Tractable Term Structure Models

References

• Andreasen MM, Christensen BJ (2015) The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models. J. Econometrics 184:420–451.Crossref, Google Scholar
• Banerjee S, Graveline JJ (2013) The cost of short-selling liquid securities. J. Finance 68:637–664.Crossref, Google Scholar
• Bansal R, Tauchen G, Zhou H (2004) Regime shifts, risk premiums in the term structure, and the business cycle. J. Bus. Econom. Statist. 22:396–409.Crossref, Google Scholar
• Bauer M, Rudebusch G (2016) Monetary policy expectations at the zero lower bound. J. Money Credit Banking 48:1439–1465.Crossref, Google Scholar
• Bauer MD, Rudebusch GD (2020) Interest rates under falling stars. Amer. Econom. Rev. 110:1316–1354.Crossref, Google Scholar
• Bjork T, Christensen BJ (1999) Interest rate dynamics and consistent forward rates curves. Math. Finance 9:323–348.Crossref, Google Scholar
• Black F (1995) Interest rates as options. J. Finance 50:1371–1376.Crossref, Google Scholar
• Campbell J, Shiller R (1991) Yield spreads and interest rate movements: A bird’s eye view. Rev. Econom. Stud. 58:495–514.Crossref, Google Scholar
• Christensen JHE, Rudebusch GD (2014) Estimating shadow-rate term structure models with near-zero yields. J. Financial Econom. 13:226–259.Crossref, Google Scholar
• Christensen JH, Diebold FX, Rudebusch GD (2011) The affine arbitrage-free class of Nelson-Siegel term structure models. J. Econometrics 164:4–20.Crossref, Google Scholar
• Cieslak A, Povala P (2016) Information in the term structure of yield curve volatility. J. Finance 71:1393–1436.Crossref, Google Scholar
• Collin-Dufresne P, Goldstein RS (2002) Do bonds span the fixed income markets? Theory and evidence for ‘unspanned’ stochastic volatility. J. Finance 57:1685–1730.Crossref, Google Scholar
• Coroneo L, Nyholm K, Vidova-Koleva R (2011) How arbitrage-free is the Nelson-Siegel model? J. Empirical Finance 18:393–407.Crossref, Google Scholar
• Creal DD, Wu JC (2015) Estimation of affine term structure models with spanned or unspanned stochastic volatility. J. Econometrics 185:60–81.Crossref, Google Scholar
• Dai Q, Singleton K (2000) Specification analysis of affine term structure models. J. Finance 55:1943–1978.Crossref, Google Scholar
• Dai Q, Singleton K (2002) Expectations puzzles, time-varying risk premia, and affine models of the term structure. J. Financial Econom. 63:415–441.Crossref, Google Scholar
• Diebold F, Li C (2006) Forecasting the term structure of government bond yields. J. Econometrics 130:337–364.Crossref, Google Scholar
• Diebold FX, Rudebusch GD (2012) Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach (Princeton University Press, Princeton, NJ).Google Scholar
• Duffee G (2010) Sharpe ratios in term structure models. Working paper, Johns Hopkins University, Baltimore.Google Scholar
• Duffee G (2011) Information in (and not in) the term structure. Rev. Financial Stud. 24:2895–2934.Crossref, Google Scholar
• Duffie D (1996) Special repo rates. J. Finance 51:493–526.Crossref, Google Scholar
• Engle R (1982) Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. Econometrica 50:987–1008.Crossref, Google Scholar
• Engle RF, Kroner KF (1995) Multivariate simultaneous generalized arch. Econometric Theory 11(1):122–150.Google Scholar
• Engle R, Roussellet G, Siriwardane E (2017) Scenario generation for long run interest rate risk assessment. J. Econometrics 201:333–347.Crossref, Google Scholar
• Feunou B, Fontaine J-S (2014) Non-Markov Gaussian term structure models: The case of inflation. Rev. Finance 18:1953–2001.Crossref, Google Scholar
• Filipovic D (1999) A note on the Nelson-Siegel family. Math. Finance 9:349–359.Crossref, Google Scholar
• Filipovic D, Larsson M, Trolle AB (2017) Linear-rational term structure models. J. Finance 72:655–704.Crossref, Google Scholar
