1. Empirical performance of Gaussian affine dynamic term structure models in the presence of autocorrelation misspecification bias. (2018). Juneja, Januj.
   In: Review of Quantitative Finance and Accounting.
   RePEc:kap:rqfnac:v:50:y:2018:i:3:d:10.1007_s11156-017-0643-z.

   Full description at Econpapers || Download paper

2. An evaluation of alternative methods used in the estimation of Gaussian term structure models. (2015). Juneja, Januj.
   In: Review of Quantitative Finance and Accounting.
   RePEc:kap:rqfnac:v:44:y:2015:i:1:p:1-24.

   Full description at Econpapers || Download paper

1. Alonso, F., R. Blanco., A. Del Rio and A. Sanchis, “Estimating Liquidity Premia in Spanish Government Securities Market.” European Journal of Finance 10, 453-474, (December 2004).

2. Bliss, R.R., “Testing Term Structure Estimation Methods.” Advances in Futures and Option Research 9, 197-232, ( June 1997).
   Paper not yet in RePEc: Add citation now
   

3. Bolder, D.J. and D. Streliski, “Yield Curve Modelling at the Bank of Canada.” Bank of Canada Technical Report 84, (February 1999).

4. Darbha, G., “Estimating the Benchmark Yield Curve: A New Approach Using Stochastic Frontier Functions.” Working Paper, Rodney L. White Center for Financial Research, (March 2004)
   Paper not yet in RePEc: Add citation now
   

5. Diaz, A., J. Merrick, Jr., and E. Navarro, “Spanish Treasury Bond Market Liquidity and Volatility pre- and post-European Monetary Union.” Journal of Banking and Finance 30, 1309-1332, (April 2006).

6. Diebold, F. and C. Li, “Forecasting the Term Structure of Government Bond Yields,” Journal of Econometrics 130(2), 337-364, (February 2006).

7. Duffee, G., “Term Premia and Interest Rate Forecasts in Affine Models.” Journal of Finance 57(1), 405-443, (February 2002).

8. Duffie, D. and K. Singleton, “An Econometric Model of the Term Structure of Interest-Rate Swap Yields.” Journal of Finance 52(4), 1287-1321, (September 1997).

9. Dutta, G., S. Basu and K. Vaidyanathan, “Term Structure Estimation in Illiquid Government Bond Markets: An Empirical Analysis.” Journal of Emerging Market Finance 4, 63-80, (April 2005).
   Paper not yet in RePEc: Add citation now
   

10. Elton, E.J. and T.C. Green, “Tax and Liquidity Effects in Pricing Government Bonds.” Journal of Finance, 53(5), 1532-1562, (October 1998).

11. Eom, Y., M. Subrahmanyam, and J. Uno, “Transmission of Swap Spreads and Volatilities in the Japanese Swap Market.” Journal of Fixed Income 12, 6-28, (June 2002).
    Paper not yet in RePEc: Add citation now
    

12. Fisher, M., D. Nychka, and D. Zervos, “Fitting the Term Structure of Interest Rates with Smoothing Splines.” Working Paper, 95-1, Finance and Economics Discussion Series, Federal Reserve Board, (January 1995).

13. Fleming, M., “Measuring Treasury Market Liquidity.” FBNY Economic Policy Review 83-108, (September 2003).

14. Goldreich, D., B. Hanke, and P. Nath, “The Price of Future Liquidity: Time-Varying Liquidity in the US Treasury Market.” Review of Finance 9, 1-32, (March 2005).

15. Liu, J., Longstaff, F.A., and R.E. Mandell, “The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks.” Journal of Business, 79(5), 2337-2359, (September 2006).

16. Longstaff, F.A., “The Flight-To-Liquidity Premium in U.S. Treasury Bond Prices.” Journal of Business 77(3) 511-526, (July 2004)..
    Paper not yet in RePEc: Add citation now
    

17. McCulloch, J.H., “Measure the Term Structure of Interest Rates.” Journal of Business, 44(1), 19-31, (January 1971).

18. Nelson, C.R. and A.F. Siegel, “Parsimonious Modeling of Yield Curves.” Journal of Business 60(4), 473-489, (October 1987).

