Adrian, T. ; Crump, R.K. ; Moench, E. Pricing the term structure with linear regressions. 2013 J. Financ. Econ.. 110 110-138
Andersen, T.G. ; Benzoni, L. Do bonds span volatility risk in the U.S. treasury market? A specification test for affine term structure models. 2010 J. Finance. 65 603-653
Andersen, T.G. ; Bollerslev, T. ; Diebold, F.X. ; Labys, P. Modeling and forecasting realized volatility. 2003 Econometrica. 71 579-625
Andersen, T.G. ; Bollerslev, T. ; Diebold, F.X. ; Labys, P. The distribution of realized exchange rate volatility. 2001 J. Amer. Statist. Assoc.. 96 42-55
Andersen, T.G. ; Bollerslev, T. ; Meddahi, N. Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities. 2005 Econometrica. 73 279-296
Andreasen, M.M. ; Engsted, T. ; Møller, S.V. ; Sander, M. The yield spread and bond return predictability in expansions and recessions. 2021 Rev. Financ. Stud.. 34 2773-2812
Ang, A. ; Piazzesi, M. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. 2003 J. Monetary Econ.. 50 745-787
Bauer, M.D. ; Hamilton, J.D. Robust bond risk premia. 2018 Rev. Financ. Stud.. 31 399-448
Bauer, M.D. ; Pflueger, C. ; Sunderam, A. Perceptions about monetary policy. 2024 Q. J. Econ.. 139 2227-2278
- Bauer, M.D. ; Rudebusch, G.D. Monetary policy expectations at the zero lower bound monetary policy expectations at the zero lower bound. 2016 J. Money Credit Bank.. 48 1439-1465
Paper not yet in RePEc: Add citation now
- Bauer, M.D. ; Rudebusch, G.D. Resolving the spanning puzzle in macro-finance term structure models. 2016 Rev. Financ.. 21 511-553
Paper not yet in RePEc: Add citation now
Bekaert, G. ; Engstrom, E. ; Ermolov, A. Macro risks and the term structure of interest rates. 2021 J. Financ. Econ.. 141 479-504
- Bertsch, C., Hull, I., Lumsdaine, R.L., Zhang, X., 2022. Central Bank Mandates and Monetary Policy Stances: through the Lens of Federal Reserve Speeches. Sveriges Riksbank Working Paper, 417.
Paper not yet in RePEc: Add citation now
Bikbov, R. ; Chernov, M. No-arbitrage macroeconomic determinants of the yield curve. 2010 J. Econometrics. 159 166-182
Bloom, N. ; Floetotto, M. ; Jaimovich, N. ; Itay-Saporta-Eksten, X. ; Terry, S.J. Really uncertain business cycles. 2018 Econometrica. 86 1031-1065
Boivin, J. ; Giannoni, M.P. Has monetary policy become more effective?. 2006 Rev. Econ. Stat.. 88 445-462
Campbell, J.Y. ; Sunderam, A. ; Viceira, L.M. Inflation bets or deflation hedges? The changing risks of nominal bonds. 2017 Crit. Financ. Rev.. 6 263-301
Choi, H. ; Mueller, P. ; Vedolin, A. Bond variance risk premiums. 2017 Rev. Financ.. 987–1022 -
Christensen, J. ; Rudebusch, G. The response of interest rates to U.S. and U.K. quantitative easing. 2012 Econom. J.. 122 F385-F414
Cieslak, A. ; Povala, P. Information in the term structure of yield curve volatility. 2016 J. Finance. 71 1393-1436
Collin-Dufresne, P. ; Goldstein, R.S. Do bonds span the fixed income markets? Theory and evidence for unspanned stochastic volatility. 2002 J. Finance. 57 1685-1730
Coroneo, L. ; Giannone, D. ; Modugno, M. Unspanned macroeconomic factors in the yield curve. 2016 J. Bus. Econom. Statist.. 34 472-485
Creal, D.D. ; Wu, J.C. Monetary policy uncertainty and economic fluctuations. 2017 Internat. Econom. Rev.. 58 1317-1354
Dai, Q. ; Singleton, K.J. Expectation puzzles, time-varying risk premia, and affine models of the term structure. 2002 J. Financ. Econ.. 63 415-441
Deuskar, P. ; Gupta, A. ; Subrahmanyam, M.G. The economic determinants of interest rate option smiles. 2008 J. Bank. Financ.. 32 714-728
Diebold, F.X. ; Mariano, R.S. Comparing predictive accuracy. 1995 J. Bus. Econom. Statist.. 13 253-263
Diebold, F.X. ; Rudebusch, G.D. ; Aruoba, S.B. The macroeconomy and the yield curve: A dynamic latent factor approach. 2006 J. Econometrics. 131 309-338
Doshi, H. ; Jacobs, K. ; Liu, R. Macroeconomic determinants of the term structure: Long-run and short-run dynamics. 2018 J. Empir. Financ.. 48 99-122
Doshi, H. ; Jacobs, K. ; Liu, R. Modeling volatility in dynamic term structure models. 2024 J. Financ. Econ.. 161 -
