Term Structure Dynamics in Theory and Reality

Review of Financial Studies

Volumn 16, Issue 3, 2003, Pages 631-678

  Dai, Qiang ^a   Singleton, Kenneth ^b  

^a NEW YORK UNIVERSITY   (United States)

^b STANFORD UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0042788861     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/hhg010     Document Type: Review

References (194)

1. Ahn, C., and H. Thompson, 1988, "Jump Diffusion Processes and Term Structure of Interest Rates," Journal of Finance, 43, 155-174.
2. Ahn, D., and B. Gao, 1999, "A Parametric Nonlinear Model of Term Structure Dynamics," Review of Financial Studies, 12, 721-762.
3. Ahn, D.-H., R. F. Dittmar, and A. R. Gallant, 2002, "Quadratic Term Structure Models: Theory and Evidence," Review of Financial Studies, 15, 243-288.
4. Ahn, D.-H., R. F. Dittmar, B. Gao, and A. R. Gallant, 2000, "Purebred or Hybrid? Reproducing the Volatility in Term Structure Dynamics," working paper, University of North Carolina.
5. Ait-Sahalia, Y., 1996, "Testing Continuous-Time Models of the Spot Interest Rate," Review of Financial Studies, 9, 385-426.
6. Ait-Sahalia, Y., 2002, "Closed-Form Likelihood Expansions for Multivariate Diffusions," working paper, Princeton University.
7. Andersen, T. G., and J. Lund, 1997, "Estimating Continuous-Time Stochastic Volatility Models of the Short-Term Interest Rate," Journal of Econometrics, 72, 343-377.
8. Andersen, T. G., and J. Lund, 1998, "Stochastic Volatility and Mean Drift in the Short Term Interest Rate Diffusion: Sources of Steepness, Level and Curvature in the Yield Curve," working paper, Northwestern University.
9. Anderson, R. W., and S. M. Sundaresan, 1996, "The Design and Valuation of Debt Contracts," Review of Financial Studies, 9, 37-68.
10. Ang, A., and G. Bekaert, 2002, "Regime Switches in Interest Rates," Journal of Business and Economic Statistics, 20, 163-182.
11. Ang, A., and M. Piazzesi, 2003, "A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables," forthcoming in Journal of Monetary Economics.
12. Artzner, P., and F. Delbaen, 1995, "Default Risk Insurance and Incomplete Markets," Mathematical Finance, 5, 187-195.
13. Back, K., 1996, "Yield Curve Models: A Mathematical Review," in I. Nelkin (ed.), Option Embedded Bonds: Price Analysis, Credit Risk, and Investment Strategies, Irwin, McGraw-Hill.
14. Backus, D., S. Foresi, A. Mozumdar, and L. Wu, 2001, "Predictable Changes in Yields and Forward Rates," Journal of Financial Economics, 59, 281-311.
15. Backus, D., S. Foresi, and C. Telmer, 1998, "Discrete-Time Models of Bond Pricing," working paper, New York University.
16. Backus, D., S. Foresi, and S. Zin, 1998, "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," Journal of Business and Economic Statistics, 16, 13-26.
17. Backus, D. K., and S. E. Zin, 1994, "Reverse Engineering the Yield Curve," Working Paper 4676, NBER.
18. Bakshi, G., D. Madan, and F. Zhang, 2001a, "Investigating the Sources of Default Risk: Lessons from Empirically Evaluating Credit Risk Models," working paper, University of Maryland.
19. Bakshi, G., D. Madan, and F. Zhang, 2001b, "Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates," working paper, Federal Reserve Board.
20. Balduzzi, P., S. R. Das, and S. Foresi, 1998, "The Central Tendency: A Second Factor in Bond Yields," Review of Economics and Statistics, 80, 62-72.
21. Balduzzi, P., S. R. Das, S. Foresi, and R. K. Sundaram, 1996, "A Simple Approach to Three Factor Affine Term Structure Models," Journal of Fixed Income, 6, 43-53.
22. Balduzzi, P., and Y. Eom, 2000, "Non-Linearities in U.S. Treasury Rates: A Semi-Nonparametric Approach," working paper, Boston College.
23. Bansal, R., and H. Zhou, 2002, "Term Structure of Interest Rates with Regime Shifts," Journal of Finance, 57, 1997-2043.
