan, Wen ; Meldrum, Andrew.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:126:y:2021:i:c:s0378426621000339.

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  23. Forecasting WTI crude oil futures returns: Does the term structure help?. (2021). O'Sullivan, Conall ; Bredin, Don ; Spencer, Simon.
    In: Energy Economics.
    RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002565.

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  24. What does a term structure model imply about very long-term interest rates?. (2021). Schotman, Peter C ; Pelsser, Antoon ; Balter, Anne G.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:62:y:2021:i:c:p:202-219.

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  25. MoNK: Mortgages in a New-Keynesian model. (2021). Ustek, Roman ; Kydland, Finn E ; Garriga, Carlos.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:123:y:2021:i:c:s016518892030227x.

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  26. Estimates of the US Shadow-Rate. (2021). Pia, Marco ; Alfaro, Rodrigo.
    In: Working Papers Central Bank of Chile.
    RePEc:chb:bcchwp:923.

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  27. Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds. (2021). Hördahl, Peter ; Creal, Drew ; Chernov, Mikhail ; Hordahl, Peter.
    In: BIS Working Papers.
    RePEc:bis:biswps:918.

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  28. Bond risk premia in consumption?based models. (2020). Wu, Jing Cynthia ; Creal, Drew.
    In: Quantitative Economics.
    RePEc:wly:quante:v:11:y:2020:i:4:p:1461-1484.

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  29. Negative interest rate policy and the yield curve. (2020). Xia, Fan Dora ; Wu, Jing Cynthia.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:35:y:2020:i:6:p:653-672.

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  30. Forecasting output growth using a DSGE-based decomposition of the South African yield curve. (2020). Steinbach, Max ; Hollander, Hylton ; GUPTA, RANGAN.
    In: Empirical Economics.
    RePEc:spr:empeco:v:58:y:2020:i:1:d:10.1007_s00181-018-1607-4.

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  31. Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds. (2020). Hördahl, Peter ; Creal, Drew ; Chernov, Mikhail ; Hordahl, Peter.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:27500.

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  32. Reconstructing the Yield Curve. (2020). Wu, Jing Cynthia ; Liu, Yan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:27266.

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  33. Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein. (2020). van der Wel, M.
    In: ERIM Inaugural Address Series Research in Management.
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  34. Do bond markets find inflation targets credible? Evidence from five inflation-targeting countries. (2020). Ka, Kook ; Ho, Kyu ; Kim, Young Min.
    In: International Review of Economics & Finance.
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  35. Interpreting the oil risk premium: Do oil price shocks matter?. (2020). Manera, Matteo ; Valenti, Daniele ; Sbuelz, Alessandro.
    In: Energy Economics.
    RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302462.

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  36. GMM estimation of affine term structure models. (2020). Hlouskova, Jaroslava ; Sogner, Leopold.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:13:y:2020:i:c:p:2-15.

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  37. Likelihood ratio testing in linear state space models: An application to dynamic stochastic general equilibrium models. (2020). Komunjer, Ivana ; Zhu, Yinchu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:218:y:2020:i:2:p:561-586.

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  38. Japan’s impactful augmentation of quantitative easing sovereign-bond purchases. (2020). Inaba, Kei-Ichiro.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301492.

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  39. European spreads at the interest rate lower bound. (2020). Coroneo, Laura ; Pastorello, Sergio.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301470.

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  40. Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds. (2020). Hördahl, Peter ; Creal, Drew ; Chernov, Mikhail ; Hordahl, Peter.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14986.

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  41. No-arbitrage pricing of GDP-linked bonds. (2020). Yan, Wen ; Eguren Martin, Fernando ; Meldrum, Andrew ; Eguren-Martin, Fernando.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0849.

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  42. IBRN Initiative on Interactions of Monetary and Prudential Policies. (2020). Ushakova, Yulia ; Styrin, Konstantin.
    In: Russian Journal of Money and Finance.
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  43. (Un)expected monetary policy shocks and term premia. (2019). Meyer-Gohde, Alexander ; Kliem, Martin.
    In: IMFS Working Paper Series.
    RePEc:zbw:imfswp:137.

