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Identification of Gaussian Term Structure Models with Observable Factors. (2011). Matsumura, Marco ; Machado, Jose Valentim ; Moreira, Ajax .
In: Brazilian Review of Econometrics.
RePEc:sbe:breart:v:31:y:2011:i:2:a:5835.

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  13. Joslin, S., Singleton, K., & Zhou, H. (2011). A new perspective on gaussian dynamic term structure models. Review of Financial Studies, 24:926–970.

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Cocites

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  2. Bond Risk Premia and Gaussian Term Structure Models. (2014). Fontaine, Jean-Sebastien ; Feunou, Bruno.
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  3. The Euro-dividend: public debt and interest rates in the Monetary Union. (2010). Salotti, Simone ; Marattin, Luigi.
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  4. Challenges in macro-finance modeling. (2008). Kim, Don.
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  5. Examining the bond premium puzzle with a DSGE model. (2008). Swanson, Eric ; Rudebusch, Glenn.
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  6. Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters. (2007). van der Wel, Michel ; Koopman, Siem Jan ; Max I. P. Mallee, .
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  7. Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information. (2007). van Dijk, Dick ; Ravazzolo, Francesco ; De Pooter, Michiel.
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  8. Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information. (2007). van Dijk, Dick ; Ravazzolo, Francesco ; De Pooter, Michiel.
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  9. The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models. (2007). Rudebusch, Glenn ; Diebold, Francis ; Christensen, Jens ; Jens H. E. Christensen, .
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  10. The Long and the Short End of the Term Structure of Policy Rules. (2007). Taylor, John ; Smith, Josephine.
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  11. The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models. (2007). Rudebusch, Glenn ; Diebold, Francis ; Christensen, Jens ; Jens H. E. Christensen, .
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  12. Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach. (2007). Yue, Vivian ; Diebold, Francis ; Li, Canlin.
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  13. No-Arbitrage Taylor Rules. (2007). Piazzesi, Monika ; Ang, Andrew ; Dong, Sen .
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  18. Term Structure Forecasting: No-arbitrage Restrictions vs. Large Information Set. (2007). Sala, Luca ; Niu, Linlin ; Favero, Carlo.
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  19. Forecasts of U.S. short-term interest rates: a flexible forecast combination approach. (2007). Guidolin, Massimo ; Timmerman, Allan.
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  20. Arbitrage-free bond pricing with dynamic macroeconomic models. (2007). Zin, Stanley ; Palomino, Francisco ; Hollifield, Burton ; Gallmeyer, Michael.
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  21. Commentary on Macroeconomic implications of changes in the term premium. (2007). Cochrane, John.
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  22. Macroeconomic implications of changes in the term premium. (2007). Swanson, Eric ; Rudebusch, Glenn ; Sack, Brian P..
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  23. What does the yield curve tell us about the Federal Reserves implicit inflation target?. (2007). Doh, Taeyoung.
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  25. The role of no-arbitrage on forecasting: lessons from a parametric term structure model. (2007). Vicente, José Valentim ; Almeida, Caio.
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  26. Inflation risk premia in the term structure of interest rates. (2007). Tristani, Oreste ; Hördahl, Peter ; Hordahl, Peter.
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