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Forecasting the Term Structure of Government Bond Yields. (2003). Diebold, Francis ; Li, Canlin.
In: NBER Working Papers.
RePEc:nbr:nberwo:10048.

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Cited: 39

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Cites: 47

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  1. Forecasting the Term Structure of Interest Rates with Dynamic Constrained Smoothing B-Splines. (2020). Moura, Marcelo ; Alencar, Airlane Pereira ; Mineo, Eduardo ; Fabris, Antonio Elias.
    In: JRFM.
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  2. Reaction of Swiss Term Premia to Monetary Policy Surprises. (2010). Söderlind, Paul.
    In: Swiss Journal of Economics and Statistics (SJES).
    RePEc:ses:arsjes:2010-i-17.

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  3. The Interest Rate Conditioning Assumption. (2009). Goodhart, Charles.
    In: International Journal of Central Banking.
    RePEc:ijc:ijcjou:y:2009:q:2:a:3.

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  4. La prévision des taux d’intérêt à partir de contrats futures : l’apport de variables économiques et financières. (2008). Coffinet, Jerome.
    In: Working papers.
    RePEc:bfr:banfra:193.

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  5. Combining Canadian Interest-Rate Forecasts. (2008). Romanyuk, Yuliya ; Bolder, David.
    In: Staff Working Papers.
    RePEc:bca:bocawp:08-34.

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  6. Forecasting the term structure of interest rates for Turkey: a factor analysis approach. (2007). Kazimov, Kazim ; Alper, C. Emre ; Akdemir, A..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:1:p:77-85.

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  7. How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables. (2007). Tkacz, Greg ; Galbraith, John.
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-1.

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  8. Liquidity commonality beyond best prices. (2006). Kempf, Alexander ; Mayston, Daniel .
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0604.

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  9. Estimating the term structure of interest rates using penalized splines. (2006). Archontakis, Theofanis ; Krivobokova, Tatyana ; Kauermann, Goran.
    In: Statistical Papers.
    RePEc:spr:stpapr:v:47:y:2006:i:3:p:443-459.

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  10. Why Do Emerging Economies Borrow Short Term?. (2006). Schmukler, Sergio ; Lorenzoni, Guido ; Broner, Fernando ; Schmuckler, Sergio.
    In: 2006 Meeting Papers.
    RePEc:red:sed006:841.

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  11. A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration. (2006). Diebold, Francis ; Li, Canlin ; Ji, Lei .
    In: PIER Working Paper Archive.
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  12. A Factor Model of the Term Structure of Interest Rates and Risk Premium Estimation for Latvias Money Market. (2006). Vitola, Kristine ; Ajevskis, Viktors.
    In: Working Papers.
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  13. Fiscal Policy and the Term Structure: Evidence from the Case of Italy in the EMS and the EMU Periods. (2006). Giglio, Stefano ; Favero, Carlo.
    In: Working Papers.
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  14. Forecasting the Term Structure of Variance Swaps. (2006). Härdle, Wolfgang ; Detlefsen, Kai ; Hardle, Wolfgang.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2006-052.

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  15. The Macroeconomy and the Yield Curve: A Review of the Literature with Some New Evidence. (2006). Rotondi, Zeno.
    In: Giornale degli Economisti.
    RePEc:gde:journl:gde_v65_n2_p193-224.

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  16. Informed and strategic order flow in the bond markets. (2006). Vega, Clara ; Pasquariello, Paolo.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:874.

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  17. What does the yield curve tell us about GDP growth?. (2006). Wei, Min ; Piazzesi, Monika ; Ang, Andrew.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:131:y:2006:i:1-2:p:359-403.

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  18. Fiscal Policy and the Term Structure: Evidence from the Case of Italy in the EMS and the EMU Periods. (2006). Giglio, Stefano ; Favero, Carlo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5793.

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  19. Modelling Term-Structure Dynamics for Risk Management: A Practitioners Perspective. (2006). Bolder, David.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-48.

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  20. Liquiditätsdynamik am deutschen Aktienmarkt. (2005). Kempf, Alexander ; Griese, Knut .
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0512.

