An open-economy macro-finance model of international interdependence: The OECD, US and the UK

Time Series Analysis.

Jörg Breitung, James D. Hamilton · Contemporary Sociology A Journal of Reviews · 1995 · 11.2K citations

Engineering, Data Science, Financial Time Series Analysis +9

A YIELD‐FACTOR MODEL OF INTEREST RATES

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

Yield‐factor Model, Economics, Multivariate Stochastic Volatility +13

Specification Analysis of Affine Term Structure Models

Qiang Dai, Kenneth J. Singleton · The Journal of Finance · 2000 · 1.8K citations

Empirical Finance, Term Structure Model, Interest Rate Risk +18

A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables

Andrew Ang, Monika Piazzesi · Journal of Monetary Economics · 2003 · 1.7K citations

Economics, No-arbitrage Vector Autoregression, Term Structure Model +7

Term Premia and Interest Rate Forecasts in Affine Models

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

Volatility Modeling, Affine Models, Engineering +17