• Goliński A, Zaffaroni P (2016) Long memory affine term structure models. J. Econometrics 191:33–56.Crossref, Google Scholar
• Gurkanyak R, Sack B, Wright J (2007) The U.S. Treasury yield curve: 1961 to the present. J. Monetary Econom. 54:2291–2304.Crossref, Google Scholar
• Jacobs K, Karoui L (2009) Conditional volatility in affine term-structure models: Evidence from Treasury and swap markets. J. Financial Econom. 91:288–318.Crossref, Google Scholar
• Joslin S (2018) Can unspanned stochastic volatility models explain the cross section of bond volatilities? Management Sci. 64:1707–1726.Link, Google Scholar
• Joslin S, Le A (2021) Interest rate volatility and no-arbitrage affine term structure models. Management Sci., ePub ahead of print February 23, https://doi.org/10.1287/mnsc.2020.3858.Link, Google Scholar
• Joslin S, Le A, Singleton K (2013) Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs. J. Financial Econom. 109:604–622.Crossref, Google Scholar
• Joslin S, Priebsch M, Singleton KJ (2014) Risk premiums in dynamic term structure models with unspanned macro risks. J. Finance 69:1197–1233.Crossref, Google Scholar
• Joslin S, Singleton K, Zhu H (2011) A new perspective on Gaussian dynamic term structure models. Rev. Financial Stud. 24:926–970.Crossref, Google Scholar
• Kim D, Priebsch MA (2013) The U.S. yield curve at the zero lower bound: Gaussian shadow-rate vs. affine-Gaussian term structure models. Working paper, Federal Reserve Bank of New York, New York.Google Scholar
• Kim DH, Singleton KJ (2012) Term structure models and the zero bound: An empirical investigation of Japanese yields. J. Econometrics 170:32–49.Crossref, Google Scholar
• Kozicki S, Tinsley PA (2001) Shifting endpoints in the term structure of interest rates. J. Monetary Econom. 47:613–652.Crossref, Google Scholar
• Krippner L (2011) Modifying Gaussian term structure models when interest rates are near the zero lower bound. Working paper, Reserve Bank of New Zealand, Wellington, New Zealand.Google Scholar
• Krippner L (2013) A theoretical foundation for the Nelson-Siegel class of yield curve models. J. Appl. Econometrics 30:97–118.Crossref, Google Scholar
• Krishnamurthy A (2002) The bond/old-bond spread. J. Financial Econom. 66:463–506.Crossref, Google Scholar
• Levy H (1992) Stochastic dominance and expected utility: Survey and analysis. Management Sci. 38:555–593.Link, Google Scholar
• Li H, Zhao F (2006) Unspanned stochastic volatility: Evidence from hedging interest rate derivatives. J. Finance 61:341–378.Crossref, Google Scholar
• Monfort A, Pegoraro F, Renne J-P, Roussellet G (2017) Staying at zero with affine processes: An application to term structure modelling. J. Econometrics 201:348–366.Crossref, Google Scholar
• Noureldin D, Shephard N, Sheppard K (2011) Multivariate high-frequency-based volatility (HEAVY) models. J. Appl. Econometrics 27:907–933.Crossref, Google Scholar
• Priebsch M (2013) Computing arbitrage-free yields in multi-factor Gaussian shadow-rate term structure models. Technical report, Finance and Economics Discussion Series, The Federal Reserve Board, Washington, DC.Google Scholar
• Rothschild M, Stiglitz J (1970) Increasing risk: I. A definition. J. Econom. Theory 2:225–243.Crossref, Google Scholar
• Swanson ET, Williams JC (2014) Measuring the effect of the zero lower bound on medium- and longer-term interest rates. Amer. Econom. Rev. 104:3154–3185.Crossref, Google Scholar
• Vayanos D, Weill P-O (2008) A search-based theory of the on-the-run phenomenon. J. Finance 63:1361–1398.Crossref, Google Scholar
• Wu JC, Xia FD (2016) Measuring the macroeconomic impact of monetary policy at the zero lower bound. J. Money Credit Banking 48:253–291.Crossref, Google Scholar