Concepedia

Measuring Systematic Risk in EMU Government Yield Spreads

Alois Geyer, Stephan Kossmeier, Stefan Pichler

SSRN Electronic Journal · 2003 · 66 citations · 14 references

DOIFull text

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References

14

A Theory of the Term Structure of Interest Rates

John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.5K citations

, , +10

An equilibrium characterization of the term structure

Oldrich A Vasicek · Journal of Financial Economics · 1977 · 6.2K citations

, , +4

Forecasting, Structural Time Series Models and the Kalman Filter

Robert Fildes, Andrew Harvey, Mike West et al. · Journal of the Operational Research Society · 1991 · 4.8K citations

A YIELD‐FACTOR MODEL OF INTEREST RATES

Darrell Duffie, Rui Kan · Mathematical Finance · 1996 · 2.6K citations

, , +13

Term Premia and Interest Rate Forecasts in Affine Models

Gregory R. Duffee · The Journal of Finance · 2002 · 1.7K citations · Full text

, , +17