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Journal of econometrics
NBER working paper series
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211
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140
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51
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1
Real-time Bayesian learning and bond return predictability
Wan, Runqing
;
Fulop, Andras
;
Li, Junye
- In:
Journal of econometrics
230
(
2022
)
1
,
pp. 114-130
Persistent link: https://www.econbiz.de/10013441922
Saved in:
2
Affine arbitrage-free yield net models with application to the euro debt crisis
Hong, Zhiwu
;
Niu, Linlin
;
Zhang, Chen
- In:
Journal of econometrics
230
(
2022
)
1
,
pp. 201-220
Persistent link: https://www.econbiz.de/10013441937
Saved in:
3
Monetary reforms and inflation expectations in Japan : evidence from inflation-indexed bonds
Christensen, Jens H. E.
;
Spiegel, Mark
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 410-431
Persistent link: https://www.econbiz.de/10013464829
Saved in:
4
Estimation of a nonparametric model for bond prices from cross-section and time series information
Koo, Bonsoo
;
La Vecchia, Davide
;
Linton, Oliver
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 562-588
Persistent link: https://www.econbiz.de/10012618568
Saved in:
5
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing
;
Ke, Yuan
;
Liao, Yuan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
Saved in:
6
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine
;
Karamann, Mustafa
;
Mancini, Loriano
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
Saved in:
7
Term structure analysis with big data : one-step estimation using bond prices
Andreasen, Martin Møller
;
Christensen, Jens H. E.
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 26-46
Persistent link: https://www.econbiz.de/10012303862
Saved in:
8
Scenario generation for long run interest rate risk assessment
Engle, Robert F.
;
Roussellet, Guillaume
;
Siriwardane, …
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 333-347
Persistent link: https://www.econbiz.de/10011920512
Saved in:
9
Staying at zero with affine processes : an application to term structure modelling
Monfort, Alain
;
Pegoraro, Fulvio
;
Renne, Jean-Paul
; …
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 348-366
Persistent link: https://www.econbiz.de/10011920515
Saved in:
10
Long memory affine term structure models
Goliński, Adam
;
Zaffaroni, Paolo
- In:
Journal of econometrics
191
(
2016
)
1
,
pp. 33-56
Persistent link: https://www.econbiz.de/10011594312
Saved in:
11
Local-momentum autoregression and the modeling of interest rate term structure
Duan, Jin-Chuan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 349-359
Persistent link: https://www.econbiz.de/10011705201
Saved in:
12
The SR approach : a new estimation procedure for non-linear and non-Gaussian dynamic term structure models
Andreasen, Martin Møller
;
Christensen, Bent Jesper
- In:
Journal of econometrics
184
(
2015
)
2
,
pp. 420-451
Persistent link: https://www.econbiz.de/10011339282
Saved in:
13
Estimation of affine term structure models with spanned or unspanned stochastic volatility
Creal, Drew
;
Wu, Jing Cynthia
- In:
Journal of econometrics
185
(
2015
)
1
,
pp. 60-81
Persistent link: https://www.econbiz.de/10011339903
Saved in:
14
Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang
;
Zheng, Xu
;
Pan, Zhiyuan
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
Saved in:
15
Quasi-likelihood estimation of a threshold diffusion process
Su, Fei
;
Chan, Kung-sik
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 473-484
Persistent link: https://www.econbiz.de/10011504631
Saved in:
16
Pricing with finite dimensional dependence
Gouriéroux, Christian
;
Monfort, Alain
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 408-417
Persistent link: https://www.econbiz.de/10011499694
Saved in:
17
Adaptive dynamic Nelson–Siegel term structure model with applications
Chen, Ying
;
Niu, Linlin
- In:
Journal of econometrics
180
(
2014
)
1
,
pp. 98-115
Persistent link: https://www.econbiz.de/10010379478
Saved in:
18
Testable implications of affine term structure models
Hamilton, James D.
;
Wu, Jing Cynthia
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 231-242
Persistent link: https://www.econbiz.de/10010256167
Saved in:
19
Pricing default events : surprise, exogeneity and contagion
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
Journal of econometrics
182
(
2014
)
2
,
pp. 397-411
Persistent link: https://www.econbiz.de/10010497742
Saved in:
20
Modelling and forecasting government bond spreads in the euro area : a GVAR model
Favero, Carlo A.
