The macroeconomy and the yield curve: a dynamic latent factor approach

Parsimonious Modeling of Yield Curves

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

Business, Business Economics, Copyright Law +8

A YIELD‐FACTOR MODEL OF INTEREST RATES

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

Business, Economics, Finance +17

Yield Spreads and Interest Rate Movements: A Bird's Eye View

John Y. Campbell, Robert J. Shiller · The Review of Economic Studies · 1991 · 1.8K citations · Full text

Business, Economics, Finance +15

Specification Analysis of Affine Term Structure Models

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

Business, Economics, Finance +17

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