19. Steeley, J.M., “Estimating the Gilt-Edged Term Structure: Basis Splines and Confidence Intervals.” Journal of Business Finance and Accounting, 18(4), 513-529, (June 1991).
    Paper not yet in RePEc: Add citation now
    
20. Subramanian, K.V., “Term Structure Estimation in Illiquid Markets.” Journal of Fixed Income 11, 2, 77-86, (June 2001).
    Paper not yet in RePEc: Add citation now
    
21. Svensson, L.O. “Estimating Forward Interest Rates with the Extended Nelson and Siegel Method.” Sveriges Riksbank Quarterly Review 3, 13-26, (September 1995).
    Paper not yet in RePEc: Add citation now
    
22. Vayanos, D. and T. Wang, “Search and Endogenous Concentration of Liquidity in Asset Markets.” Journal of Economic Theory forthcoming, (2007).
    Paper not yet in RePEc: Add citation now
    
23. Waggoner, F.D., “Spline methods for extracting interest rate curves from coupon bond prices.” Working Paper 97-10, Federal Reserve Bank of Atlanta, (November 1997).
    Paper not yet in RePEc: Add citation now
    
24. Yuan, K., “The Liquidity Service of Benchmark Securities.” Journal of the European Economic Assosication 3(5), 1156-1180, (September 2005).
    Paper not yet in RePEc: Add citation now
    

1. A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions. (2022). Schurle, Michael ; Paraschiv, Florentina ; Wahlstrom, Ranik Raaen.
   In: Computational Economics.
   RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10113-w.

   Full description at Econpapers || Download paper

2. Constructing the Yield Curve for Sri Lankas Government Bond Market. (2021). Pathirannehelage, Kangara ; Liyanage, Dewundara.
   In: International Journal of Business and Economic Affairs (IJBEA).
   RePEc:aya:ijbeaa:2021:p:56-69.

   Full description at Econpapers || Download paper

3. Extracting global factors from local yield curves. (2019). Stagnol, Lauren.
   In: Journal of Asset Management.
   RePEc:pal:assmgt:v:20:y:2019:i:5:d:10.1057_s41260-019-00126-4.

   Full description at Econpapers || Download paper

4. Modifying Hybrid Optimisation Algorithms to Construct Spot Term Structure of Interest Rates and Proposing a Standardised Assessment. (2019). Husodo, Zaafri Ananto ; Wibowo, Buddi ; Utama, Cynthia Afriani ; Sasongko, Aryo.
   In: Computational Economics.
   RePEc:kap:compec:v:54:y:2019:i:3:d:10.1007_s10614-018-9848-z.

   Full description at Econpapers || Download paper

5. Estimation of the yield curve for Costa Rica using combinatorial optimization metaheuristics applied to nonlinear regression. (2019). Trejos-Zelaya, Javier ; Quiros-Granados, Andres.
   In: Papers.
   RePEc:arx:papers:2001.00920.

   Full description at Econpapers || Download paper

6. .

   Full description at Econpapers || Download paper

7. Zero-coupon interest rates: Evaluating three alternative datasets. (2018). Jareño, Francisco ; Navarro, Eliseo ; Jareo, Francisco ; Diaz, Antonio.
   In: Economics Discussion Papers.
   RePEc:zbw:ifwedp:201867.

   Full description at Econpapers || Download paper

8. Robust term structure estimation in developed and emerging markets. (2018). Sener, Emrah ; Akgiray, Vedat ; Ahi, Emrah.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2282-5.

   Full description at Econpapers || Download paper

9. Yield curve modelling and a conceptual framework for estimating yield curves: evidence from the European Central Bank’s yield curves. (2018). Nymand-Andersen, Per.
   In: Statistics Paper Series.
   RePEc:ecb:ecbsps:201827.

   Full description at Econpapers || Download paper

10. .

    Full description at Econpapers || Download paper

11. Interpretable Parsimonious Arbitrage-free Modeling of the Yield Curve. (2017). Bekker, Paul A.
    In: Research Report.
    RePEc:gro:rugsom:17009-eef.

    Full description at Econpapers || Download paper

12. Introducing global term structure in a risk parity framework. (2017). Stagnol, Lauren.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2017-23.

    Full description at Econpapers || Download paper

13. A differential evolution algorithm for yield curve estimation. (2016). Ballini, Rosangela ; GOMIDE, FERNANDO ; MacIel, Leandro.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:129:y:2016:i:c:p:10-30.

    Full description at Econpapers || Download paper

14. Fixed income strategies based on the prediction of parameters in the NS model for the Spanish public debt market. (2015). Fernandez-Rodriguez, Fernando ; Fernandez-Perez, Adrian ; Andrada-Felix, Julian.
    In: SERIEs: Journal of the Spanish Economic Association.
    RePEc:spr:series:v:6:y:2015:i:2:p:207-245.

