This document has not been cited yet.

1. Ang A, Piazzesi M (2003) A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. J Monetary Econ 50(4):745–787.

2. Bjork T, Christensen BJ (1999) Interest rate dynamics and consistent forward rate curves. Math Finance 9:323–348.

3. Bliss RR (1997) Testing term structure estimation methods. Adv Futures Opt Res 9:197–231.
   Paper not yet in RePEc: Add citation now
   
4. Christensen JHE (2015) A regime-switching model of the yield curve at the zero bound. Federal Reserve Bank of San Francisco Working Paper 2013-34. http://www.frbsf.org/economic-research/publications/working-papers/wp2013-34.pdf .
   Paper not yet in RePEc: Add citation now
   

5. Christensen JHE, Diebold FX, Rudebusch GD (2009) An arbitrage-free generalized Nelson–Siegel term structure model. Econ J 12:33–64.

6. Christensen JHE, Diebold FX, Rudebusch GD (2011) The affine arbitrage-free class of Nelson–Siegel term structure models. J Econom 164:4–20.

7. Dai Q, Singleton KJ (2000) Specification analysis of affine term structure models. J Finance 55:1943–1978.

8. Diebold FX, Li C (2006) Forecasting the term structure of government bond yields. J Econom 130:337–364.

9. Duffie D, Kan R (1996) A yield-factor model of interest rates. Math Finance 6(4):379–406.

10. Duffiee GR (2000) Term premia and interest rates forecasts in affine models. J Finance 57:405–443.
    Paper not yet in RePEc: Add citation now
    

11. Fama E, Bliss R (1987) The information in long-maturity forward rates. Am Econ Rev 77:680–692.

12. Favero CA, Niu L, Sala L (2012) Term structure forecasting: no-arbitrage restrictions versus large information set. J Forecast 31(2):124–156.

13. Gimeno R, Marques JM (2009) Extraction of financial market expectations about inflation and interest rates from a liquid market. Working paper 0906, Banco de Espanha.

14. Hamilton JD (1994) State-space models. In: Engle RF, McFadden DL (eds) Handbook of econometrics. Elsevier, Amsterdam, pp 3041–3080.
    Paper not yet in RePEc: Add citation now
    

15. Hansen PR, Lunde A, Nason JM (2005) A test for superior predictive ability. Econometrica 23:365–380.

16. Hansen PR, Lunde A, Nason JM (2011) The model confidence set. Econometrica 79:453–497.

17. Harvey AC (1989) Forecasting structural time series models and the Kalman filter. Cambridge University Press, Cambridge.
    Paper not yet in RePEc: Add citation now
    

18. Kikuchi K, Shintani K (2012) Comparative analysis of zero coupon yield curve estimation methods using JGB price data. Monetary Econ Stud 30:75–122.

19. Kim D, Singleton K (2012) Term structure models and the zero bound: an empirical investigation of Japanese yields. J Econom 170(1):32–49.

20. Litterman R, Scheinkman JA (1991) Common factors affecting bond returns. J Fixed Income 1(1):62–74.
    Paper not yet in RePEc: Add citation now
    

21. Moench E (2008) Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach. J Econom 146(1):26–43.

22. Nelson CR, Siegel AF (1987) Parsimonious modeling of yield curves. J Bus 60:473–489.

23. Svensson LEO (1995) Estimating forward interest rates with the extended Nelson–Siegel method. Sver Riksbank Q Rev 3:13–26.
    Paper not yet in RePEc: Add citation now
    

24. Ullah W (2017) Term structure forecasting in affine framework with time-varying volatility. Stat Methods Appl 26:453–483.

25. Ullah W, Matsuda Y, Tsukuda Y (2015) Generalized Nelson–Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecast? J Appl Stat 42(4):876–904.
    Paper not yet in RePEc: Add citation now
    

26. Ullah W, Tsukuda Y, Matsuda Y (2013) Term structure forecasting of government bond yields with latent and macroeconomic factors: do macroeconomic factors imply better out-of-sample forecasts? J Forecast 32:702–723.

27. Welch G, Bishop G (2006) An introduction to the Kalman filter. Department of Computer Science, University of North Carolina, Chapel Hill.
    Paper not yet in RePEc: Add citation now
    

1. Specification Analysis of International Treasury Yield Curve Factors. (2014). Tiozzo Pezzoli, Luca ; Pegoraro, Fulvio ; Siegel, A. F..
   In: Working papers.
   RePEc:bfr:banfra:490.