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  44. Estimating the term structure with linear regressions: Getting to the roots of the problem. (2019). Spencer, Peter ; Golinski, Adam.
    In: Discussion Papers.
    RePEc:yor:yorken:19/05.

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  45. A Quantitative Analysis of Risk Premia in the Corporate Bond Market. (2019). Cecchetti, Sara.
    In: JRFM.
    RePEc:gam:jjrfmx:v:13:y:2019:i:1:p:3-:d:300251.

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  46. Forecasting Term Structure of Interest Rates in Japan. (2019). Ishii, Hokuto.
    In: IJFS.
    RePEc:gam:jijfss:v:7:y:2019:i:3:p:39-:d:246648.

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  47. MoNK: Mortgages in a New-Keynesian Model. (2019). Sustek, Roman ; Kydland, Finn ; Garriga, Carlos.
    In: Working Papers.
    RePEc:fip:fedlwp:2019-032.

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  48. 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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  49. An asset pricing approach to testing general term structure models. (2019). van der Wel, Michel ; Christensen, Bent Jesper.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:134:y:2019:i:1:p:165-191.

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  50. Modelling yields at the lower bound through regime shifts. (2019). Tristani, Oreste ; Hordahl, Peter.
    In: BIS Working Papers.
    RePEc:bis:biswps:813.

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  51. 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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  52. With a little help from my friends: Survey-based derivation of euro area short rate expectations at the effective lower bound. (2018). Geiger, Felix ; Schupp, Fabian.
    In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy.
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  53. With a little help from my friends: Survey-based derivation of euro area short rate expectations at the effective lower bound. (2018). Schupp, Fabian ; Geiger, Felix.
    In: Discussion Papers.
    RePEc:zbw:bubdps:272018.

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  54. Essays on model uncertainty in financial models. (2018). Li, Jing.
    In: Other publications TiSEM.
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  55. (Un)expected Monetary Policy Shocks and Term Premia. (2018). Meyer-Gohde, Alexander ; Kliem, Martin.
    In: 2018 Meeting Papers.
    RePEc:red:sed018:102.

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  56. Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia. (2018). Finlay, Richard ; Hambur, Jonathan.
    In: RBA Research Discussion Papers.
    RePEc:rba:rbardp:rdp2018-02.

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  57. Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads. (2018). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:24506.

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  58. Empirical performance of Gaussian affine dynamic term structure models in the presence of autocorrelation misspecification bias. (2018). Juneja, Januj.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:50:y:2018:i:3:d:10.1007_s11156-017-0643-z.

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  59. Bond Risk Premia and Restrictions on Risk Prices. (2018). Sola, Martin ; Hevia, Constantino.
    In: JRFM.
    RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:60-:d:173588.

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  60. Interpreting the Oil Risk Premium: do Oil Price Shocks Matter?. (2018). Manera, Matteo ; Sbuelz, Alessandro ; Valenti, Daniele.
    In: Working Papers.
    RePEc:fem:femwpa:2018.03.

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  61. Macroeconomic determinants of the term structure: Long-run and short-run dynamics. (2018). Doshi, Hitesh ; Liu, Rui ; Jacobs, Kris.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:48:y:2018:i:c:p:99-122.

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  62. Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads. (2018). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:12857.

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  63. The information in the joint term structures of bond yields. (2018). Spencer, Peter ; Raczko, Marek ; Meldrum, Andrew.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0772.

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  64. Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models. (2018). Taboga, Marco ; Pericoli, Marcello.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1189_18.

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  65. (Un)expected monetary policy shocks and term premia. (2017). Meyer-Gohde, Alexander ; Kliem, Martin.
    In: Discussion Papers.
    RePEc:zbw:bubdps:302017.

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  66. Robust Bond Risk Premia. (2017). Hamilton, James ; Bauer, Michael.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:23480.

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  67. (Un)expected Monetary Policy Shocks and Term Premia. (2017). Meyer-Gohde, Alexander ; Kliem, Martin.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2017-015.

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  68. How Germany benefits the most from its Eurozone membership. (2017). Juneja, Januj.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:42:y:2017:i:c:p:1074-1088.

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  69. Invariance, observational equivalence, and identification: Some implications for the empirical performance of affine term structure models. (2017). Juneja, Januj.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:64:y:2017:i:c:p:292-305.