    Full description at Econpapers || Download paper

15. Real Term Structure and Inflation Compensation in the Euro Area. (2014). Pericoli, Marcello.
    In: International Journal of Central Banking.
    RePEc:ijc:ijcjou:y:2014:q:1:a:1.

    Full description at Econpapers || Download paper

16. Term structure estimation, liquidity-induced heteroskedasticity and the price of liquidity risk. (2013). Gimeno, Ricardo ; Berenguer, Emma ; Nave, Juan M..
    In: Working Papers.
    RePEc:bde:wpaper:1308.

    Full description at Econpapers || Download paper

17. On estimability of parsimonious term structure models: an experiment with the Nelson–Siegel specification. (2012). Virmani, Vineet .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:19:y:2012:i:17:p:1703-1706.

    Full description at Econpapers || Download paper

18. Extracting Information from Financial Market Instruments. (2012). Finlay, Richard ; Olivan, David .
    In: RBA Bulletin.
    RePEc:rba:rbabul:mar2012-06.

    Full description at Econpapers || Download paper

19. Linearized Nelson–Siegel and Svensson models for the estimation of spot interest rates. (2012). Gauthier, Genevive ; Simonato, Jean-Guy.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:219:y:2012:i:2:p:442-451.

    Full description at Econpapers || Download paper

20. Liquidity and credit risk premia in government bond yields. (2012). Ejsing, Jacob ; Grothe, Oliver .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20121440.

    Full description at Econpapers || Download paper

21. Constructing Historical Yield Curves from Very Sparse Spot Rates: A Methodology and Examples from the 1920s Canadian Market. (2012). Prisman, Eliezer Z. ; Lazar, Fred .
    In: Journal of Business Valuation and Economic Loss Analysis.
    RePEc:bpj:jbvela:v:7:y:2012:i:1:n:4.

    Full description at Econpapers || Download paper

22. Affine Term Structure Constraints on Euribor data. (2011). Tarditi, Giulio.
    In: Department of Economics University of Siena.
    RePEc:usi:wpaper:613.

    Full description at Econpapers || Download paper

23. Price informativeness and predictability: how liquidity can help. (2011). Sun, David ; Lin, William ; Tsai, Shih-Chuan.
    In: Applied Economics.
    RePEc:taf:applec:v:43:y:2011:i:17:p:2199-2217.

    Full description at Econpapers || Download paper

24. Zero-Coupon Yield Curve Estimation with the Package termstrc. (2010). Ferstl, Robert ; Hayden, Josef .
    In: Journal of Statistical Software.
    RePEc:jss:jstsof:36:i01.

    Full description at Econpapers || Download paper

25. ARBITRAGE SMOOTHING IN FITTING A SEQUENCE OF YIELD CURVES. (2009). Bekker, Paul A ; Bouwman, Kees E.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:12:y:2009:i:05:n:s0219024909005373.

    Full description at Econpapers || Download paper

26. Price informativeness and predictability: how liquidity can help. (2009). Sun, David ; Lin, William ; Tsai, Shih-Chuan.
    In: MPRA Paper.
    RePEc:pra:mprapa:20226.

    Full description at Econpapers || Download paper

27. Comparison of non-linear optimization algorithms for yield curve estimation. (2009). Michalopoulos, Michalis ; Manousopoulos, Polychronis.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:192:y:2009:i:2:p:594-602.

    Full description at Econpapers || Download paper

28. A genetic algorithm estimation of the term structure of interest rates. (2009). Gimeno, Ricardo ; Nave, Juan M..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:6:p:2236-2250.

    Full description at Econpapers || Download paper

29. Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market. (2008). Coluzzi, Chiara ; Ginebri, Sergio ; Turco, Manuel.
    In: Economics & Statistics Discussion Papers.
    RePEc:mol:ecsdps:esdp08044.

    Full description at Econpapers || Download paper

30. Liquidity, default, taxes, and yields on municipal bonds. (2008). Wang, Junbo ; Wu, Chunchi ; Zhang, Frank X..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:6:p:1133-1149.

    Full description at Econpapers || Download paper

31. Eurosystem communication and financial market expectations. (2008). Mevis, Dirk ; Luennemann, Patrick.
    In: BCL working papers.
    RePEc:bcl:bclwop:bclwp030.