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  21. Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach. (2005). Blaskowitz, Oliver ; de Cadenas Santiago, Gonzalo, ; Herwartz, Helmut.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:2987.

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  22. AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING. (2005). Almeida, Caio ; Rodrigues, Caio Ibsen .
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:08:y:2005:i:02:n:s0219024905002949.

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  23. A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models. (2005). Almeida, Caio ; Rodrigues, Caio Ibsen .
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:25:y:2005:i:1:a:2673.

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  24. Macroeconomic Determinants of the Movement of the Yield Curve. (2005). Vargas, Gregorio.
    In: MPRA Paper.
    RePEc:pra:mprapa:53117.

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  25. Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach. (2005). Blaskowitz, Oliver ; Gonzalo de Cadenas Santiago, ; Herwartz, Helmut.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2005-024.

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  26. Predictable dynamics in the S&P 500 index options implied volatility surface. (2005). Guidolin, Massimo ; Goncalves, Silvia.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-010.

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  27. Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates. (2005). Thornton, Daniel.
    In: Working Papers.
    RePEc:fip:fedlwp:2004-010.

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  28. Immunization Using a Parametric Model of the Term Structure. (2005). Bravo, Jorge ; Jorge Miguel Ventura Bravo, ; Carlos Manuel Pereira da Silva, .
    In: Economics Working Papers.
    RePEc:evo:wpecon:19_2005.

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  29. The interest rate conditioning assumption. (2005). Goodhart, Charles.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24666.

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  30. Tests of the expectations hypothesis: Resolving the anomalies when the short-term rate is the federal funds rate. (2005). Thornton, Daniel.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:10:p:2541-2556.

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  31. The Monetary Policy Committees Reaction Function: An Exercise in Estimation. (2005). Charles A. E. Goodhart, ; Charles A. E. Goodhart, .
    In: The B.E. Journal of Macroeconomics.
    RePEc:bpj:bejmac:v:topics.5:y:2005:i:1:n:18.

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  32. What Does the Yield Curve Tell us about GDP Growth?. (2004). Wei, Min ; Piazzesi, Monika ; Ang, Andrew ; Piazessi, Monika.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10672.

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  33. Tests of the expectations hypothesis: resolving the Campbell-Shiller paradox. (2004). Thornton, Daniel.
    In: Working Papers.
    RePEc:fip:fedlwp:2003-022.

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  34. The interaction between the Bank of Englands forecasts and policy, and the outturn. (2004). Goodhart, Charles.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24710.

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  35. The Monetary Policy Committees reaction function: an exercise in estimation. (2004). Goodhart, Charles.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24708.

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  36. Estimating Yield Curves in Turkey: Factor Analysis Approach. (2004). Kazimov, Kazim ; Alper, C. Emre ; Akdemir, Aras .
    In: Working Papers.
    RePEc:bou:wpaper:2004/04.

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  37. Estimating the Term Structure of Government Securities in Turkey. (2004). Kazimov, Kazim ; Alper, C. Emre ; Akdemir, Aras .
    In: Working Papers.
    RePEc:bou:wpaper:2004/03.

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  38. An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates. (2004). Bolder, David ; Metzler, Adam ; Johnson, Grahame .
    In: Staff Working Papers.
    RePEc:bca:bocawp:04-48.

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    RePEc:eee:econom:v:130:y:2006:i:2:p:337-364.

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  31. Attributing Returns and Optimising United States Swaps Portfolios Using an Intertemporally-Consistent and Arbitrage-Free Model of the Yield Curve. (2005). Krippner, Leo.
    In: Working Papers in Economics.
    RePEc:wai:econwp:05/03.

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  32. An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models. (2005). Krippner, Leo.
    In: Working Papers in Economics.
    RePEc:wai:econwp:05/01.

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  33. Term Structure Models with Parallel and Proportional Shifts. (2005). Jensen, Bjarne Astrup ; Bjork, Tomas ; Armerin, Frederik.
    In: Working Papers.
    RePEc:hhs:cbsfin:2005_005.

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  34. Risk management implications of time-inconsistency: Model updating and recalibration of no-arbitrage models. (2005). Corielli, Francesco ; Buraschi, Andrea.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:11:p:2883-2907.

