Term premia and interest rate forecasts in affine models

Journal of Finance

Volumn 57, Issue 1, 2002, Pages 405-443

  Duffee, Gregory R ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0041589839     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/1540-6261.00426     Document Type: Article

References (22)

1. Andersen, Torben G., and Jesper Lund, 1997, Estimating continuous-time stochastic volatility models of the short-term interest rate, Journal of Econometrics 77, 343-377.
2. Bliss, Robert R., 1997, Testing term structure estimation methods, Advances in Futures and Options Research 9, 197-231.
3. Chacko, George, 1997, Multifactor interest rate dynamics and their implications for bond pricing, Working paper, Harvard University.
4. Chan, K. C., G. Andrew Karolyi, Francis A. Longstaff, and Anthony B. Sanders, 1992, An empirical comparison of alternative models of the short-term interest rate, Journal of Finance 47, 1209-1227.
5. Cox, John C., Jonathan E. Ingersoll, and Stephen A. Ross, 1985, A theory of the term structure of interest rates, Econometrica 53, 385-407.
6. Dai, Qiang, and Kenneth J. Singleton, 2000, Specification analysis of affine term structure models, Journal of Finance 55, 1943-1978.
7. Dai, Qiang, and Kenneth J. Singleton, 2001, Expectation puzzles, time-varying risk premia, and dynamic models of the term structure, Working paper, Stanford University; forthcoming, Journal of Financial Economics.
8. Duarte, Jefferson, 2000, The relevance of the price of risk in affine term structure models, Working paper, University of Chicago.
9. Duffie, Darrell, and Rui Kan, 1996, A yield-factor model of interest rates, Mathematical Finance 6, 379-406.
10. Duffie, Darrell, Jun Pan, and Kenneth Singleton, 2000, Transform analysis and asset pricing for affine jump-diffusions, Econometrica 68, 1343-1376.
11. Fama, Eugene F., and Robert R. Bliss, 1987, The information in long-maturity forward rates, American Economic Review 77, 680-692.
12. Fama, Eugene F., and Kenneth R. French, 1989, Business conditions and expected returns on stocks and bonds, Journal of Financial Economics 25, 23-49.
13. Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
14. Fisher, Mark, 1998, A simple model of the failure of the expectations hypothesis, Working paper, Federal Reserve Board.
15. Fisher, Mark, and Christian Gilles, 1996, Estimating exponential-affine models of the term structure, Working paper, Federal Reserve Board.
16. Greene, William H., 1997, Econometric Analysis, 3rd ed. (Prentice-Hall, Upper Saddle River, NJ).
17. Hansen, Lars Peter, 1982, Large sample properties of generalized method of moment estimators, Econometrica 50, 1029-1053.
18. Litterman, Robert, and Jose Scheinkman, 1991, Common factors affecting bond returns, Journal of Fixed Income 1, 54-61.
19. McCulloch, J. Huston, and Heon-Chul Kwon, 1993, U.S. term structure data, 1947-1991, Working paper 93-6, Ohio State University.
20. Newey, Whitney K., and Kenneth D. West, 1987, A simple, positive semi-definite, heteroske-dasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703-708.
21. Singleton, Kenneth J., 2001, Estimation of affine asset pricing models using the empirical characteristic function, Journal of Econometrics 102, 111-141.
22. Vasicek, Oldrich, 1977, An equilibrium characterization of the term structure, Journal of Financial Economics 5, 177-188.