    Full description at Econpapers || Download paper

32. Liquidity-Adjusted Benchmark Yield Curves: A Look at Trading Concentration and Information. (2007). Lin, William T ; Sun, David S.
    In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
    RePEc:wsi:rpbfmp:v:10:y:2007:i:04:n:s0219091507001173.

    Full description at Econpapers || Download paper

33. Examining the Nelson-Siegel Class of Term Structure Models. (2007). De Pooter, Michiel.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070043.

    Full description at Econpapers || Download paper

34. Liquidity-adjusted benchmark yield curves: a look at trading concentration and information. (2007). Sun, David ; Lin, William.
    In: MPRA Paper.
    RePEc:pra:mprapa:37282.

    Full description at Econpapers || Download paper

35. A simple continuous measure of credit risk. (2007). Byström, Hans ; Bystrom, Hans ; Kwon, Oh Kang ; Oh Kang Kwon, .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:16:y:2007:i:5:p:508-523.

    Full description at Econpapers || Download paper

36. Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioners Perspective. (2007). Bolder, David ; Liu, Shudan .
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-49.

    Full description at Econpapers || Download paper

37. Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis. (2007). Bolder, David ; Rubin, Tiago.
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-13.

    Full description at Econpapers || Download paper

38. Spanish Treasury bond market liquidity and volatility pre- and post-European Monetary Union. (2006). Diaz, Antonio ; Merrick, John Jr., ; Navarro, Eliseo .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:4:p:1309-1332.

    Full description at Econpapers || Download paper

39. 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

40. Term Structure Estimation in Illiquid Government Bond Markets. (2005). .
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:4:y:2005:i:1:p:63-80.

    Full description at Econpapers || Download paper

41. A no-arbitrage analysis of economic determinants of the credit spread term structure. (2005). Wu, Liuren ; Zhang, Frank Xiaoling.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-59.

    Full description at Econpapers || Download paper

42. Liquidity, default, taxes and yields on municipal bonds. (2005). Wu, Chunchi ; Wang, Junbo ; Zhang, Frank.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-35.

    Full description at Econpapers || Download paper

43. The effect of housing government-sponsored enterprises on mortgage rates. (2005). Sherlund, Shane ; Passmore, Wayne ; Burgess, Gillian.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-06.

    Full description at Econpapers || Download paper

44. Immunization Using a Parametric Model of the Term Structure. (2005). Bravo, Jorge ; Jorge Miguel Ventura Bravo, ; Carlos Manuel Pereira da Silva, .
    In: Economics Working Papers.
    RePEc:evo:wpecon:19_2005.

    Full description at Econpapers || Download paper

45. Determinants of Euro Term Structure of Credit Spreads. (2004). Van Landschoot, Astrid .
    In: Working Paper Research.
    RePEc:nbb:reswpp:200407.

    Full description at Econpapers || Download paper

46. Determinants of euro term structure of credit spreads. (2004). Van Landschoot, Astrid .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004397.

    Full description at Econpapers || Download paper

47. The Term Structure of Credit Spreads on Euro Corporate Bonds. (2003). van Landschoot, A.
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:f5164bb2-6597-48c4-8b44-deb14e44a2b8.

    Full description at Econpapers || Download paper

48. The Term Structure of Credit Spreads on Euro Corporate Bonds. (2003). van Landschoot, A..
    In: Discussion Paper.
    RePEc:tiu:tiucen:f5164bb2-6597-48c4-8b44-deb14e44a2b8.

    Full description at Econpapers || Download paper

49. Interest Rate Term Structure in Latvia in the Monetary Policy Context. (2003). Zubkova, Jelena .
    In: Working Papers.
    RePEc:ltv:wpaper:200303.

    Full description at Econpapers || Download paper

50. The GSE implicit subsidy and value of government ambiguity. (2003). Passmore, Wayne.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-64.

    Full description at Econpapers || Download paper

51. Idiosyncratic Factors in Pricing Sovereign Bonds: An Analysis of the Government of India Bond Market. (2002). .
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:1:y:2002:i:2:p:157-181.

    Full description at Econpapers || Download paper

52. Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada. (2002). Bolder, David ; Gusba, Scott.
    In: Staff Working Papers.
    RePEc:bca:bocawp:02-29.

    Full description at Econpapers || Download paper

53. Affine Term-Structure Models: Theory and Implementation. (2001). Bolder, David.
    In: Staff Working Papers.
    RePEc:bca:bocawp:01-15.

    Full description at Econpapers || Download paper

54. Too much cocited documents. This list is not complete

Report date: 2025-03-01 00:52:09 || Missing content? Let us know