24. Beaglehole, D. R., and M. S. Tenney, 1991, "General Solutions of Some Interest Rate-Contingent Claim Pricing Equations," Journal of Fixed Income, 1, 69-83.
25. Bekaert, G., and R. Hodrick, 2001, "Expectations Hypotheses Tests," Journal of Finance, 56, 1357-1394.
26. Bekaert, G., R. Hodrick, and D. Marshall, 1997, "On Biases in Tests of the Expectations Hypothesis of the Term Structure of Interest Rates," Journal of Financial Economics, 44, 309-348.
27. Bekaert, G., R. Hodrick, and D. Marshall, 2001, "Peso Problem Explanations for Term Structure Anomalies," Journal of Monetary Economics, 48, 241-270.
28. Bielecki, T., and M. Rutkowski, 2001, "Modeling of the Defaultable Term Structure: Conditionally Markov Approach," working paper, Northeastern Illinois University and Warsaw University of Technology.
29. Black, F., and J. Cox, 1976, "Valuing Corporate Securities: Liabilities: Some Effects of Bond Indenture Provisions," Journal of Finance, 31, 351-367.
30. Black, F., E. Derman, and W. Toy, 1990, "A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options," Financial Analysts Journal, January-February, 33-39.
31. Black, F., and P. Karasinski, 1991, "Bond and Option Pricing When Short Rates are Lognormal," Financial Analysts Journal, July-August, 52-59.
32. Black, F., and M. Scholes, 1973, "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, 81, 637-654.
33. Bobadilla, G., 1999, "Choose the Right Error in Term Structure Models," working paper, CEMFI.
34. Bollerslev, T., 1986, "Generalized Autoregressive Conditional Heteroskedasticity," Journal of Econometrics, 31, 307-327.
35. Boudoukh, J., M. Richardson, R. Stanton, and R. F. Whitelaw, 1998, "The Stochastic Behavior of Interest Rates: Implications from a Multifactor, Nonlinear Continuous-Time Model," working paper, New York University.
36. Brace, A., D. Gatarek, and M. Musiela, 1997, "The Market Model of Interest Rate Dynamics," Mathematical Finance, 7, 127-154.
37. Brandt, M., and D. Chapman, 2002, "Comparing Multifactor Models of the Term Structure," working paper, Wharton School.
38. Brandt, M., and P. Santa-Clara, 2002, "Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets," Journal of Business and Economic Statistics, 20, 321-324.
39. Brandt, M., and A. Yaron, 2001, "Time-Consistent, No-Arbitrage Models of the Term Structure," working paper, Wharton School.
40. Brenner, R. J., R. H. Harjes, and K. F. Kroner, 1996, "Another Look at Models of the Short Term Interest Rate," Journal of Financial & Quantitative Analysis, 31, 85-107.
41. Brito, R., and R. Flores, 2001, "A Jump-Diffusion Yield-Factor Model of Interest Rates," working paper, EPGE/FGV.
42. Briys, E., and F. de Varenne, 1997, "Valuing Risky Fixed Rate Debt: An Extension," Journal of Financial and Quantitative Analysis, 32, 239-248.
43. Brown, R., and S. Sohaefer, 1999, "Why Long Forward Interest Rates (Almost) Always Slope Downwards," working paper, London Business School.
44. Brown, R., and S. M. Schaefer, 1994, "The Term Structure of Real Interest Rates and the Cox, Ingersoll and Ross Model," Journal of Financial Economics, 35, 3-42.
45. Brown, S. J., and P. H. Dybvig, 1986, "Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates," Journal of Finance, 41, 143-172.
46. Buraschi, A., and F. Corielli, 2000, "Staying Ahead of the Curve: Model Risk and the Term Structure," working paper, London Business School.
47. Buraschi, A., and A. Jiltsov, 2001, "How Large is the Inflation Risk Premium? A Monetary Model of the Term Structure," working paper, London Business School.
48. Campbell, J., and R. Shiller, 1991, "Yield Spreads and Interest Rate Movements: A Bird's Eye View," Review of Economic Studies, 58, 495-514.
49. Carrasco, M., M. Chernov, J. Florens, and E. Ghysels, 2002, "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," working paper, University of North Carolina.
50. Carverhill, A., 2002, "Predictability and the Dynamics of Long Forward Rates," working paper, University of Hong Kong.
