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Using Treasury STRIPS to measure the yield curve. (2000). Sack, Brian.
In: Finance and Economics Discussion Series.
RePEc:fip:fedgfe:2000-42.

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  1. The reinvestment risk premium in the valuation of British and Russian government bonds. (2021). Rodina, Victoria A ; Teplova, Tamara V.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:55:y:2021:i:c:s0275531919307718.

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  2. Samuelson hypothesis, arbitrage activity, and futures term premiums. (2020). Brooks, Robert ; Teterin, Pavel .
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:40:y:2020:i:9:p:1420-1441.

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  3. The decline in idiosyncratic values of US Treasury securities. (2019). Zhou, Lei ; Wu, Yanbin ; Livingston, Miles.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:107:y:2019:i:c:8.

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  4. Term structure extrapolation and asymptotic forward rates. (2016). de Kort, J ; Vellekoop, M H.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:67:y:2016:i:c:p:107-119.

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  5. Technical Review Panel for the Pension Insurance Modeling System (PIMS). (2013). Mitchell, Olivia ; Lucas, Deborah ; Fabozzi, Frank ; Babbel, David ; Geczy, Christopher C. ; Novy-Marx, Robert ; Maurer, Raimond ; Clarke, Martin G. ; Segal, Donald J. ; Fuerst, Donald E. ; Bone, Christopher M..
    In: Working Papers.
    RePEc:mrr:papers:wp290.

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  6. The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve. (2008). Meeks, Roland ; Bowsher, Clive.
    In: Economics Papers.
    RePEc:nuf:econwp:0805.

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  7. Einflussfaktoren auf den Credit Spread von Unternehmensanleihen. (2008). Laut, Amelie ; Gann, Philipp .
    In: Discussion Papers in Business Administration.
    RePEc:lmu:msmdpa:4231.

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  8. The dynamics of economics functions: modelling and forecasting the yield curve. (2008). Meeks, Roland ; Bowsher, Clive.
    In: Working Papers.
    RePEc:fip:feddwp:0804.

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  9. The U.S. Treasury yield curve: 1961 to the present. (2006). Wright, Jonathan ; Gürkaynak, Refet ; Sack, Brian.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2006-28.

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  10. INFLATION TARGETING AND THE ANCHORING OF INFLATION EXPECTATIONS IN THE WESTERN HEMISPHERE. (2006). Swanson, Eric ; Levin, Andrew ; Gürkaynak, Refet ; Marder, Andrew N..
    In: Journal Economía Chilena (The Chilean Economy).
    RePEc:chb:bcchec:v:9:y:2006:i:3:p:19-52.

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  11. The excess sensitivity of long-term interest rates: evidence and implications for macroeconomic models. (2003). Swanson, Eric ; Gürkaynak, Refet ; Sack, Brian.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2003:i:mar:x:8.

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  12. Deriving inflation expectations from nominal and inflation-indexed Treasury yields. (2000). Sack, Brian.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2000-33.

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References

References cited by this document

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  2. [10] Jordan, Bradford D., Randy D. Jorgensen, and David R. Kuipers. 2000. The Relative Pricing of U.S. Treasury STRIPS: Empirical Evidence. Journal of Financial Economics 56, 89-123. 21

  3. [11] Nelson, C. R. and A. F. Siegel. 1987. Parsimonious Modeling of Yield Curves. Journal of Business 60, 473-489.

  4. [2] Daves, Phillip R. and Michael C. Ehrhardt. 1993. Liquidity, Reconstitution, and the Value of U.S. Treasury Strips. Journal of Finance 48, 3 15-329.
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  8. [6] Fisher, Mark, Douglas Nychka, and David Zervos. 1995. Fitting the Term Structure of Interest Rates with Smoothing Splines. Finance and Economics Discussion Series 1995-1. Board of Governors of the Federal Reserve System.

  9. [7] Fisher, Mark. 1996. Fitting and Interpreting the U.S. Yield Curve at the Federal Reserve Board. Mimeo, Federal Reserve Board of Governors.
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  10. [8] Fisher, Mark and David Zervos. 1996. YieldCurve. In H. Varian (ed.), Computational Economics and Finance: Modeling and Analysis with Math ematica. New York: Springer-Verlag.
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  11. [9] Livingston, Miles and Deborah Wright Gregory. 1989. The Stripping of U.S. Treasury Securities. Monograph Series in Finance and Economics 1989-1, Salomon Brothers Center for the Study of Financial Institutions, New York University.
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Cocites

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    In: Research in International Business and Finance.
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  2. Modifying Hybrid Optimisation Algorithms to Construct Spot Term Structure of Interest Rates and Proposing a Standardised Assessment. (2019). Husodo, Zaafri Ananto ; Wibowo, Buddi ; Utama, Cynthia Afriani ; Sasongko, Aryo.
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  3. The decline in idiosyncratic values of US Treasury securities. (2019). Zhou, Lei ; Wu, Yanbin ; Livingston, Miles.
    In: Journal of Banking & Finance.
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  4. Estimation of the yield curve for Costa Rica using combinatorial optimization metaheuristics applied to nonlinear regression. (2019). Trejos-Zelaya, Javier ; Quiros-Granados, Andres.
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  11. Examining the Nelson-Siegel Class of Term Structure Models. (2007). De Pooter, Michiel.
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  60. Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994. (1994). Svensson, Lars.
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