On the Estimation of Term Structure Models and An Application to the United States
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References listed on IDEAS
- Bank for International Settlements, 2005. "Zero-coupon yield curves: technical documentation," BIS Papers, Bank for International Settlements, number 25.
- Michiel De Pooter, 2007. "Examining the Nelson-Siegel Class of Term Structure Models," Tinbergen Institute Discussion Papers 07-043/4, Tinbergen Institute.
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Cited by:
- Paccagnini, Alessia, 2016.
"The macroeconomic determinants of the US term structure during the Great Moderation,"
Economic Modelling, Elsevier, vol. 52(PA), pages 216-225.
- Alessia Paccagnini, 2014. "The Macroeconomic Determinants of the US Term-Structure during the Great Moderation," Working Papers 274, University of Milano-Bicocca, Department of Economics, revised Jun 2014.
- Alessia Paccagnini, 2016. "The Macroeconomic Determinants of the US Term-Structure During The Great Moderation," Open Access publications 10197/7324, School of Economics, University College Dublin.
- Mr. Rodrigo Cabral & Mr. Richard Munclinger & Mr. Luiz Alves & Mr. Marco Rodriguez Waldo, 2011. "On Brazil’s Term Structure: Stylized Facts and Analysis of Macroeconomic Interactions," IMF Working Papers 2011/113, International Monetary Fund.
- Mr. Carlos I. Medeiros & Ying He, 2011. "An Assessment of Estimates of Term Structure Models for the United States," IMF Working Papers 2011/247, International Monetary Fund.
- Kaya, Huseyin, 2013. "Forecasting the yield curve and the role of macroeconomic information in Turkey," Economic Modelling, Elsevier, vol. 33(C), pages 1-7.
- Michał Brzoza-Brzezina & Jacek Kotłowski, 2014.
"Measuring the natural yield curve,"
Applied Economics, Taylor & Francis Journals, vol. 46(17), pages 2052-2065, June.
- Michał Brzoza-Brzezina & Jacek Kotłowski, 2012. "Measuring the natural yield curve," NBP Working Papers 108, Narodowy Bank Polski.
- Jacek Kotłowski & Michał Brzoza-Brzezina, 2012. "Measuring the Natural Yield Curve," EcoMod2012 4197, EcoMod.
- Oguzhan Cepni & Ibrahim Ethem Guney & Doruk Kucuksarac & Muhammed Hasan Yilmaz, 2018. "The Interaction between Yield Curve and Macroeconomic Factors," CBT Research Notes in Economics 1802, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Hokuto Ishii, 2019. "Forecasting Term Structure of Interest Rates in Japan," IJFS, MDPI, vol. 7(3), pages 1-35, July.
- International Monetary Fund, 2012. "Macrofinance Model of the Czech Economy: Asset Allocation Perspective," IMF Working Papers 2012/078, International Monetary Fund.
- Giuseppe Arbia & Michele Di Marcantonio, 2015. "Forecasting Interest Rates Using Geostatistical Techniques," Econometrics, MDPI, vol. 3(4), pages 1-28, November.
- Xu, Meng & Li, Jialiang & Chen, Ying, 2017. "Varying coefficient functional autoregressive model with application to the U.S. treasuries," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 168-183.
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