51. Cathcart, L., and L. El-Jahel, 1998, "Valuation of Defaultable Bonds," Journal of Fixed Income, June, 66-78.
52. Chacko, G., and S. Das, 2002, "Pricing Interest Rate Derivatives: A General Approach," Review of Financial Studies, 15, 195-241.
53. Chapman, D., and N. Pearson, 2001, "What can be Learned from Recent Advances in Estimating Models of the Term Structure?" Financial Analysts Journal, July/August, 77-95.
54. Chen, L., 1996, Stochastic Mean and Stochastic Volatility - A Three-Factor Model of the Term Structure of Interest Rates and Its Application to the Pricing of Interest Rate Derivative, Blackwell Publishers.
55. Chen, R., and L. Scott, 1993, "Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates," Journal of Fixed Income, 3, 14-31.
56. Chen, R., and L. Scott, 1995, "Interest Rate Options in Multifactor Cox-Ingersoll-Ross Models of the Term Structure," Journal of Fixed Income, Winter, 53-72.
57. Collin-Dufresne, P., and R. Goldstein, 2001a, "Do Credit Spreads Reflect Stationary Leverage Ratios?" Journal of Finance, 56, 1929-1958.
58. Collin-Dufresne, P., and R. S. Goldstein, 1999, "On the Term Structure of Interest Rates in the Presence of Reflecting Boundaries." working paper, Washington University.
59. Collin-Dufresne, P., and R. S. Goldstein, 2001b, "Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generlized Affine Framework," working paper, Carnegie Mellon University.
60. Collin-Dufresne, P., and R. S. Goldstein, 2002a, "Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility," Journal of Finance, 57, 1685-1730.
61. Collin-Dufresne, P., and R. S. Goldstein (2002b), "Pricing Swaptions within the Affine Framework," Journal of Derivatives, 10, 1-18.
62. Collin-Dufresne, P., R. S. Goldstein, and J. Martin, 2001, "The Determinants of Credit Spread Changes," Journal of Finance, 56, 2177-2208.
63. Collin-Dufresne, P., and B. Solnik, 2001, "On the Term Structure of Default Permia in the Swap and LIBOR Markets," Journal of Finance, 56, 1095-1115.
64. Constantinides, G., 1992, "A Theory of the Nominal Term Structure of Interest Rates," Review of Financial Studies, 5, 531-552.
65. Cox, J., J. Ingersoll, and S. Ross, 1980, "An Analysis of Variable Loan Contracts," Journal of Finance, 35, 389-403.
66. Cox, J., J. Ingersoll, and S. Ross, 1985, "A Theory of the Term Structure of Interest Rates," Econometrica, 53, 385-407.
67. Dai, Q., 2003, "Term Structure Dynamics in a Model with Internal Habit," working paper, New York University.
68. Dai, Q., and K. Singleton, 2000, "Specification Analysis of Affine Term Structure Models," Journal of Finance, 55, 1943-1978.
69. Dai, Q., and K. Singleton, 2002a, "Expectations Puzzles, Time-Varying Risk Premia, and Affine Models of the Term Structure," Journal of Financial Economics, 63, 415-441.
70. Dai, Q., and K. Singleton, 2002b, "Fixed-Income Pricing," working paper, forthcoming in Handbook of Economics and Finance.
71. Dai, Q., K. Singleton, and W. Yang, 2003, "Is Regime-Shift Risk Priced in the US Treasury Market?" working paper, New York University.
72. Das, S., 2002, "The Surprise Element: Jumps in Interest Rates, " Journal of Econometrics, 106, 27-65.
73. Das, S., and S. Foresi, 1996, "Exact Solutions for Bond and Option Prices with Systematic Jump Risk," Review of Derivatives Research, 1, 7-24.
74. Driessen, J., P. Klaassen, and B. Meleberg, 2000, "The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions," working paper, Tilburg University.
75. Driessen, J., B. Melenberg, and T. Nijman, 2000, "Common Factors in International Bond Returns," working paper, Tilburg University.
76. Duan, J.-C., and J.-G. Simonato, 1999, "Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter," Review of Quantitative Finance and Accounting, 13, 111-135.
77. Duarte, J., 2003, "Evaluating Alternative Risk Preferences in Affine Term Structure Models," forthcoming in Review of Financial Studies.
78. Duffee, G., 1998, "The Relation Between Treasury Yields and Corporate Bond Yield Spreads," Journal of Finance, 53, 2225-2242.
