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Susceptibility of the yield on US Treasury securities to external supply shocks : VAR analysis

Khan, M. M. Moosa; Quazi, Rahim M.; Ahmed, Syed Mushtaque - In: The international journal of finance 26 (2014) 3, pp. 256-274

Persistent link: https://www.econbiz.de/10011378775

Inflation ambiguity and the term structure of US Government bonds

Ulrich, Maxim - In: Journal of monetary economics 60 (2013) 2, pp. 255-274

Persistent link: https://www.econbiz.de/10009745137

Prediction bias correction for dynamic term structure models

Raviv, Eran - 2013

Persistent link: https://www.econbiz.de/10009724677

Analyzing the changing term structure and expectations of US treasury default risk

Nippani, Srinivas; Smith, Stanley D. - In: The journal of fixed income 22 (2012) 1, pp. 52-60

Persistent link: https://www.econbiz.de/10009670741

Pricing TIPS and treasuries with linear regressions

Abrahams, Michael; Adrian, Tobias; Crump, Richard K.; … - 2012

We present an affine term structure model for the joint pricing of Treasury Inflation-Protected Securities (TIPS) and Treasury yield curves that adjusts for TIPS' relative illiquidity. Our estimation using linear regressions is computationally very fast and can accommodate unspanned factors. The...

Persistent link: https://www.econbiz.de/10009624301