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 343-356
Persistent link: https://www.econbiz.de/10010255139
Saved in:
21
Monetary policy regimes and the term structure of interest rates
Bikbov, Ruslan
;
Chernov, Mikhail
- In:
Journal of econometrics
174
(
2013
)
1
,
pp. 27-43
Persistent link: https://www.econbiz.de/10009737236
Saved in:
22
Term structure models and the zero bound : an empirical investigation of Japanese yields
Kim, Don H.
;
Singleton, Kenneth J.
- In:
Journal of econometrics
170
(
2012
)
1
,
pp. 32-49
Persistent link: https://www.econbiz.de/10009673160
Saved in:
23
Identification and estimation of Gaussian affine term structure models
Hamilton, James D.
;
Wu, Jing Cynthia
- In:
Journal of econometrics
168
(
2012
)
2
,
pp. 315-331
Persistent link: https://www.econbiz.de/10009612732
Saved in:
24
How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
Carriero, Andrea
;
Giacomini, Raffaella
- In:
Journal of econometrics
164
(
2011
)
1
,
pp. 21-34
Persistent link: https://www.econbiz.de/10009270416
Saved in:
25
The affine arbitrage-free class of Nelson-Siegel term structure models
Christensen, Jens H. E.
;
Diebold, Francis X.
; …
- In:
Journal of econometrics
164
(
2011
)
1
,
pp. 4-20
Persistent link: https://www.econbiz.de/10009270418
Saved in:
26
A tale of two yield curves : modeling the joint term structure of dollar and euro interest rates
Egorov, Alexej V.
;
Li, Haitao
;
Ng, David Tat-chee
- In:
Journal of econometrics
162
(
2011
)
1
,
pp. 55-70
Persistent link: https://www.econbiz.de/10009270706
Saved in:
27
Intelligible factors for the yield curve
Lengwiler, Yvan
;
Lenz, Carlos
- In:
Journal of econometrics
157
(
2010
)
2
,
pp. 481-491
Persistent link: https://www.econbiz.de/10008662977
Saved in:
28
No-arbitrage macroeconomic determinants of the yield curve
Bikbov, Ruslan
;
Chernov, Mikhail
- In:
Journal of econometrics
159
(
2010
)
1
,
pp. 166-182
Persistent link: https://www.econbiz.de/10008839932
Saved in:
29
Realized jumps on financial markets and predicting credit spreads
Tauchen, George Eugene
;
Zhou, Hao
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 102-118
Persistent link: https://www.econbiz.de/10009242533
Saved in:
30
Threshold estimation of Markov models with jumps and interest rate modeling
Mancini, Cecilia
;
Renò, Roberto
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 77-92
Persistent link: https://www.econbiz.de/10009242541
Saved in:
31
Nonparametric cointegration analysis of fractional systems with unknown integration orders
Nielsen, Morten Ørregaard
- In:
Journal of econometrics
155
(
2010
)
2
,
pp. 170-187
Persistent link: https://www.econbiz.de/10003966977
Saved in:
32
Global yield curve dynamics and interactions : a dynamic Nelson-Siegel approach
Diebold, Francis X.
;
Li, Canlin
;
Yue, Vivian Z.
- In:
Journal of econometrics
146
(
2008
)
2
,
pp. 351-363
Persistent link: https://www.econbiz.de/10003782998
Saved in:
33
Forecasting the yield curve in a data-rich environment : a no-arbitrage factor-augmented VAR approach
Mönch, Emanuel
- In:
Journal of econometrics
146
(
2008
)
1
,
pp. 26-43
Persistent link: https://www.econbiz.de/10003778196
Saved in:
34
Adaptive consistent unit-root test based on autoregressive threshold model
Bec, Frédérique
;
Guay, Alain
;
Guerre, Emmanuel
- In:
Journal of econometrics
142
(
2008
)
1
,
pp. 94-133
Persistent link: https://www.econbiz.de/10003608129
Saved in:
35
Forecasting the term structure of government bond yields
Diebold, Francis X.
