1. Macroeconomic forecasting in times of crises. (2023). Zhong, Molin ; Guerroonquintana, Pablo.
   In: Journal of Applied Econometrics.
   RePEc:wly:japmet:v:38:y:2023:i:3:p:295-320.

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2. Optimally adjusted last cluster for prediction based on balancing the bias and variance by bootstrapping. (2019). Kim, Jeongwoo.
   In: PLOS ONE.
   RePEc:plo:pone00:0223529.

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3. Macroeconomic Forecasting in Times of Crises. (2017). Guerron, Pablo ; Zhong, Molin ; Guerron-Quintana, Pablo.
   In: Finance and Economics Discussion Series.
   RePEc:fip:fedgfe:2017-18.

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4. Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions. (2014). Hammoudeh, Shawkat ; GUPTA, RANGAN ; Alvarez-Diaz, Marcos.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:29:y:2014:i:c:p:22-35.

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5. Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions. (2013). Hammoudeh, Shawkat ; GUPTA, RANGAN ; Alvarez-Diaz, Marcos.
   In: Working Papers.
   RePEc:pre:wpaper:201385.

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6. Nonlinear and nonparametric modeling approaches for probabilistic forecasting of the US gross national product. (2013). McSharry, Patrick ; Siddharth, Arora ; McSharry Patrick E., ; Little Max A., .
   In: Studies in Nonlinear Dynamics & Econometrics.
   RePEc:bpj:sndecm:v:17:y:2013:i:4:p:395-420:n:3.

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7. The Pricing of Time-Varying Exchange Rate Risk in the Stock Market: A Nonparametric Approach. (2012). Chung, Peter Y. ; Zhou, Zhong-Guo.
   In: Studies in Nonlinear Dynamics & Econometrics.
   RePEc:bpj:sndecm:v:16:y:2012:i:1:n:6.

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8. An evaluation of the professional forecasts of U.S. long?term interest rates. (2006). Baghestani, Hamid.
   In: Review of Financial Economics.
   RePEc:wly:revfec:v:15:y:2006:i:2:p:177-191.

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9. An evaluation of the professional forecasts of U.S. long-term interest rates. (2006). Baghestani, Hamid.
   In: Review of Financial Economics.
   RePEc:eee:revfin:v:15:y:2006:i:2:p:177-191.

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1. The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds. (2009). Landon, Stuart.
   In: MPRA Paper.
   RePEc:pra:mprapa:15467.

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2. CHINAS OFFICIAL RATES AND BOND YIELDS. (2009). Johansson, Anders ; Fan, Longzhen .
   In: Working Paper Series.
   RePEc:hhs:hacerc:2009-003.

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3. The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds. (2009). Landon, Stuart.
   In: EERI Research Paper Series.
   RePEc:eei:rpaper:eeri_rp_2009_20.

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4. Optimal execution of Portfolio transactions with geometric price process. (2009). Pacheco-Gonzalez, Carlos ; Gerardo Hernandez-del-Valle, .
   In: Papers.
   RePEc:arx:papers:0908.1211.

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5. Taxation and bond market investment strategies: Evidence from the market for Government of Canada bonds. (2008). Smith, Constance ; Landon, Stuart.
   In: MPRA Paper.
   RePEc:pra:mprapa:9959.

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6. Estimating exchange rate dynamics with diffusion processes: an application to Greek EMU data. (2007). Wilfling, Bernd ; Trede, Mark.
   In: Empirical Economics.
   RePEc:spr:empeco:v:33:y:2007:i:1:p:23-39.

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7. Term-structure estimation in markets with infrequent trading. (2007). Schwartz, Eduardo S. ; Naranjo, Lorenzo F. ; Cortazar, Gonzalo.
   In: International Journal of Finance & Economics.
   RePEc:ijf:ijfiec:v:12:y:2007:i:4:p:353-369.

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8. Term Structure Modeling for Pension Funds:What to do in Practice?. (2007). Vlaar, Peter.
   In: DNB Working Papers.
   RePEc:dnb:dnbwpp:123.

