SSRN Electronic Journal · 2014 · 15 citations · 34 references
BusinessEconomicsFinanceEconometricsFinancial EconometricsInternational FinanceFactor AnalysisFactor ModelsHigh-frequency Data AnalysisPrincipal Component AnalysisCoupon Bond ValuationDecision CriterionMulti-factor Term Structure ModelsPrincipal Component Selection CriteriaPrincipal ComponentsSelection TechniquesStatistical Model SelectionYield Curve Dynamics
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Parsimonious Modeling of Yield Curves
Charles R. Nelson, Andrew F. Siegel · The Journal of Business · 1987 · 3K citations
Common Factors Affecting Bond Returns
Robert B. Litterman, José Scheinkman · The Journal of Fixed Income · 1991 · 1.9K citations
Specification Analysis of Affine Term Structure Models
Qiang Dai, Kenneth J. Singleton · The Journal of Finance · 2000 · 1.8K citations · Full text
Term Premia and Interest Rate Forecasts in Affine Models
Gregory R. Duffee · The Journal of Finance · 2002 · 1.7K citations · Full text
The Information in Long-Maturity Forward Rates
Eugene F. Fama, Robert R. Bliss · American Economic Review · 1987 · 1.6K citations