### Citations

1975 | A Theory of the Term Structure of Interest Rates
- Cox, Ingersoll, et al.
- 1985
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Citation Context ...ve semi-definite; (3g) H0,ii = 0, i ≤ M; (3h) Hk1 is positive semi-definite with H k 1 = 0 for k > M; (3i) Hk1,ii = 0 when i ≤ M and i ≠ k. (3j) Under these constraints, the first M factors are CIR (=-=Cox et al., 1985-=-) processes that drive both volatility (through H1) and interest rates (through ρ1), while the remaining N–M factors are conditionally Gaussian with the local conditional volatility determined by the ... |

1202 | Estimation and inference in econometrics - Davidson, MacKinnon - 1993 |

710 | Transform analysis and asset pricing for affine jump diffusions, - Duffie, Pan, et al. - 2000 |

662 | A Yield-Factor Model of Interest Rates - Duffie, Kan - 1996 |

595 | Specification Analysis of Affine Term Structure Models
- Dai, Singleton
- 2000
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Citation Context ...pper M × M block. This condition allows for a fully flexible market price of risk as in Cheridito et al. (2007) (see also Liptser et al., 2000).8 We impose the following additional constraints (as in =-=Dai and Singleton, 2000-=-) to obtain econometric identification of the parameters: ρ1,i ≥ 0, i > M; (5a) H0,ij = 1, i = j > M, 0 otherwise; (5b) Hk1,kk = 1, k ≤ M; (5c) Hk1,ij = 0, k ≤ M, i ≠ j; (5d) KP0,i = 0, i > M; (5e) K... |

451 | Term Premia and the Interest Rate Forecasts in Affine Models
- Duffee
- 2002
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Citation Context ... and 7, the expected excess returns for the A1(3)o and A2(3)o models that we estimate using options are very similar to those for the constant volatility A0(3) model (which was the preferred model in =-=Duffee, 2002-=- and Cheridito et al., 2007). The expected excess returns for the A1(3) and A2(3)models are very similar to each other, but different from their counterparts that we estimate using options. To summari... |

418 | The jump-risk premia implicit in options: Evidence from an integrated time-series study - Pan - 2002 |

408 | Common Factors affecting Bond Returns - Litterman, Scheinkman - 1991 |

335 | The Information in Long-Maturity Forward Rates. - Fama, Bliss - 1987 |

283 | Forecasting the Term Structure of Government Bond Yields - Diebold, Li - 2006 |

265 | Maximum Likelihood Estimation for a Multi-factor Equilibrium Model of the Term Structure of Interest Rates - Chen, Scott - 1993 |

235 | Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices. - Eraker - 2004 |

200 | Recovering Risk Aversion from Option Prices and Realized Returns - Jackwerth - 2000 |

194 | Nonparametric Risk Management and Implied Risk Aversion - Aït-Sahalia, Lo - 2000 |

159 | The dynamics of stochastic volatility: Evidence from underlying and options markets. - Jones - 2003 |

148 | Expectation Puzzles, Time-Varying Risk Premia, and Affine Models of the Term Structure - Dai, Singleton - 2002 |

137 | Bond Yields and the Federal Reserve”, - Piazzesi - 2005 |

136 | The information in the term structure, - Fama - 1984 |

133 | A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation, - Chernov, Ghysels - 2000 |

107 | Bond Risk Premia." - Cochrane, Piazzesi - 2005 |

104 | Term Structure Dynamics in Theory and Reality”, - Dai, Singleton - 2003 |

83 | Do option markets correctly price the probabilities of movement of the underlying asset?, - Aıt-Sahalia, Wang, et al. - 2001 |

82 |
Market price of risk specifications for affine models: theory and evidence”,
- Cheridito, Filipovic, et al.
- 2007
(Show Context)
Citation Context ...ted excess returns for the A1(3)o and A2(3)o models that we estimate using options are very similar to those for the constant volatility A0(3) model (which was the preferred model in Duffee, 2002 and =-=Cheridito et al., 2007-=-). The expected excess returns for the A1(3) and A2(3)models are very similar to each other, but different from their counterparts that we estimate using options. To summarize, the risk premiums that ... |