;
Li, Canlin
- In:
Journal of econometrics
130
(
2006
)
2
,
pp. 337-364
Persistent link: https://www.econbiz.de/10003277971
Saved in:
36
Testing for short- and long-run causality : a frequency-domain approach
Breitung, Jörg
;
Candelon, Bertrand
- In:
Journal of econometrics
132
(
2006
)
2
,
pp. 363-378
Persistent link: https://www.econbiz.de/10003348759
Saved in:
37
Validating forecasts of the joint probability density of bond yields : can affine models beat random walk?
Egorov, Alexej V.
;
Hong, Yongmiao
;
Li, Haitao
- In:
Journal of econometrics
135
(
2006
)
1/2
,
pp. 255-284
Persistent link: https://www.econbiz.de/10003376084
Saved in:
38
Term structure of risk under alternative econometric specifications
Guidolin, Massimo
;
Timmermann, Allan
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 285-308
Persistent link: https://www.econbiz.de/10003298584
Saved in:
39
The macroeconomy and the yield curve: a dynamic latent factor approach
Diebold, Francis X.
;
Rudebusch, Glenn D.
;
Aruoba, S. …
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 309-338
Persistent link: https://www.econbiz.de/10003298588
Saved in:
40
Financial factors, macroeconomic information and the expectations theory of the term structure of interest rates
Carriero, Andrea
;
Favero, Carlo A.
;
Kaminska, Iryna
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 339-358
Persistent link: https://www.econbiz.de/10003298590
Saved in:
41
What does the yield curve tell us about GDP growth?
Ang, Andrew
;
Piazzesi, Monika
;
Wei, Min
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 359-403
Persistent link: https://www.econbiz.de/10003298594
Saved in:
42
A joint econometric model of macroeconomic and term-structure dynamics
Hördahl, Peter
;
Tristani, Oreste
;
Vestin, David
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 405-444
Persistent link: https://www.econbiz.de/10003298603
Saved in:
43
Introduction to m-m processes
Granger, C. W. J.
;
Hyung, Namwon
- In:
Journal of econometrics
130
(
2006
)
1
,
pp. 143-164
Persistent link: https://www.econbiz.de/10003228633
Saved in:
44
Testing affine term structure models in case of transaction costs
Driessen, Joost
;
Melenberg, Bertrand
;
Nijman, Theodore E.
- In:
Journal of econometrics
126
(
2005
)
1
,
pp. 201-232
Persistent link: https://www.econbiz.de/10002538651
Saved in:
45
Direct estimation of the risk neutral factor dynamcis of Gaussian term structure models
Bams, Dennis
;
Schotman, Peter C.
- In:
Journal of econometrics
117
(
2003
)
1
,
pp. 179-206
Persistent link: https://www.econbiz.de/10001787610
Saved in:
46
An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
Jagannathan, Ravi
;
Kaplin, Andrew
;
Sun, Steve
- In:
Journal of econometrics
116
(
2003
)
1/2
,
pp. 113-146
Persistent link: https://www.econbiz.de/10001772145
Saved in:
47
Purebred or hybrid? : reproducing the volatility in term structure dynamics
Ahn, Dong-Hyun
;
Dittmar, Robert F.
;
Gallant, A. Ronald
; …
- In:
Journal of econometrics
116
(
2003
)
1/2
,
pp. 147-180
Persistent link: https://www.econbiz.de/10001772146
Saved in:
48
Testing for two-regime threshold cointegration in vector error-correction models
Hansen, Bruce E.
;
Seo, Byeongseon
- In:
Journal of econometrics
110
(
2002
)
2
,
pp. 293-318
Persistent link: https://www.econbiz.de/10001703515
Saved in:
49
The surprise element: jumps in interest rates
Das, Sanjiv R.
- In:
Journal of econometrics
106
(
2002
)
1
,
pp. 27-65
Persistent link: https://www.econbiz.de/10001633688
Saved in:
50
On the power of tests for superexogeneity and structural invariance
Psaradakis, Zacharias G.
- In:
Journal of econometrics
72
(
1996
)
1
,
pp. 151-175
Persistent link: https://www.econbiz.de/10001198020
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