79. Duffee, G., 1999, "Estimating the Price of Default Risk," Review of Financial Studies, 12, 197-226.
80. Duffee, G., 2001, "Why Does the Slope of the Yield Curve Forecast Excess Returns?" working paper, University of California, Berkeley.
81. Duffee, G., and R. Stanton, 2001, "Estimation of Dynamic Term Structure Models." working paper. University of California, Berkeley.
82. Duffee, G. R., 2002, "Term Premia and Interest Rate Forecasts in Affine Models," Journal of Finance, 57, 405-443.
83. Duffie, D., 1996, Dynamic Asset Pricing Theory, 2nd ed., Princeton University Press, Princeton, NJ.
84. Duffie, D., 1998, "Defaultable Term Structure Models with Fractional Recovery of Par," working paper, Stanford University.
85. Duffie, D., D. Filipovic, and W. Schachermayer, 2002, "Affine Processes and Applications in Finance," working paper, forthcoming in Annals of Applied Probability.
86. Duffie, D., and M. Huang, 1996, "Swap Rates and Credit Quality," Journal of Finance, 51, 921-949.
87. Duffie, D., and R. Kan, 1996, "A Yield-Factor Model of Interest Rates," Mathematical Finance, 6, 379-406.
88. Duffie, D., and D. Lando, 2001, "Term Structures of Credit Spreads with Incomplete Accounting Information," working paper, Stanford University; forthcoming in Econometrica.
89. Duffie, D., and J. Liu, 2001, "Floating-Fixed Credit Spreads," Financial Analysts Review, 57, 76-87.
90. Duffie, D., J. Pan, and K. Singleton, 2000, "Transform Analysis and Asset Pricing for Affine Jump-Diffusion," Econometrica, 68, 1343-1376.
91. Duffie, D., L. Pedersen, and K. Singleton, 2002, "Modeling Credit Spreads on Sovereign Debt: A Case Study of Russian Bonds," forthcoming in Journal of Finance.
92. Duffie, D., and K. Singleton, 1997, "An Econometric Model of the Term Structure of Interest Rate Swap Yields," Journal of Finance, 52, 1287-1321.
93. Duffie, D., and K., Singleton, 1999, "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, 12, 687-720.
94. Dullmann, K., and M. Windfuhr, 2000, "Credit Spreads Between German and Italian Sovereign Bonds - Do Affine Models Work?" working paper, University of Mannheim.
95. Eom, Y., J. Helwege, and J.-Z. Huang, 2003, "Structural Models of Corporate Bond Pricing: An Empirical Analysis," forthcoming in Review of Financial Studies.
96. Ericsson, J., and J. Reneby, 2001, "The Valuation of Corporate Liabilities: Theory and Tests," working paper, McGill University.
97. Evans, M. D., 2000, "Regime Shifts, Risk and the Term Structure," working paper, Georgetown University.
98. Fama, E., 1984a, "The Information in the Term Structure," Journal of Financial Economics, 13, 509-528.
99. Fama, E., 1984b, "Term Premiums in Bond Returns," Journal of Financial Economics, 13, 529-546.
100. Fama, E. F., and R. R. Bliss, 1987, "The Information in Long-Maturity Forward Rates," American Economic Review, 77, 680-692.
101. Fan, R., A. Gupta, and R. Ritchken, 2001, "On Pricing and Hedging in the Swaption Market: How Many Factors Really?" working paper, Case Western Reserve University.
102. Fisher, M., 1998, "A Simple Model of the Failure of the Expectations Hypothesis," working paper, Federal Reserve Board.
103. Fisher, M., and C. Gilles, 1996, "Estimating Exponential Affine Models of the Term Structure," working paper, Federal Reserve Board, Washington, DC.
104. Fleming, M. J., and E. M. Remolona, 1999, "The Term Structure of Announcement Effects," Staff Report 76, Federal Reserve Board, New York.
105. Gallant, A. R., and G. Tauchen, 1996, "Which Moments to Match? " Econometric Theory, 12, 657-681.
106. Gallant, A. R., and G. Tauchen, 1998, "Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions," Journal of American Statistical Association, 93, 10-24.
107. Gerlach, S., and F. Smets, 1997, "The Term Structure of Euro-Rates: Some Evidence in Support of the Expectations Hypothesis," Journal of International Money and Finance, 16, 305-321.
