E43 - Determination of Interest Rates; Term Structure of Interest Rates

Citations 1-10 of 14 total displayed.

Most recent content (1 Jan 2008):

Articles
Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation

Gregory R. Duffee and Richard H. Stanton
J. Financial Econometrics 2008; 6: 108-142. [Abstract] [Full text] [PDF]  

Past content (since Mar 2003):

Articles
A Statistical Inquiry into the Plausibility of Recursive Utility

A. Ronald Gallant and Han Hong
J. Financial Econometrics 2007; 5: 523-559. [Abstract] [Full text] [PDF]  

Articles
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent

Francesco Audrino and Fabio Trojani
J. Financial Econometrics 2007; 5: 591-623. [Abstract] [Full text] [PDF]  

Articles
Aggregation of Nonparametric Estimators for Volatility Matrix

Jianqing Fan, Yingying Fan, and Jinchi Lv
J. Financial Econometrics 2007; 5: 321-357. [Abstract] [Full text] [PDF]  

Articles
Beta Regimes for the Yield Curve

Francesco Audrino and Enrico De Giorgi
J. Financial Econometrics 2007; 5: 456-490. [Abstract] [Full text] [PDF]  

Articles
Switching VARMA Term Structure Models

Alain Monfort and Fulvio Pegoraro
J. Financial Econometrics 2007; 5: 105-153. [Abstract] [Full text] [PDF]  

Articles
Affine Models for Credit Risk Analysis

C. Gourieroux, A. Monfort, and V. Polimenis
J. Financial Econometrics 2006; 4: 494-530. [Abstract] [Full text] [PDF]  

Articles
A Semiparametric Two-Factor Term Structure Model

John Knight, Fuchun Li, and Mingwei Yuan
J. Financial Econometrics 2006; 4: 204-237. [Abstract] [Full text] [PDF]  

Articles
Empirical Comparisons in Short-Term Interest Rate Models Using Nonparametric Methods

Manuel Arapis and Jiti Gao
J. Financial Econometrics 2006; 4: 310-345. [Abstract] [Full text] [PDF]  

Articles
Testing For Threshold Nonlinearity in Short-Term Interest Rates

Nikolay Gospodinov
J. Financial Econometrics 2005; 3: 344-371. [Abstract] [Full text] [PDF]  

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