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Poisson-Gaussian processes and the bond market
Das, Sanjiv R. - 1998
Persistent link: https://www.econbiz.de/10000671235
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An evaluation of multi-factor CIR models using LIBOR, swap rates, and CAP and swaption prices
Jagannathan, Ravi; Kaplin, Andrew; Sun, Steve Guoqiang - 2001
Persistent link: https://www.econbiz.de/10001637620
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Assessing monetary policy effects using daily fed funds futures contracts
Hamilton, James D. - 2007
Persistent link: https://www.econbiz.de/10003594614
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New hope for the expectations hypothesis of the term structure of interest rates
Froot, Kenneth - 1987
Persistent link: https://www.econbiz.de/10000730428
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Dynamic dispersed information and the credit spread puzzle
Albagli, Elias; Hellwig, Christian; Tsyvinski, Aleh - 2014
Persistent link: https://www.econbiz.de/10010235333
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Monetary policy and short-term interest rates : an efficient markets-rational expectations approach
Mishkin, Frederic S. - 1981
Persistent link: https://www.econbiz.de/10002494107
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Alternative tests of rational expectations models : the case of the term structure
Shiller, Robert J. - 1980
Persistent link: https://www.econbiz.de/10009573118
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Tax news : identifying tax expectations from municipal bonds with an application to household consumption
Küng, Lorenz - 2014
Persistent link: https://www.econbiz.de/10010413189
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Monetary policy and the term structure of interest rates
McCallum, Bennett T. - 1994
Persistent link: https://www.econbiz.de/10013416747
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Daily changes in fed funds futures prices
Hamilton, James D. - 2007
This paper explores the properties of daily changes in the prices for near-term fed funds futures contracts. The paper finds these contracts to be excellent predictors of the fed funds rate, and shows that the claim of a nonzero term premium in the short-horizon contracts is more sensitive to...
Persistent link: https://www.econbiz.de/10003468359