Expectations Models of the Term Structure and Implied Variance Bounds

Keywords

Term (time), Variance (accounting), Estimator, Econometrics, Mathematics

References

• Value and CapitalParesh Chattopadhyay — 1982
• Rational Expectations, the Real Rate of Interest, and the Natural Rate of UnemploymentThomas J. Sargent, David I. Fand, Stephen M. Goldfeld — 1973
• Rational Expectations and the Term Structure of Interest RatesThomas J. Sargent — 1972
• The Present-Value Relation: Tests Based on Implied Variance BoundsStephen F. LeRoy, Richard D. Porter — 1981
• FORMULATING AND ESTIMATING DYNAMIC LINEAR RATIONAL EXPECTATIONS MODELSLars Peter Hansen, Thomas J. Sargent — 1980
• Seasonality and portfolio balance under rational expectationsRusdu Saracoglu, Thomas J. Sargent — 1978
• Rational Expectations and the Dynamics of HyperinflationThomas J. Sargent, Neil Wallace — 1973
• A note on maximum likelihood estimation of the rational expectations model of the term structureThomas J. Sargent — 1978
• The Volatility of Long-Term Interest Rates and Expectations Models of the Term StructureRobert J. Shiller — 1979
• Inflation, Rational Expectations and the Term Structure of Interest RatesFranco Modigliani, Robert J. Shiller — 1973
• The Cyclical Behavior of the Term Structure of Interest RatesJacob B. Michaelsen, Reuben A. Kessel — 1965
• Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric AnalysisLars Peter Hansen, Robert J. Hodrick — 1980
• The Structure of Interest RatesF. A. Lutz — 1940
• Prediction and Regulation by Linear Least-Square MethodsD. J. G. Farlie — 1964
• Value and CapitalRoy Harrod, John Hicks — 1939
• Spectral Methods in Econometrics.Takeshi Amemiya, George S. Fishman — 1970
• Prediction and Regulation by Linear Least-Square MethodsD. J. Farlie, P. Whittle — 1964
• The Statistical Analysis of Time Series.T. W. Anderson — 1995
• The Exchange Rate, The Balance Of Payments and Monetary and Fiscal Policy Under A Regime of Controlled FloatingMichael Mussa — 1976
• Spectral Methods in EconometricsClive W. J. Granger, George S. Fishman — 1972

Cited by

• Excess Volatility: Beyond Discount RatesStefano Giglio, Bryan T. Kelly — 2017
• Time-varying risk premium yield spread effect in term structure and global financial crisis: Evidence from EuropeTaufiq Choudhry — 2016
• Stock Market Fluctuations and the Term StructureChunsheng Zhou — 1996
• The Effects of Inflation on Real Interest RatesJoel Fried, Peter Howitt — 1983
• Exact linear rational expectations models: specification and estimationThomas J. Sargent, Lars Peter Hansen — 1981
• Three models of the term structure of interest ratesJoon-Hee Rhee — 1998
• Consumption, asset markets, and macroeconomic fluctuations: A commentLars Peter Hansen — 1982
• The Expectations Theory of the Term Structure and Short-term Interest Rates in AustraliaWarren Tease — 1986
• UNIVARIATE GARCH-M ESTIMATES OF VARIABLE RISK PREMIA FOR 180-DAY AUSTRALIAN BANK BILLSA.D. McDonald, T.I.A. Ridley, J.K. Kendall — 1993
• Rational expectations and the expectations model of the term structure: A test using weekly dataDavid S. Jones, V. Vance Roley — 1983
• ARCH modeling in finance: A review of the theory and empirical evidenceTim Bollerslev, Ray Yeutien Chou, Kenneth F. Kroner — 1992
• Regional Financial Crises and Equity Market Reactions: The Case of East AsiaBahram Adrangi, Kambiz Raffiee, Todd M. Shank — 2003
• Excess Sensitivity and Volatility of Long Interest Rates: The Role of Limited Information in Bond MarketsMeredith Beechey — 2006
• Long memory models of interest rates, the term structure, and variance bounds testsGary S. Shea — 1985
• Macroeconomics and finance: The role of the stock market: A comment on the Fischer/Merton paperBennett T. McCallum — 1984
• A Relationship between Regression Tests and Volatility Tests of Market NcyJeffrey A. Frankel, James H. Stock — 1983
• Speculative Asset Prices (Nobel Prize Lecture)Robert J. Shiller — 2014
• Expectations Models of Asset Prices: A Survey of TheoryStephen F. LeRoy — 1982
• Excess Volatility in the Financial Markets: A Reassessment of the Empirical EvidenceMarjorie Flavin — 1983
• A Rational Expectations Model of Term Premia with Some Implications for Empirical Asset Demand EquationsCarl E. Walsh — 1985

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