108. Geske, R., 1977, "The Valuation of Corporate Securities as Compound Options." Journal of Financial and Quantitative Analysis, 12, 541-552.
109. Gibson, R., F. Lhabitant, and D. Talay, 2001, "Modeling the Term Structure of Interest Rates: A Review of the Literature," working paper, HEC.
110. Goldstein, R., 2000, "The Term Structure of Intesest Rates as a Random Field," Review of Financial Studies, 13, 365-384.
111. Gourieroux, C., A. Monfort, and V. Polimenis, 2002, "Affine Term Structure Models," working paper, CREST.
112. Gray, S., 1996, "Modeling the Conditional Distribution of Interest Rates as a Regime Switching Process," Journal of Financial Economics, 42, 27-62.
113. Grinblatt, M., 1994, "An Analytic Solution for Interest Rate Swap Spreads," working paper, UCLA.
114. Hamilton, J., 1988, "Rational-Expectations Econometric Analysis of Changes in Regime: An Investigation of the Term Structure of Interest Rates," Journal of Economic Dynamics and Control, 12, 385-423.
115. Hardouvelis, G., 1994, "The Term Structure Spread and Future Changes in Long and Short Rates in the G7 Countries," Journal of Monetary Economics, 33, 255-283.
116. Heath, D., R. Jarrow, and A. Morton, 1992, "Bond Pricing and the Term Structure of Interest Rates: A New Methodology," Econometrica, 60, 77-105.
117. Heidari, M., and L. Wu, 2003, "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?" forthcoming in Journal of Fixed Income.
118. Hogan, M., and K. Weintraub, 1993, "The Lognormal Interest Rate Model and Eurodollar Futures," working paper. Citibank, New York.
119. Honore, P., 1998, "Five Essays on Financial Econometrics in Continuous-Time Models" (Ph.D. dissertation), Aarhus School of Business.
120. Huang, J., and M. Huang, 2002, "How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk? A New Calibration Approach," working paper, Stanford University.
121. Hull, J., and A. White, 1987, "The Pricing of Options on Assets with Stochastic Volatilities," Journal of finance, 42, 281-300.
122. Hull, J., and A. White, 1993, "One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities," Journal of Financial and Quantitative Analysis, 28, 235-254.
123. Hull, J., and A. White, 1999, "Forward Rate Volatilities, Swap Rate Volatilities, and the Implementation of the LIBOR Market Model," working paper, University of Toronto.
124. Jagannathan, R., A. Kaplan, and S. Sun, 2001, "An Evaluation of Multi-factor CIR Models Using LIBOR, Swap Rates, and Swaption Prices," working paper, Northwestern University.
125. Jamshidian, F., 1997, "Libor and Swap Market Models and Measures," Finance Stochastics, 1, 293-330.
126. Janosi, T., R. Jarrow, and Y. Yildirim, 2000, "Estimated Expected Losses and Liquidity Discounts Implicit in Debt Prices," working paper, Cornell University.
127. Jarrow, R., and S. Turnbull, 1995, "Pricing Options on Financial Securities Subject to Default Risk," Journal of Finance, 50, 53-86.
128. Jarrow, R. A., D. Lando, and F. Yu, 2000, "Default Risk and Diversification: Theory and Applications," working paper, Cornell University.
129. Jegadeesh, N., and G. Pennacchi, 1996, "The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures," Journal of Money, Credit, and Banking, 28, 426-446.
130. Johannes, M., 2000, "A Nonparametric View of the Role of Jumps to Interest Rates," working paper, Columbia University.
131. Jones, E., S. Mason, and E. Rosenfeld, 1984, "Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation." Journal of Finance, 39, 611-625.
132. Kennedy, D. 1994, "The Term Structure of Interest Rates as a Gaussian Random Field," Mathematical Finance, 4, 247-258.
133. Keswani, A., 2002, "Estimating a Risky Term Structure of Brady Bonds," working paper, Lancaster University.
134. Kim, J., K. Ramaswamy, and S. Sundaresan, 1993, "Does Default Risk in Coupons Affect the Valuation of Corporate Bonds? A Contingent Claims Model," Financial Management, 22, 117-131.
135. Kugler, P., 1997, "Central Bank Policy Reaction and Expectations Hypothesis of the Term Structure," International Journal of Financial Economics, 2, 217-224.
