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Return generating process and the determinants of term premiums. (1996). Mei, Jianping ; Elton, Edwin J. ; Gruber, Martin J..
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:20:y:1996:i:7:p:1251-1269.

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  1. Green bond market and Sentiment: Is there a switching Behaviour?. (2022). Evi, Aleksandar ; Lopez-Cabarcos, Angeles M ; Pieiro-Chousa, Juan.
    In: Journal of Business Research.
    RePEc:eee:jbrese:v:141:y:2022:i:c:p:520-527.

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  2. Detecting time-variation in corporate bond index returns: A smooth transition regression model. (2011). Chen, Louisa ; Maringer, Dietmar .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:1:p:95-103.

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  3. Significance of risk modelling in the term structure of interest rates. (2007). Papadamou, Stephanos ; HALKOS, GEORGE.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:3:p:237-247.

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  4. An investigation of bond term premia in international government bond indices. (2006). Papadamou, Stephanos ; HALKOS, GEORGE.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:20:y:2006:i:1:p:45-61.

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  5. Time-varying excess returns on UK government bonds: A non-linear approach. (2004). Milas, Costas ; Lekkos, Ilias .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:1:p:45-62.

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  6. The information in the Mexican term structure of interest rates: capital market implications. (1999). Walz, Daniel ; Spencer, Roger ; Gonzalez, Jorge.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:9:y:1999:i:2:p:149-161.

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  7. Term Spreads and Predictions of Bond and Stock Excess Returns. (1998). Domian, Dale L. ; Reichenstein, William .
    In: Financial Services Review.
    RePEc:eee:finser:v:7:y:1998:i:1:p:25-44.

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References

References cited by this document

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  4. Some Recent Developments in Nonparametric Finance. (2013). Hong, Yongmiao ; CAI, ZONGWU.
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  5. An evaluation of some popular investment strategies under stochastic interest rates. (2013). Kung, James J. ; Wu, E-Ching, .
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  6. A reduced form model of default spreads with Markov-switching macroeconomic factors. (2011). Dionne, Georges ; Gauthier, Genevieve ; Maurice, Mathieu ; Hammami, Khemais ; Simonato, Jean-Guy.
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  7. The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield. (2011). Tang, Ke ; Liu, Peng.
    In: Journal of Empirical Finance.
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  8. A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors. (2010). Dionne, Georges ; Gauthier, Genevieve ; Maurice, Mathieu ; Hammami, Khemais ; Simonato, Jean-Guy.
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  9. No-arbitrage conditions for storable commodities and the modeling of futures term structures. (2010). Tang, Ke ; Liu, Peng.
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  10. Pricing the term structure of inflation risk premia: Theory and evidence from TIPS. (2010). Liu, BO ; Cheng, Xiaolin .
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  11. Pricing caps and floors with the extended CIR model. (2008). Mannolini, Antonio ; Roberto Renò, ; Roberto Renò, ; Mari, Carlo.
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  12. Estimation and evaluation of the term structure of credit default swaps: An empirical study. (2008). Liu, BO ; Cheng, Xiaolin .
    In: Insurance: Mathematics and Economics.
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  13. An empirical study of corporate bond pricing with unobserved capital structure dynamics.. (2007). Maclachlan, Iain C.
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  14. A model of discontinuous interest rate behavior, yield curves, and volatility. (2007). Heston, Steven.
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  15. Robust Equilibrium Yield Curves. (2007). Vincent, Nicolas ; Kleshchelski, Isaac .
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  16. Nonparametric Methods in Continuous-Time Finance: A Selective Review. (2003). Hong, Yongmiao ; CAI, ZONGWU.
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  17. Itô conditional moment generator and the estimation of short rate processes. (2003). Zhou, Hao.
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  18. Pricing kernels, inflation, and the term structure of interest rates. (2003). Haubrich, Joseph ; Craig, Ben R..
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  19. Discounting the distant future: how much do uncertain rates increase valuations?. (2003). Pizer, William ; Newell, Richard.
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  20. Real rates, nominal rates, and the Fisherian link. (2003). Pittman, Deborah N. ; Chu, Quentin C. ; Yu, Linda Q..
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  21. Direct estimation of the risk neutral factor dynamics of Gaussian term structure models. (2003). Bams, Dennis ; Schotman, Peter C..
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  22. Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach. (2003). Ma, Chenghu.
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  23. Cross-sectional Restrictions on the Spot and Forward Term Structures of Interest Rates and Panel Unit Root Tests. (2003). Lekkos, Ilias .
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  24. A Non-Parametric Dimension Test of the Term Structure. (2002). Rubio, Gonzalo.
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  25. Investigating the sources of default risk: lessons from empirically evaluating credit risk models. (2001). Madan, Dilip ; Bakshi, Gurdip ; Zhang, Frank.
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  42. Nonparametric Pricing of Interest Rate Derivative Securities. (1995). Ait-Sahalia, Yacine.
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  43. Estimating the Cox, ingersoll and Ross model of the term structure: a multivariate approach. (1995). Berardi, Andrea.
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  44. Testing for continuous-time models of the short-term interest rate. (1995). Zakoian, Jean-Michel ; Scaillet, Olivier ; Broze, Laurence.
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  46. A Spectral-Temporal Index with an Application to U.S. Interest Rates.. (1994). Martin, Vance ; Lim, Guay.
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  47. Prices during the Great Depression: Was the Deflation of 1930-32 really unanticipated?. (1989). Cecchetti, Stephen.
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  48. Interest Rate Term Premiums and the Failure of the Speculative Efficiency Hypothesis: A Theoretical Investigation. (1989). Osler, Carol.
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  49. The Case of the Negative Nominal Interest Rates: New Estimates of the Term Structure of Interest Rates During the Great Depression. (1987). Cecchetti, Stephen.
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  50. Pricing Mortgages: An Interpretation of the Models and Results. (1987). Van Order, Robert ; hendershott, patric.
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