Pricing the Term Structure with Linear Regressions

By Tobias Adrian, Richard K. Crump, Emanuel Moench. 2013

576 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f2ee75391904d1575cde23b514933d68f66d2432

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. Drew D. Creal

In Finance

1. J. Wu
2. Drew D. Creal
3. S. J. Koopman
4. André Lucas

Citations in the corpus

• Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility (2014, methodology): “(2011), Hamilton and Wu (2012), Adrian et al. (2012) and Diez de Los Rios (2013). However, these procedures do not address models with stochastic volatility. Moreover, in USV models as proposed by CollinDufresne and Goldstein (2002) and Collin-Dufresne et al. (2009), the likelihood function is not k”
• A New Perspective on Gaussian Dynamic Term Structure Models (2011, unknown): “Adrian and Moench (2008) explore a setting where the pricing factors are the portfolios themselves; however, they do not impose the internal consistency condition to make the factors equal to their no arbitrage equivalents and instead focus on the measurement errors.”
• The Cross-Section and Time-Series of Stock and Bond Returns (2017, unknown): “In related work, Adrian and Moench (2008) match bond returns first and then study the implications for bond yields.”
• Risk Appetite and Exchange Rates (2010, unknown): “The cross-sectional model in (4:7) is estimated by way of three-step OLS regressions applied to the cross-section of 23 currencies (see Adrian and Moench (2008) for details of the estimation methodology).”
• Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds (2019, unknown): “(2013), and Adrian et al. (2015). Our main result that expected returns to stocks, Treasury bonds, and credit returns are forecast by a common nonlinear function φh(v) suggests that this function is a price of risk variable in a dynamic asset pricing model.”