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  35. The Nobel Memorial Prize for Robert F. Engle. (2004). Diebold, Francis.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200411.

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  36. Taking Positive Interest Rates Seriously. (2004). Wu, Liuren ; Pan, Enlin.
    In: Finance.
    RePEc:wpa:wuwpfi:0409013.

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  37. On Finite Dimensional Realizations of Forward Price Term Structure Models. (2004). Gaspar, Raquel.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0569.

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  38. General Quadratic Term Structures of Bond, Futures and Forward Prices. (2004). Gaspar, Raquel.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0559.

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  39. A model of the term structure of interest rates based on Lévy fields. (2004). Mahnig, Andrea ; Albeverio, Sergio ; Lytvynov, Eugene .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:114:y:2004:i:2:p:251-263.

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  40. Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure. (2004). De Rossi, Giuliano .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:11:y:2004:i:2:p:277-308.

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  41. Forecasting the term structure of government bond yields. (2003). Diebold, Francis ; Li, Canlin.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200409.

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  42. Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation. (2003). Krippner, Leo.
    In: Working Papers in Economics.
    RePEc:wai:econwp:03/01.

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  43. The Macroeconomy and the Yield Curve: A Nonstructural Analysis. (2003). Rudebusch, Glenn ; Diebold, Francis ; Aruoba, S. Boragan.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:03-024.

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  44. Forecasting the Term Structure of Government Bond Yields. (2003). Diebold, Francis ; Li, Canlin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10048.

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  45. On the Geometry of Interest Rate Models. (2003). Bjork, Tomas .
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0545.

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  46. Fixed-income pricing. (2003). Singleton, Kenneth J. ; Dai, Qiang.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-20.

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  47. Intertemporal asset pricing theory. (2003). Duffie, Darrell.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-11.

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  48. Asset Pricing Under The Quadratic Class. (2002). Wu, Liuren ; Leippold, Markus.
    In: Finance.
    RePEc:wpa:wuwpfi:0207015.

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  49. Design and Estimation of Quadratic Term Structure Models. (2002). Wu, Liuren ; Leippold, Markus.
    In: Finance.
    RePEc:wpa:wuwpfi:0207014.

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  50. Forecasting the Term Structure of Government Bond Yields. (2002). Diebold, Francis ; Li, Canlin.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-34.

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  51. Finite dimensional Markovian realizations for stochastic volatility forward rate models. (2002). Landen, Camilla ; Bjork, Tomas ; Svensson, Lars .
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0498.

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  52. A Quantum Field Theory Term Structure Model Applied to Hedging. (2002). Baaquie, Belal E. ; Warachka, Mitch ; Srikant, Marakani .
    In: Papers.
    RePEc:arx:papers:cond-mat/0206457.

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  53. On Filtering in Markovian Term Structure Models. (2001). Pasquali, Sara ; Chiarella, Carl ; Runggaldier, Wolfgang J.
    In: World Scientific Book Chapters.
    RePEc:wsi:wschap:9789812799579_0012.

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  54. On Filtering in Markovian Term Structure Models (An Approximation Approach). (2001). Chiarella, Carl ; Pasquali, Sara ; Runggaldier, Wolfgang .
    In: Research Paper Series.
    RePEc:uts:rpaper:65.

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  55. MCMC Based Estimation of Term Structure Models.. (2001). Mikkelsen, Peter.
    In: Finance Working Papers.
    RePEc:hhb:aarfin:2001_007.

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  56. A Geometric View of Interest Rate Theory. (2000). Bjork, Tomas.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0419.

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  57. Financial markets assessments of EMU : A comment. (1999). Favero, Carlo.
    In: Carnegie-Rochester Conference Series on Public Policy.
    RePEc:eee:crcspp:v:51:y:1999:i::p:271-280.

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  58. On Correlation Effects and Default Clustering in Credit Models. (). Berndt, Antje ; Sun, Zhiqiang ; Ritchken, Peter .
    In: GSIA Working Papers.
    RePEc:cmu:gsiawp:1217885373.

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