1. Estimation of market efficiency process within time-varying autoregressive models by extended Kalman filtering approach. (2023). Kulikova, Maria.
   In: Papers.
   RePEc:arx:papers:2310.04125.

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2. Uncertainty effects on production mix and on hedging decisions: The case of Brazilian ethanol and sugar. (2018). de Oliveira, Sydnei Marssal ; Vieira, Maria Paula.
   In: Energy Economics.
   RePEc:eee:eneeco:v:70:y:2018:i:c:p:516-524.

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3. Filtering and forecasting commodity futures prices under an HMM framework. (2013). Mamon, Rogemar ; Date, Paresh ; Tenyakov, Anton .
   In: Energy Economics.
   RePEc:eee:eneeco:v:40:y:2013:i:c:p:1001-1013.

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1. Thinly traded securities and risk management. (2014). Bernales, Alejandro ; Beuermann, Diether ; Cortazar, Gonzalo.
   In: Estudios de Economia.
   RePEc:udc:esteco:v:41:y:2014:i:1:p:5-48.

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2. Nonlinear Kalman Filtering in Affine Term Structure Models. (2014). Christoffersen, Peter ; Karoui, Lotfi ; Jacobs, Kris ; Dorion, Christian.
   In: Cahiers de recherche.
   RePEc:lvl:lacicr:1404.

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3. The impact of quantitative easing on the US term structure of interest rates. (2014). Jarrow, Robert ; Li, Hao.
   In: Review of Derivatives Research.
   RePEc:kap:revdev:v:17:y:2014:i:3:p:287-321.

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4. Does modeling framework matter? A comparative study of structural and reduced-form models. (2014). Gündüz, Yalin ; Gunduz, Yalin ; Uhrig-Homburg, Marliese.
   In: Review of Derivatives Research.
   RePEc:kap:revdev:v:17:y:2014:i:1:p:39-78.

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5. Consistent dynamic affine mortality models for longevity risk applications. (2013). Sherris, Michael ; Blackburn, Craig .
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:53:y:2013:i:1:p:64-73.

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6. Affine Term Structure Constraints on Euribor data. (2011). Tarditi, Giulio.
   In: Department of Economics University of Siena.
   RePEc:usi:wpaper:613.

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7. Real and nominal UK interest rates, ERM membership, and inflation targeting. (2011). Reschreiter, Andreas.
   In: Empirical Economics.
   RePEc:spr:empeco:v:40:y:2011:i:3:p:559-579.

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8. American options and callable bonds under stochastic interest rates and endogenous bankruptcy. (2011). Nunes, Joo.
   In: Review of Derivatives Research.
   RePEc:kap:revdev:v:14:y:2011:i:3:p:283-332.

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9. A mixed integer linear programming model for optimal sovereign debt issuance. (2011). Canepa, Alessandra ; Date, P. ; Abdel-Jawad, M..
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:214:y:2011:i:3:p:749-758.

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10. Consistent Dynamic Affine Mortality Model for Longevity Risk Applications. (2011). Sherris, Michael ; Blackburn, Craig .
    In: Working Papers.
    RePEc:asb:wpaper:201107.

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11. Estimating affine multifactor term structure models using closed-form likelihood expansions. (2010). Ait-Sahalia, Yacine ; Kimmel, Robert L..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:98:y:2010:i:1:p:113-144.

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12. Modelling the UK and Euro yield curves using the Generalized Vasicek model: Empirical results from panel data for one and two factor models. (2010). ben Nowman, Khalid .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:19:y:2010:i:5:p:334-341.

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13. Pricing the term structure of inflation risk premia: Theory and evidence from TIPS. (2010). Cheng, Xiaolin ; Liu, BO.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:4:p:702-721.

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14. Pricing caps with HJM models: the benefits of humped volatility. (2009). Falini, Jury .
    In: Department of Economics University of Siena.
    RePEc:usi:wpaper:563.

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15. Extended Black term structure models. (2009). Realdon, Marco.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:18:y:2009:i:5:p:232-238.

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16. Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting. (2009). Date, Paresh ; Wang, Chieh.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:195:y:2009:i:1:p:156-166.

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17. Following the rules: Integrating asset allocation and annuitization in retirement portfolios. (2008). Mitchell, Olivia ; Dus, Ivica ; Horneff, Wolfram J. ; Maurer, Raimond H..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:42:y:2008:i:1:p:396-408.

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18. The role of longevity bonds in optimal portfolios. (2008). Menoncin, Francesco.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:42:y:2008:i:1:p:343-358.

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19. Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions. (2008). Ait-Sahalia, Yacine ; Kimmel, Robert L..
    In: Working Paper Series.
    RePEc:ecl:ohidic:2008-19.

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20. A Joint Characterization of German Monetary Policy and the Dynamics of the German Term Structure of Interest Rates. (2008). Fendel, Ralf.
    In: Review of Applied Economics.
    RePEc:ags:reapec:50005.

