Nonlinear Interest Rate Dynamics and Implications for the Term Structure

[1]  Heather M. Anderson,et al.  Transaction Costs and Nonlinear Adjustment Towards Equilibrium in the US Treasury Bill Market , 1997 .

[2]  Christian C. P. Wolff,et al.  The Dynamics of Short-Term Interest Rate Volatility Reconsidered , 1997 .

[3]  Yacine Aït-Sahalia.  Testing Continuous-Time Models of the Spot Interest Rate , 1996 .

[4]  Yacine Ait-Sahalia.  Testing Continuous-Time Models of the Spot Interest Rate , 1995 .

[5]  J. Zakoian,et al.  Testing for continuous-time models of the short-term interest rate , 1995 .

[6]  W. D. Haan.  The term structure of interest rates in real and monetary economies , 1995 .

[7]  Vasant Naik,et al.  The Yield Curve and Bond Option Prices with Discrete Shifts in Economic Regimes , 1994 .

[8]  J. Geweke,et al.  Priors for Macroeconomic Time Series and Their Application , 1994, Econometric Theory.

[9]  R. McCulloch,et al.  BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER , 1994 .

[10]  C. Granger,et al.  Modelling Nonlinear Economic Relationships , 1995 .

[11]  John Geweke,et al.  BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES , 1993 .

[12]  Giuseppe Bertola,et al.  A Model of Target Changes and the Term Structure of Interest Rates , 1993 .

[13]  Stanley E. Zin,et al.  Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates , 1993 .

[14]  Eduardo S. Schwartz,et al.  Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model , 1992 .

[15]  G. Casella,et al.  Explaining the Gibbs Sampler , 1992 .

[16]  Campbell R. Harvey,et al.  An Empirical Comparison of Alternative Models of the Short-Term Interest Rate , 1992 .

[17]  Clive W. J. Granger,et al.  A cointegration analysis of treasury bill yields , 1992 .

[18]  L. Tierney.  Exploring Posterior Distributions Using Markov Chains , 1992 .

[19]  W. Härdle.  Applied Nonparametric Regression , 1992 .

[20]  D. Duffie.  Dynamic Asset Pricing Theory , 1992 .

[21]  P. Brockwell,et al.  Time Series: Theory and Methods , 2013 .

[22]  Ruey S. Tsay,et al.  On the Ergodicity of Tar(1) Processes , 1991 .

[23]  Gary S. Shea,et al.  Uncertainty and implied variance bounds in long-memory models of the interest rate term structure , 1991 .

[24]  R. Engle,et al.  Testing for Common Features , 1990 .

[25]  F. Black,et al.  A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options , 1990 .

[26]  P. Perron,et al.  The Great Crash, The Oil Price Shock And The Unit Root Hypothesis , 1989 .

[27]  Stephen F. LeRoy,et al.  Efficient Capital Markets and Martingales , 1989 .

[28]  James D. Hamilton.  Rational-expectations econometric analysis of changes in regime: An investigation of the term structure of interest rates , 1988 .

[29]  J. Ingersoll.  Theory of Financial Decision Making , 1987 .

[30]  Russell P. Robins,et al.  Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model , 1987 .

[31]  Robert J. Shiller,et al.  Cointegration and Tests of Present Value Models , 1987, Journal of Political Economy.

[32]  N. Mankiw,et al.  The Term Structure of Interest Rates Revisited , 1986 .

[33]  A. Kleidon.  Variance Bounds Tests and Stock Price Valuation Models , 1986, Journal of Political Economy.

[34]  H. Tong,et al.  On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations , 1985, Advances in Applied Probability.

[35]  A.F.M. Smith,et al.  A bayesian analysis of some threshold switching models , 1985 .

[36]  Sam Woolford,et al.  A multiple-threshold AR(1) model , 1985, Journal of Applied Probability.

[37]  S. Ross,et al.  A theory of the term structure of interest rates'', Econometrica 53, 385-407 , 1985 .

[38]  R. Shiller,et al.  A Simple Account of the Behavior of Long-Term Interest Rates , 1983 .

[39]  R. Shiller.  The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure , 1979, Journal of Political Economy.

[40]  A. Irturk,et al.  Term Structure of Interest Rates , 2006 .

[41]  Oldrich A. Vasicek.  An equilibrium characterization of the term structure , 1977 .

[42]  Oldrich A. Vasicek,et al.  Abstract: An Equilibrium Characterization of the Term Structure , 1977, Journal of Financial and Quantitative Analysis.