Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia

By Marcello Pericoli, Marco Taboga. 2008

132 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2199bbe4d694c09cd5407e8ac8e7fb93d2f721f0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. J. Wu
2. James D. Hamilton
3. Lutz Kilian
4. Robert J. Vigfusson
5. Christiane Baumeister
6. V. Ramey
7. Daniel J. Lewis
8. Kenneth J. Singleton

In Finance

1. J. Wu
2. James D. Hamilton
3. Lutz Kilian

Citations in the corpus

• Testable Implications of Affine Term Structure Models (2011, methodology): “…in the model, and by Christensen, Diebold and Rudebusch (forthcoming) as an advantage of their dynamic Nelson- 2 Siegel specification.1 And comparing the fit of a broad class of different models has been attempted by Dai and Singleton (2000), Hong and Li (2005) and Pericoli and Taboga (2008).”
• Futures Contract Rates as Monetary Policy Forecasts (2012, unknown): “Wei (2006), H¨ ordal, Tristani, and Vestin (2006), and Pericoli and Taboga (2006) .8”