Level, slope, curvature of the sovereign yield curve, and fiscal behaviour

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

Computing, Mathematics, Forecasting +13

Parsimonious Modeling of Yield Curves

Charles R. Nelson, Andrew F. Siegel · The Journal of Business · 1987 · 3K citations

Business, Business Economics, Copyright Law +8

Common Factors Affecting Bond Returns

Robert B. Litterman, José Scheinkman · The Journal of Fixed Income · 1991 · 1.9K citations

Business, Economics, Finance +12

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

Andrew Ang, Monika Piazzesi · Journal of Monetary Economics · 2003 · 1.8K citations

Business, Economics, Finance +17

The U.S. Treasury yield curve: 1961 to the present

Refet S. Gürkaynak, Brian Sack, Jonathan H. Wright · Journal of Monetary Economics · 2007 · 1.3K citations · Full text

Management, Economics, Finance +8