136. Landen, C., 2000. "Bond Pricing in a Hidden Markov Model of the Short Rate," Finance and Stochastics, 4, 371-389.
137. Lando, D., 1998, "Cox Processes and Credit-Risky Securities," Review of Derivatives Research, 2, 99-120.
138. Langetieg, T., 1980, "A Multivariate Model of the Term Structure," Journal of Finance, 35, 71-97.
139. Leippold, M. and L. Wu, 2001, "Design and Estimation of Quadratic Term Structure Models," working paper, Fordham University.
140. Leippold, M., and L. Wu, 2002, "Asset Pricing Under the Quadratic Class," Journal of Financial and Quantitative Analysis, 37, 271-295.
141. Leland, H., and K. Toft, 1996, "Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads," Journal of Finance, 51, 987-1019.
142. Leland, H. E., 1994, "Corporate Debt Value, Bond Covenants, and Optimal Capital Structure," Journal of Finance, 49, 1213-1252.
143. Litterman, R., and J. Scheinkman, 1991, "Common Factors Affecting Bond Returns," Journal of Fixed Income, 1, 54-61.
144. Litterman, R., J. Scheinkman, and L. Weiss, 1988, "Volatility and the Yield Curve," working paper, Goldman Sachs.
145. Liu, J., 1997, "Generalized Method of Moments Estimation of Affine Diffusion Processes," working paper, Stanford University.
146. Liu, J., F. Longstaff, and R. Mandell, 2001, "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," working paper, UCLA.
147. Longstaff, F., P. Santa-Clara, and E. Schwartz, 1999, "Throwing Away a Billion Dollars," working paper, UCLA.
148. Longstaff, F. A., 1989, "A Nonlinear General Equilibrium Model of the Term Structure of Interest Rates," Journal of Financial Economics, 2, 195-224.
149. Longstaff, F. A., P. Santa-Clara, and E. S. Schwartz, 2001, "The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence," Journal of Finance, 56, 2067-2109.
150. Longstaff, F. A., and E. S. Schwartz, 1992, "Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model, " Journal of Finance, 47, 1259-1282.
151. Longstaff, F. A., and E. S. Schwanz, 1995, "A Simple Approach to Valuing Risky Fixed- and Floating-Rate Debt," Journal of Finance, 50, 789-819.
152. Lu, B., 2000, "An Empirical Analysis of the Constantinides Model of the Term Structure," working paper, University of Michigan.
153. Lu, B., and G. Wu, 2000, "Implied Bivariate State Price Density," working paper, University of Michigan.
154. Lyden, S., and D. Sariniti, 2000, "An Empirical Examination of the Classical Theory of Corporate Security Valuation," working paper, Barclays Global Investors.
155. Madan, D., and H. Unal, 1998, "Pricing the Risks of Default," Review of Derivatives Research, 2, 121-160.
156. Martellini, L., and N. E. Karoui, 2001, "A Theoretical Inspection of the Market Price for Default Risk," working paper, University of Southern California.
157. McCallum, B. T., 1994, "Monetary Policy and the Term Structure of Interest Rates," Working Paper 4938, NBER.
158. Mella-Barral, P., and W. Perraudin, 1997, "Strategic Debt Service," Journal of Finance, 52, 531-556.
159. Merrick, J. J., 1999, "Crisis Dynamics of Implied Default Recovery Ratios: Evidence from Russia and Argentina." working paper. New York University.
160. Merton, R., 1970, "A Dynamic General Equilibrium Model of the Asset Market and its Application to the Pricing of the Capital Structure of the Firm," working paper, MIT.
161. Merton, R., 1974, "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, 29, 449-470.
162. Miltersen, K. R., K. Sandmann, and D. Sondermann, 1997, "Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Journal of Finance, 52, 409-430.
163. Musiela, M., and M. Rutkowski, 1997, Martingale Methods in Financial Modelling, Springer,
164. Naik, V., and M. H. Lee, 1997, "Yield Curve Dynamics with Discrete Shifts in Economic Regimes: Theory and Estimation," working paper, University of British Columbia.
165. Nielsen, L. T., J. SaaRequejo, and P. Santa-Clara, 1993, "Default Risk and Interest Rate Risk: The Term Structure of Default Spreads." working paper, INSEAD, Fontainebleau, France.
166. Ogden, J., 1987, "Determinants of the Relative Interest Rate Sensitivities of Corporate Bonds," Financial Management, 10, 22-30.