   Full description at Econpapers || Download paper

2. Bond Risk Premia and Gaussian Term Structure Models. (2014). Fontaine, Jean-Sebastien ; Feunou, Bruno.
   In: Staff Working Papers.
   RePEc:bca:bocawp:14-13.

   Full description at Econpapers || Download paper

3. The Euro-dividend: public debt and interest rates in the Monetary Union. (2010). Salotti, Simone ; Marattin, Luigi.
   In: Working Papers.
   RePEc:bol:bodewp:695.

   Full description at Econpapers || Download paper

4. Challenges in macro-finance modeling. (2008). Kim, Don.
   In: Finance and Economics Discussion Series.
   RePEc:fip:fedgfe:2008-06.

   Full description at Econpapers || Download paper

5. Examining the bond premium puzzle with a DSGE model. (2008). Swanson, Eric ; Rudebusch, Glenn.
   In: Working Paper Series.
   RePEc:fip:fedfwp:2007-25.

   Full description at Econpapers || Download paper

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, .
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20070095.

   Full description at Econpapers || Download paper

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.
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20070028.

   Full description at Econpapers || Download paper

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.
   In: MPRA Paper.
   RePEc:pra:mprapa:2512.

   Full description at Econpapers || Download paper

9. The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models. (2007). Rudebusch, Glenn ; Diebold, Francis ; Christensen, Jens ; Jens H. E. Christensen, .
   In: PIER Working Paper Archive.
   RePEc:pen:papers:07-029.

   Full description at Econpapers || Download paper

10. The Long and the Short End of the Term Structure of Policy Rules. (2007). Taylor, John ; Smith, Josephine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13635.

    Full description at Econpapers || Download paper

11. The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models. (2007). Rudebusch, Glenn ; Diebold, Francis ; Christensen, Jens ; Jens H. E. Christensen, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13611.

    Full description at Econpapers || Download paper

12. Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach. (2007). Yue, Vivian ; Diebold, Francis ; Li, Canlin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13588.

    Full description at Econpapers || Download paper

13. No-Arbitrage Taylor Rules. (2007). Piazzesi, Monika ; Dong, Sen ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13448.

    Full description at Econpapers || Download paper

14. Cracking the Conundrum. (2007). Wright, Jonathan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13419.

    Full description at Econpapers || Download paper

15. Mortgage Timing. (2007). Van Nieuwerburgh, Stijn ; koijen, ralph ; Ralph S. J Koijen, ; van Hemert, Otto .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13361.

    Full description at Econpapers || Download paper

16. Predictive Systems: Living with Imperfect Predictors. (2007). Stambaugh, Robert ; Pastor, Lubos.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12814.

    Full description at Econpapers || Download paper

17. Macro volatility in a model of the UK Gilt edged bond market. (2007). Spencer, Peter.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
    RePEc:mmf:mmfc06:73.

    Full description at Econpapers || Download paper

18. Term Structure Forecasting: No-arbitrage Restrictions vs. Large Information Set. (2007). Sala, Luca ; Niu, Linlin ; Favero, Carlo.
    In: Working Papers.
    RePEc:igi:igierp:318.

    Full description at Econpapers || Download paper

19. Forecasts of U.S. short-term interest rates: a flexible forecast combination approach. (2007). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-059.

    Full description at Econpapers || Download paper

20. Arbitrage-free bond pricing with dynamic macroeconomic models. (2007). Zin, Stanley ; Palomino, Francisco ; Hollifield, Burton ; Gallmeyer, Michael.
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:305-326:n:v.89no.4.

    Full description at Econpapers || Download paper

21. Commentary on \\Macroeconomic implications of changes in the term premium\\. (2007). Cochrane, John.
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:271-282:n:v.89no.4.

    Full description at Econpapers || Download paper

22. Macroeconomic implications of changes in the term premium. (2007). Swanson, Eric ; Rudebusch, Glenn ; Sack, Brian P..
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:241-270:n:v.89no.4.

    Full description at Econpapers || Download paper

23. What does the yield curve tell us about the Federal Reserves implicit inflation target?. (2007). Doh, Taeyoung.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp07-10.

    Full description at Econpapers || Download paper

24. On forecasting the term structure of credit spreads. (2007). Thomson, James ; Ritchken, Peter H. ; C. N. V. Krishnan, .
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0705.

    Full description at Econpapers || Download paper

25. The role of no-arbitrage on forecasting: lessons from a parametric term structure model. (2007). Vicente, José Valentim ; Almeida, Caio.
    In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:657.