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  70. The advantages of using excess returns to model the term structure. (2017). Golinski, Adam ; Spencer, Peter ; Goliski, Adam .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:125:y:2017:i:1:p:163-181.

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  71. DSGE pileups. (2017). Morris, Stephen D.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:74:y:2017:i:c:p:56-86.

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  72. A quantitative analysis of risk premia in the corporate bond market. (2017). Cecchetti, Sara.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1141_17.

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  73. Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions. (2017). Diez de los Rios, Antonio.
    In: Staff Working Papers.
    RePEc:bca:bocawp:17-33.

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  74. Can Affine Models Match the Moments in Bond Yields?. (2016). Feldhutter, Peter.
    In: Quarterly Journal of Finance (QJF).
    RePEc:wsi:qjfxxx:v:06:y:2016:i:02:n:s2010139216500099.

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  75. A plausible model of yield curve dynamics. (2016). Magnus, Gideon.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:30:y:2016:i:2:d:10.1007_s11408-016-0265-9.

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  76. Term Structure of Interest Rates: Macro-Finance Approach. (2016). Stork, Zbynek .
    In: EcoMod2016.
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  77. Macroeconomic Regimes and Regime Shifts. (2016). Hamilton, J D.
    In: Handbook of Macroeconomics.
    RePEc:eee:macchp:v2-163.

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  78. US bank credit spreads during the financial crisis. (2016). Spencer, Peter.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:71:y:2016:i:c:p:168-182.

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  79. 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.

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  80. Stochastic correlation and risk premia in term structure models. (2016). Chiarella, Carl ; To, Thuy-Duong ; Hsiao, Chih-Ying.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:37:y:2016:i:c:p:59-78.

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  81. Local-momentum autoregression and the modeling of interest rate term structure. (2016). Duan, Jin-Chuan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:2:p:349-359.

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  82. Long memory affine term structure models. (2016). Golinski, Adam ; Zaffaroni, Paolo ; Goliski, Adam .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:191:y:2016:i:1:p:33-56.

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  83. Risk Premia and Seasonality in Commodity Futures. (2016). Sola, Martin ; Petrella, Ivan ; Hevia, Constantino.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11169.

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  84. Overseas unspanned factors and domestic bond returns. (2016). Spencer, Peter ; Raczko, Marek ; Meldrum, Andrew.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0618.

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  85. 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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  86. The term structure of interest rates and the macroeconomy: Learning about economic dynamics from a FAVAR. (2015). Halberstadt, Arne .
    In: Discussion Papers.
    RePEc:zbw:bubdps:022015.

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  87. EFFECTS OF INDEX?FUND INVESTING ON COMMODITY FUTURES PRICES. (2015). Wu, Jing Cynthia ; Hamilton, James D.
    In: International Economic Review.
    RePEc:wly:iecrev:v:56:y:2015:i:1:p:187-205.

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  88. A New Linear Estimator for Gaussian Dynamic Term Structure Models. (2015). Diez de los Rios, Antonio.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:33:y:2015:i:2:p:282-295.

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  89. Measuring the Unmeasurable: An Application of Uncertainty Quantification to Financial Portfolios. (2015). Sowers, Richard B ; Flood, Mark D ; Chen, Jingnan.
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  90. An evaluation of alternative methods used in the estimation of Gaussian term structure models. (2015). Juneja, Januj.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:44:y:2015:i:1:p:1-24.

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  91. GMM Estimation of Affine Term Structure Models. (2015). Hlouskova, Jaroslava ; Sogner, Leopold .
    In: Economics Series.
    RePEc:ihs:ihsesp:315.

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  92. A practical approach to constructing price-based funding liquidity factors. (2015). Bouwman, Kees ; Tham, Wing Wah ; Pieterse-Bloem, Mary ; Buis, Boyd .
    In: International Review of Economics & Finance.
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  93. Estimation of affine term structure models with spanned or unspanned stochastic volatility. (2015). Wu, Jing Cynthia ; Creal, Drew.
    In: Journal of Econometrics.
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    Full description at Econpapers || Download paper

  50. Modeling Yield-Factor Volatility. (2004). Smith, Daniel ; Parignon, Christophe.
    In: Econometric Society 2004 Australasian Meetings.
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