167. Pagès, H., 2000, "Estimating Brazilian Sovereign Risk from Brady Bond Prices," working paper, Bank of France.
168. Pearson, N. D., and T. Sun, 1994, "Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model," Journal of Finance, 49, 1279-1304.
169. Pedersen, A., 1995, "A New Approach to Maximum Likelihood Estimation for Stochastic Differential Equations Based on Discrete Observations." Scandanavian Journal of Statistics, 22, 55-71.
170. Peterson, S., R. Stapleton, and M. Subrahmanyam, 1998, "An Arbitrage-free Two-Factor Model of the Term Structure of Interest Rates: A Multivariate Binomial Approach," working paper, New York University.
171. Piazzesi, M., 2001, "An Econometric Model of the Term Structure with Macroeconomic Jump Effects," working paper, UCLA.
172. Rebonato, R., 1999, "On the Simultaneous Calibration of Multifactor Lognormal Interest Rate Models to Black Volatilities and to the Correlation Matrix," Journal of Computational Finance, 2, 5-27.
173. Rebonato, R., and I. Cooper, 1997, "The Limitations of Simple Two-Factor Interest Rate Models," Journal of Financial Engineering, 5, 1-16.
174. Roberds, W., and C. Whiteman, 1999, "Endogenous Term Premia and Anamolies in the Term Structure of Interest Rates: Explaining the Predictability Smile," Journal of Monetary Economics, 44, 555-580.
175. Sandmann, K., and D. Sondermann, 1977, "A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures," Mathematical Finance, 7, 119-125.
176. Santa-Clara, P., and D. Sornette, 2001, "The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks," Review of Financial Studies, 14, 149-185.
177. Singleton, K., 1995, "Yield Curve Risk Management for Government Bond Portfolios: An International Comparison," in W. Beaver and G. Parker, (eds.), Risk Management Problems and Solutions, McGraw Hill, New York.
178. Singleton, K., 2001, "Estimation of Affine Asset Pricing Models Using the Empirical Characteristic Function," Journal of Econometrics, 102, 111-141.
179. Singleton, K., and L. Umantsev, 2002, "Pricing Coupon-Bond Options and Swaptions in Affine Term Structure Models," Mathematical Finance, 12, 427-446.
180. Stanton, R., 1997, "A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk," Journal of Finance, 52, 1973-2002.
181. Steenkiste, R. J. V., and S. Foresi, 1999, "Arrow-Debreu Prices for Affine Models," working paper, Soloman Smith Barney and Goldman Sachs.
182. Sun, T., 1992, "Real and Nominal Interest Rates: A Discrete-Time Model and Its Continuous-Time Limit," Review of Financial Studies, 5, 581-611.
183. Sun, T., S. Sundaresan, and C. Wang, 1993, "Interest Rate Swaps - An Empirical Investigation," Journal of Financial Economics, 34, 77-99.
184. Sundaresan, S., 2000, "Continuous-Time Methods in Finance: A Review and an Assessment," Journal of Finance, 55, 1569-1622.
185. Tauren, M., 1999, "A Model of Corporate Bond Prices with Dynamic Capital Structure," working paper, Indiana University.
186. Umantsev, L., 2001, "Econometric Analysis of European LIBOR-Based Options with Affine Term Structure Models," (Ph.D. dissertation), Stanford University.
187. Vasicek, O., 1977, "An Equilibrium Characterization of the Term Structure," Journal of Financial Economics, 5, 177-188.
188. Wachter, J., 2002, "Habit Formation and Returns on Bonds and Stocks," working paper, New York University.
189. Wu, S., 2002, "How Do Changes In Monetary Policy Affect the Term Structure of Interest Rates?" working paper, University of Kansas.
190. Wu, T., 2000, "Macro Factors and the Affine Term Structure of Interest Rates," working paper, Yale University.
191. Yan, H., 2001, "Dynamic Models of the Term Structured," Financial Analysis Journal, July/August, 60-75.
192. Yu, F., 2002, "Modeling Expected Return on Defaultable Bonds," Journal of Fixed Income, 12, 69-81.
193. Zhou, C., 2001a, "The Term Structure of Credit Spreads with Jump Risk," Journal of Banking and finance, 25, 2015-2040.
194. Zhou, H., 2001b, "Jump-Diffusion Term Structure and Ito Conditional Moment Generator," working paper. Federal Reserve Board.