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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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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
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Nonlinear interest rate dynamics and implications for the term structure
Pfann, Gerard A.; Schotman, Peter C.; Tschernig, Rolf - In: Journal of econometrics 74 (1996) 1, pp. 149-176
Persistent link: https://www.econbiz.de/10001755396
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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
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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
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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
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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
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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
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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
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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