77 | Asset Pricing Under the Quadratic Class”,
- Leippold, Wu
- 2002
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Citation Context ...plied from option prices to the objective distribution of returns inferred from time-series data. 7 Researchers have also extensively studied quadratic term structuremodels (see Ahn et al., 2002, and =-=Leippold and Wu, 2002-=-). However, Cheng and Scaillet (2007) show that affine and quadratic term structure models are equivalent and therefore our choice to restrict the analysis to affine models is without loss of generali... |

73 | The relative valuation of caps and swaptions: Theory and empirical evidence - Longstaff, Santa-Clara, et al. - 2001 |

55 |
Bootstrap methods: A Guide for Practitioners and Researchers,
- Chernick
- 2007
(Show Context)
Citation Context ...to the lack of an economic model for the measurement errors, we complete the bootstrap procedure by using the block bootstrap with blocks of length 12 to generate pricing errors (for an overview, see =-=Chernick, 2001-=-). The reported bootstrapped t-statistics correspond to the reported R2s divided by the standard deviation of the bootstrapped R2s. For comparison, in Table 6 we also provide this R2 statistic for thr... |

51 | Evaluating an Alternative Risk Preference in Affine Term Structure Models. - Duarte - 2004 |

44 | Term premiums in bond returns, - Fama - 1984 |

36 | Unspanned stochastic volatility: Evidence from hedging interest rate derivatives’, - Li, Zhao - 2006 |

35 | Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies. - Bakshi, Carr, et al. - 2008 |

35 | Stochastic volatilities and correlations of bond yields, - Han - 2001 |

34 | The myth of long-horizon predictability. - Boudoukh, Richardson, et al. - 2008 |

33 | The performance of multi-factor term structure models for pricing and hedging caps and swaptions, - Driessen, Klaasen, et al. - 2003 |

27 | An evaluation of multifactor CIR models using libor, swap rates, and cap and swaption prices, - Jagannathan, Kaplin, et al. - 2001 |

26 | Identifying term structure volatility from the LIBOR-swap curve, working paper - Thompson - 2004 |

22 | Do bonds span volatility risk in the U.S. Treasury market? A specification test for affine term structure models - Andersen, Benzoni - 2010 |

19 | Estimating exponential-affine models of the term structure, Working paper, Federal Reserve Atlanta - Fisher, Gilles - 1996 |

19 | Exchange Rate Volatility and the Forward Premium Anomaly,” 2006. Working Paper - Graveline |

9 | Linear-quadratic jump-diffusion modelling. - Cheng, Scaillet - 2007 |

4 | Yield curve and volatility: Lessons from Eurodollar futures and options - Bikbov, Chernov - 2011 |

3 |
Quadratic Term StructureModels: Theory and Evidence
- AHN, DITTMAR, et al.
- 2002
(Show Context)
Citation Context ...ribution of returns implied from option prices to the objective distribution of returns inferred from time-series data. 7 Researchers have also extensively studied quadratic term structuremodels (see =-=Ahn et al., 2002-=-, and Leippold and Wu, 2002). However, Cheng and Scaillet (2007) show that affine and quadratic term structure models are equivalent and therefore our choice to restrict the analysis to affine models ... |

2 | Do bonds span the fixed incomemarkets? Theory and evidence for unspanned stochastic volatility - Collin-Dufresne, Goldstein, et al. - 2009 |

2 | Spanned stochastic volatility: a reexamination of the relative pricing between bonds and bond options. BIS Working Papers - Kim - 2007 |

1 | Yield spreads and interest ratemovements: a bird’s eye view - Campbell, Shiller - 1991 |

1 | DynamicAsset Pricing Theory, third ed - Duffie - 2001 |

1 | Stochastic volatilities and correlations of bond yields - Gurkaynak, Sack, et al. - 2005 |

1 | Pricing and hedging volatility risk in fixed incomemarkets.Working Paper - Joslin - 2007 |