Term premia and interest rate forecasts in affine models

By G. Duffee. 2000

1,621 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/36ac765aa02784dc2b8c112541f92fc29726e320

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Citations in the corpus

Properties of Foreign Exchange Risk Premiums (2012, methodology): “Following Duffee (2002), we assess the specification of the market price of risk by analyzing whether the model is capable to replicate the empirical relation between expected returns and the slope of the yield curve.”
Decomposing real and nominal yield curves (2016, positive): “We follow Duffee (2002) in assuming that the K×1 price of risk vector λt takes the essentially affine form”
Habit Formation and Macroeconomic Models of the Term Structure of Interest Rates (2007, background): “Duffee (2002), Duarte (2004), Dai and Singleton Table VII Campbell and Shiller Regressions This table reports the Campbell and Shiller (1991) regressions.”
Forecasting the Yield Curve in a Data-Rich Environment: A No-Arbitrage Factor-Augmented VAR Approach (2008, neutral): “Keywords: Affine term structure models, Yield curve, Dynamic factor models, FAVAR JEL codes: C13; C32; E43; E44; E52 ∗I would like to thank an anonymous referee, Filippo Altissimo, Theofanis Archontakis, Claus Brand, Sandra Eickmeier, Philipp Hartmann, Peter Hördahl, Manfred Kremer, Monika Piazzesi”
Curve Forecasting by Functional Autoregression (2008, background): “…Diebold and C. Li (2003) “Forecasting the Term Structure of Government Bond Yields” Working Paper (available at http://www.ssc.upenn.edu/~diebold ) G. R. Duffee (2002) “Term Premia and Interest Rate Forecasts in Affine Models” Journal of Finance, 57, 405-443 P.H. Dybvig (1997) “Bond and Bond…”
Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors (2005, neutral): “As in the previous section, we determine the optimal allocation for the long-run mean of the state variables, and for the state variables plus and minus one standard deviation.”
Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields (2012, neutral): “where aτ , b1,τ , and b2,τ are given as the solutions to ordinary differential equations (Duffie and Kan (1996), Dai and Singleton (2000)).”
The Term Structure of Inflation Expectations (2012, methodology): “Next, we check howx3 or, more precisely, f3 affects the forecasting of realized excess returns. We run the v ariations of the Cochrane and Piazzesi (2005) regression, which inclu de combinations of variables. Table 5 reports the results. We start by reproducing the Cochrane and Piazzesi (2005) reg r”
The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks (2004, background): “The data for Libor rates and for swap rates from the pre-1990 period are 9For discussions of the implications of “special” repo rates for Treasury bonds, see Duffie (1996), Buraschi and Menini (2002), and Krishnamurthy (2002).”
Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk (2010, neutral): “ Duffee (2002) , and Cheridito, Filipovic, and Kimmel (2003).”
NONCAUSAL VECTOR AUTOREGRESSION (2013, methodology): “The first condition in Assumption 2(iii) implies that Eλ (ρ(4)t ) is finite (see (9)) and altogether this assumption guarantees finiteness of some expectations needed in subsequent developments.”
Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves (2010, background): “One price of risk speci cation, the essentially af ne term structure (EATS) model proposed by Duffee (2002), assumes that 3t is linear in the factors.”
On changes of measure in stochastic volatility models (2006, background): “Following the work of Cox et al. [5], Heston [18] proposed the additional restriction (see also Dai and Singleton [6], Duffee [10] for a discussion in a related setting) γ1(t)= λ √ V(t), (3.4) with λ a constant.”
Information in (and not in) the Term Structure (2011, background): “Duffee (2002) gives an example in which the physical and equivalent martingale dynamics are driven by state vectors with different dimensions.”
Comparing Multifactor Models of the Term Structure (2002, methodology): “Duffee (2002) examines monthly zero-coupon yields for the period from January 1952 to December 1998 taken from McCulloch and Kwon (1993) and extended using the method in Bliss (1997).”