Duffee, G.R. Expected inflation and other determinants of treasury yields. 2018 J. Finance. 73 2139-2180
Engle, R. Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. 2002 J. Bus. Econom. Statist.. 20 339-350
Engle, R.F. ; Kroner, K.F. Multivariate simultaneous generalized ARCH. 1995 Econometric Theory. 11 122-150
Gürkaynak, R.S. ; Sack, B. ; Wright, J.H. The U.S. treasury yield curve: 1961 to the present. 2007 J. Monetary Econ.. 54 2291-2304
- Hansen, A.L. A joint model for the term structure of interest rates and realized volatility. 2023 J. Financ. Econom.. 21 1196-1227
Paper not yet in RePEc: Add citation now
Haubrich, J. ; Pennacchi, G. ; Ritchken, P. Inflation expectations, real rates, and risk premia: Evidence from inflation swaps. 2012 Rev. Financ. Stud.. 25 1588-1629
Jacobs, K. ; Karoui, L. Conditional volatility in affine term-structure models: Evidence from treasury and swap markets. 2009 J. Financ. Econ.. 91 288-318
Jardet, C. ; Monfort, A. ; Pegoraro, F. No-arbitrage near-cointegrated VAR(p) term structure models, term premia and GDP growth. 2013 J. Bank. Financ.. 37 389-402
Joslin, S. Can unspanned stochastic volatility models explain the cross section of bond volatilities?. 2018 Manage. Sci.. 64 1707-1726
Joslin, S. ; Konchitchki, Y. Interest rate volatility, the yield curve, and the macroeconomy. 2018 J. Financ. Econ.. 128 344-362
Joslin, S. ; Le, A. ; Singleton, K.J. Gaussian macro-finance term structure models with lags. 2013 J. Financ. Econom.. 11 581-609
Joslin, S. ; Le, A. ; Singleton, K.J. Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs. 2013 J. Financ. Econ.. 109 604-622
Joslin, S. ; Priebsch, M. ; Singleton, K.J. Risk premiums in dynamic term structure models with unspanned macro risks. 2014 J. Finance. 69 1197-1233
Joslin, S. ; Singleton, K.J. ; Zhu, H. A new perspective on Gaussian dynamic term structure models. 2011 Rev. Financ. Stud.. 24 926-970
- Kim, D.H. ; Wright, J.H. An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates. 2011 En : Federal Reserve Board: Finance and Economics Discussion Series. :
Paper not yet in RePEc: Add citation now
Koeda, J. ; Kato, R. The role of uncertainty in the term structure of interest rates: A GARCH-ATSM approach. 2015 Appl. Econ.. 47 3710-3722
Le, A. ; Singleton, K.J. ; Dai, Q. Discrete-time affine term structure models with generalized market prices of risk. 2010 Rev. Financ. Stud.. 23 2184-2227
- Litterman, R. ; Scheinkman, J. Common factors affecting bond returns. 1991 J. Fixed Income. 1 54-61
Paper not yet in RePEc: Add citation now
Mincer, J. ; Zarnowitz, V. The evaluation of economic forecasts. 1969 En : Mincer, J. Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance. Columbia University Press: New York
Moench, E. ; Soofi-Siavash, S. What moves treasury yields?. 2022 J. Financ. Econ.. 146 1016-1043
Monfort, A. ; Pegoraro, F. Asset pricing with second-order esscher transforms. 2012 J. Bank. Financ.. 36 1678-1687
Monfort, A. ; Pegoraro, F. ; Renne, J.-P. ; Roussellet, G. Staying at zero with affine processes: An application to term structure modelling. 2017 J. Econometrics. 201 348-366
Nikolsko-Rzhevskyy, A. ; Papell, D.H. ; Prodan, R. Deviations from rules-based policy and their effects. 2014 J. Econom. Dynam. Control. 49 4-17
Sims, C.A. ; Zha, T. Were there regime switches in U.S. monetary policy?. 2006 Amer. Econ. Rev.. 96 54-81
- Trolle, A.B. ; Schwartz, E.S. The swaption cube. 2014 Rev. Financ. Stud.. 27 2307-2353
Paper not yet in RePEc: Add citation now
Uhlig, H. What are the effects of monetary policy on output? Results from an agnostic identification procedure. 2005 J. Monetary Econ.. 52 381-419
- van der Wel, M., Zhang, Y., 2022. Global Evidence on Unspanned Macro Risks in Dynamic Term Structure Models. Working Paper.
Paper not yet in RePEc: Add citation now
Wu, J.C. ; Xia, F.D. Measuring the macroeconomic impact of monetary policy at the zero lower bound. 2016 J. Money Credit Bank.. 48 253-291