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21. Extended-Gaussian Term Structure Models and Credit Risk Applications. (2007). Realdon, Marco.
    In: Discussion Papers.
    RePEc:yor:yorken:07/27.

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22. A Benchmark Approach to Portfolio Optimization under Partial Information. (2007). Platen, Eckhard ; Runggaldier, Wolfgang.
    In: Research Paper Series.
    RePEc:uts:rpaper:191.

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23. An empirical study of corporate bond pricing with unobserved capital structure dynamics.. (2007). Maclachlan, Iain C.
    In: MPRA Paper.
    RePEc:pra:mprapa:28416.

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24. A Benchmark Approach to Portfolio Optimization under Partial Information. (2007). Platen, Eckhard.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:14:y:2007:i:1:p:25-43.

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25. Term-structure estimation in markets with infrequent trading. (2007). Naranjo, Lorenzo F. ; Cortazar, Gonzalo ; Schwartz, Eduardo S..
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:12:y:2007:i:4:p:353-369.

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26. An interpretation of an affine term structure model of Chile. (2006). Ochoa, Juan.
    In: Estudios de Economia.
    RePEc:udc:esteco:v:33:y:2006:i:2:p:155-184.

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27. An Interpretation of An Affine Term Structure Model for Chile. (2006). Ochoa, Juan.
    In: MPRA Paper.
    RePEc:pra:mprapa:1072.

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28. Optimizing the Retirement Portfolio: Asset Allocation, Annuitization, and Risk Aversion. (2006). Mitchell, Olivia ; Dus, Ivica ; Horneff, Wolfram J. ; Maurer, Raimond.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12392.

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29. Optimizing the Retirement Portfolio: Asset Allocation, Annuitization, and Risk Aversion. (2006). Mitchell, Olivia ; Dus, Ivica ; Horneff, Wolfram J. ; Maurer, Raimond.
    In: Working Papers.
    RePEc:mrr:papers:wp124.

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30. Nonlinear term structure dependence: Copula functions, empirics, and risk implications. (2006). Wagner, Niklas ; Junker, Markus ; Szimayer, Alex .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:4:p:1171-1199.

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31. Interpreting an Affine Term Structure Model for Chile. (2006). Ochoa, Juan.
    In: Working Papers Central Bank of Chile.
    RePEc:chb:bcchwp:380.

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32. A filtered no arbitrage model for term structures from noisy data. (2005). Runggaldier, Wolfgang J. ; Jaschke, Stefan R. ; Gombani, Andrea.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:115:y:2005:i:3:p:381-400.

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33. Cyclical risk exposure of pension funds: A theoretical framework. (2005). Menoncin, Francesco.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:36:y:2005:i:3:p:469-484.

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34. Testing affine term structure models in case of transaction costs. (2005). Nijman, Theo ; Melenberg, Bertrand ; Driessen, Joost.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:126:y:2005:i:1:p:201-232.

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35. Simulation-based Bayesian estimation of an affine term structure model. (2005). Martin, Gael ; Sanford, Andrew D..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:49:y:2005:i:2:p:527-554.

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36. Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates. (2004). Fendel, Ralf.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:2290.

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37. Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications. (2004). Wagner, Niklas ; Junker, Markus ; Szimayer, Alexander.
    In: Econometrics.
    RePEc:wpa:wuwpem:0401007.

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38. Simple and extended Kalman filters: an application to term structures of commodity prices. (2004). Lautier, Delphine ; Galli, Alain.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:13:p:963-973.

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39. 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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40. Simple and extended Kalman filters : an application to term structures of commodity prices. (2004). Lautier, Delphine ; Galli, Alain.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/876.

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41. Interest rates as options: assessing the markets view of the liquidity trap. (2003). Bomfim, Antulio.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-45.

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42. Monetary policy and the yield curve. (2003). Bomfim, Antulio.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-15.

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43. Counterparty credit risk in interest rate swaps during times of market stress. (2003). Bomfim, Antulio.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-09.

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44. Mortality Risk and Real Optimal Asset Allocation for Pension Funds. (2003). Scaillet, Olivier ; Menoncin, Francesco.
    In: FAME Research Paper Series.
    RePEc:fam:rpseri:rp101.

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45. Direct estimation of the risk neutral factor dynamics of Gaussian term structure models. (2003). Bams, Dennis ; Schotman, Peter C..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:117:y:2003:i:1:p:179-206.

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46. Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data. (2003). Naranjo, Lorezo ; Cortazar, Gonzalo ; Schwartz, Eduardo S..
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt56h775cz.

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47. Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing. (2003). Brennan, Michael ; Xia, Yihong ; Wang, Ashley W.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt20r0j5t8.

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48. The Kalman filter in finance: An application to term structure models of commodity prices and a comparison between the simple and the extended filters. (2002). Lautier, Delphine.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/9193.

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49. Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate. (2001). Yu, Jun ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1309.

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50. Testing Affine Term Structure Models in Case of Transaction Costs. (2000). Nijman, Theo ; Melenberg, Bertrand ; Driessen, Joost.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0553.

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