    Full description at Econpapers || Download paper

26. Inflation risk premia in the term structure of interest rates. (2007). Tristani, Oreste ; Hördahl, Peter ; Hordahl, Peter.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2007734.

    Full description at Econpapers || Download paper

27. Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set. (2007). Sala, Luca ; Niu, Linlin ; Favero, Carlo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6206.

    Full description at Econpapers || Download paper

28. An affine macro-factor model of the UK yield curve. (2007). Lildholdt, Peter ; Panigirtzoglou, Nikolaos ; Peacock, Chris .
    In: Bank of England working papers.
    RePEc:boe:boeewp:322.

    Full description at Econpapers || Download paper

29. Term Structure Transmission of Monetary Policy. (2007). Kozicki, Sharon.
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-30.

    Full description at Econpapers || Download paper

30. A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate. (2007). Yang, Jun ; Chabi-Yo, Fousseni.
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-21.

    Full description at Econpapers || Download paper

31. IMPACT OF MACRO SHOCKS ON SOVEREIGN DEFAULT PROBABILITIES. (2007). Matsumura, Marco S..
    In: Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting].
    RePEc:anp:en2007:060.

    Full description at Econpapers || Download paper

32. The relative importance of Term Spread, Policy Inertia and Persistent Monetary Policy Shocks in Monetary Policy Rules. (2006). Vázquez, Jesús.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:6.

    Full description at Econpapers || Download paper

33. The term structure of inflation risk premia and macroeconomic dynamics. (2006). Vestin, David ; Tristani, Oreste ; Hördahl, Peter ; Hrdahl, Peter.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:203.

    Full description at Econpapers || Download paper

34. Macroeconomic Models and the Yield Curve. (2006). Holly, Sean ; Chadha, Jagjit.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:105.

    Full description at Econpapers || Download paper

35. A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration. (2006). Diebold, Francis ; Ji, Lei ; Li, Canlin.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:06-017.

    Full description at Econpapers || Download paper

36. A joint model for the term structure of interest rates and the macroeconomy. (2006). Maes, Konstantijn ; Lyrio, Marco ; Dewachter, Hans.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:21:y:2006:i:4:p:439-462.

    Full description at Econpapers || Download paper

37. Extracting inflation expectations from the term structure: the Fisher equation in a multivariate SDF framework. (2006). Wickens, Michael ; Balfoussia, Hiona.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:11:y:2006:i:3:p:261-277.

    Full description at Econpapers || Download paper

38. How professional forecasters view shocks to GDP. (2006). Krane, Spencer.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-06-19.

    Full description at Econpapers || Download paper

39. Macroeconomic implications of changes in the term premium. (2006). Swanson, Eric ; Rudebusch, Glenn ; Sack, Brian P..
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-46.

    Full description at Econpapers || Download paper

40. The bond yield \conundrum\ from a macro-finance perspective. (2006). Wu, Tao ; Swanson, Eric ; Rudebusch, Glenn.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-16.

    Full description at Econpapers || Download paper

41. A factor risk model with reference returns for the US dollar and Japanese yen bond markets. (2006). Nyholm, Ken ; Coche, Joachim ; Bernadell, Carlos .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006641.

    Full description at Econpapers || Download paper

42. New-Keynesian Macroeconomics and the Term Structure. (2006). Moreno, Antonio ; Cho, Seonghoon ; Bekaert, Geert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5956.

    Full description at Econpapers || Download paper

43. Macroeconomic Models and the Yield Curve: An assessment of the Fit. (2006). Holly, Sean ; Chadha, Jagjit.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0640.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

45. Can Affine Term Structure Models Help Us Predict Exchange Rates?. (2006). Diez de los Rios, Antonio.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-27.

    Full description at Econpapers || Download paper

46. The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields. (2005). Valente, Giorgio ; Thornton, Daniel ; Sarno, Lucio.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5259.

    Full description at Econpapers || Download paper

47. 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.

    Full description at Econpapers || Download paper

48. 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.

    Full description at Econpapers || Download paper

49. Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model. (2004). Ichiue, Hibiki.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:581.

    Full description at Econpapers || Download paper

50. Modeling Yield-Factor Volatility. (2004). Smith, Daniel ; Parignon, Christophe.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:307.

    Full description at Econpapers || Download paper

Report date: 2025-10-04 01:48:37 || Missing content? Let us know