A theory of the term structure of interest rates'', Econometrica 53, 385-407

Keywords

Term (time), Yield curve, Economics, Interest rate, Mathematical economics

References

• A model of the term structure of interest ratesJavier Quesada — 1980
• The monetary dynamics of hyperinflation: A noteMohsin S. Khan — 1975
• Confluent Hypergeometric FunctionsW. N. Bailey — 1960
• Abstract: An Equilibrium Characterization of the Term StructureOldrich A. Vasicek — 1977
• The Term Structure of Interest RatesJohn M. Culbertson — 1957
• Interest-Rate Risk and the Term Structure of Interest RatesJames Van Horne — 1965
• A Re‐examination of Traditional Hypotheses about the Term Structure of Interest RatesJohn C. Cox, Jonathan E. Ingersoll, Stephen A. Ross — 1981
• AN INTERTEMPORAL GENERAL EQUILIBRIUM MODEL OF ASSET PRICESJohn C. Cox, Jonathan E. Ingersoll, Stephen A. Ross — 1985
• An arbitrage model of the term structure of interest ratesScott F. Richard — 1978
• Business cycles and economic growthElmer C. Bratt, James S. Duesenberry — 1959
• Stock prices, inflation, and the term structure of interest ratesJ. Bradford De Long — 1974
• Optimum consumption and portfolio rules in a continuous - time model Journal of Economic Theory 3Robert C. Merton — 1971
• Rational Expectations and the Term Structure of Interest RatesThomas J. Sargent — 1972
• State Preference and the Riskless Interest Rate: A Markov Model of Capital MarketsAvraham Beja — 1979
• A Quantitative Theory of Risk Premiums on Securities with an Application to the Term Structure of Interest RatesBruce C. Dieffenbach — 1975
• The Expectations Hypothesis, the Yield Curve, and Monetary PolicyJohn H. Wood — 1964
• A Consumption-Oriented Theory of the Demand for Financial Assets and the Term Structure of Interest RatesJ. E. Stiglitz — 1970
• INVESTMENT DIVERSIFICATION AND BOND MATURITYRichard Roll — 1971
• Inflation, Rational Expectations and the Term Structure of Interest RatesFranco Modigliani, Robert J. Shiller — 1973
• The Term Structure of Interest Rates.G. O. Bierwag, Charles R. Nelson — 1972

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• Essays on Nonparametric Econometrics of Stochastic VolatilityYang Zu — 2006
• Real Estate Price Measurement and Stability CrisesNancy Wallace — 2011
• Nonparametric Methods in Continuous-Time Finance: A Selective ReviewZongwu Cai, Yongmiao Hong — 2003
• Forward Measures in a Ho and Lee Jump Diffusion ModelDavid B. Colwell, Solene Arcus — 2001
• Risk Aspects of Investment-Based Social Security Reform: IntroductionJohn Y. Campbell, Martin Feldstein — 2001
• Interest Rate Sensitivities Under the Vasicek and Cox-Ingersoll-Ross ModelsYves Rakotondratsimba — 2011
• Option Pricing under Stochastic Interest Rates: An Empirical InvestigationYongjin Kim — 2002
• Using affine models of the term structure to estimate risk premiaNikolaos Panigirtzoglou — 2001
• A Continuous-Time Model for the Valuation of Mortgage-Backed SecuritiesStephen Malik Mansour — 2012
• Flight-to-Quality phenomenon as a source of financial instabilityMariya Gubareva — 2013
• Stochastic calculus and analytic characteristic functions: applications to financeAlbert Ferreiro Castilla — 2011
• Financial contracts on electricity in the Nordic power marketWolfgang Kispert — 2005
• Essays on Lifetime Uncertainty: Models, Applications, and Economic ImplicationsNan Zhu — 2012
• Stability Behavior of Some Well-Known Stochastic Financial ModelsT. E. Govindan, R. S. Acosta Abreu — 2008
• Shape of the Yield Curve Under CIR Single Factor Model: A NoteRaymond Kan — 2008
• Re-Weighted Functional Estimation of Diffusion Models, 2nd VersionKe‐Li Xu — 2008
• Estimating Term Premia at the Zero Bound: An Analysis of Japanese, US, and UK YieldsHibiki Ichiue, Yoichi Ueno — 2013
• Modeling the term structure of interest ratesPavol Povala — 2013
• Further applications of higher-order Markov chains and developments in regime-switching modelsXiaojing Xi — 2012
• Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning ApproachAndrás Fülöp, Junye Li, Jun Yu — 2012

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