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9. Foreign Exchange Risk Premium Determinants: Case of Armenia. (2006). Poghosyan, Tigran ; Kočenda, Evžen.
   In: William Davidson Institute Working Papers Series.
   RePEc:wdi:papers:2006-811.

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10. Affine term structure models for the foreign exchange risk premium. (2006). Benati, Luca.
    In: Bank of England working papers.
    RePEc:boe:boeewp:291.

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11. The Dynamics of the Short-Term Interest Rate in the UK. (2005). Bernales, Alejandro ; Beuermann, Diether ; Antoniou, Antonios .
    In: Finance.
    RePEc:wpa:wuwpfi:0512029.

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12. Implied derivative security prices based two-factor interest model: a UK application. (2005). Sorwar, Ghulam.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:10:p:739-744.

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13. An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate. (2005). Lo, Ingrid.
    In: Staff Working Papers.
    RePEc:bca:bocawp:05-45.

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14. A Generalized Earnings-Based Stock Valuation Model. (2004). Hirshleifer, David ; Dong, Ming.
    In: Finance.
    RePEc:wpa:wuwpfi:0412008.

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15. Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets. (2004). Chiarella, Carl ; Bhar, Ram ; To, Thuy-Duong .
    In: Finance.
    RePEc:wpa:wuwpfi:0409003.

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16. A Dynamic Programming Approach for Pricing Options Embedded in Bonds. (2004). Ben-Ameur, Hatem ; Breton, Michle .
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:237.

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17. Implied option prices from the continuous time CKLS interest rate model: an application to the UK. (2003). Nowman, Ben K. ; Sorwar, Ghulam.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:3:p:191-197.

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18. Comparing forecasting ability of parametric and non-parametric methods: an application with Canadian monthly interest rates. (2003). SaltoÄŸlu, Burak ; Burak Saltoğlu, .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:3:p:169-176.

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19. An empirical comparison of interest rates using an interest rate model and nonparametric methods. (2003). SaltoÄŸlu, Burak ; Nowman, Ben K..
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:10:y:2003:i:10:p:643-645.

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20. Multivariate Term Structure Models with Level and Heteroskedasticity Effects. (2003). Christiansen, Charlotte.
    In: Finance Working Papers.
    RePEc:hhb:aarfin:2002_019.

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21. Nearest-Neighbor Forecasts of U.S. Interest Rates. (2003). Chakraborty, Atreya ; Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:313.

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22. A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models. (2002). Chiarella, Carl ; Bhar, Ram ; To, Thuyduong .
    In: Research Paper Series.
    RePEc:uts:rpaper:80.

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23. Calibrating the Black-Derman-Toy model: some theoretical results. (2001). Tan, Ken Seng ; Tian, Weidong ; Boyle, Phelim P..
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:8:y:2001:i:1:p:27-48.

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24. An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices. (2001). Jagannathan, Ravi ; Kaplin, Andrew ; Sun, Steve Guoqiang.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8682.

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25. Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach. (2001). Phillips, Peter ; LINTON, OLIVER ; Jeffrey, Andrew ; Nguyen, Thong.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1311.

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26. Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate. (2001). Yu, Jun ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1309.

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27. Short and Long Memory in Equilibrium Interest Rate Dynamics. (2001). Duan, Jin-Chuan ; Jacobs, Kris.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-22.

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28. The Potential Approach to Bond and Currency Pricing. (1999). Wu, Liuren ; Leippold, Markus.
    In: Finance.
    RePEc:wpa:wuwpfi:9903004.

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29. Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines. (1999). El-Hassan, Nadima ; Chiarella, Carl.
    In: Research Paper Series.
    RePEc:uts:rpaper:12.

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30. A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility. (1999). Boudoukh, Jacob ; Richardson, Matthew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7213.

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31. The Valuation of American-Style Swaptions in a Two-factor Spot-Futures Model. (1999). Subrahmanyam, Marti G. ; Peterson, Sandra ; Stapleton, Richard C..
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-078.

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32. The Term Structure of Interest Rate-Futures Prices. (1999). Subrahmanyam, Marti G. ; Stapleton, R. C..
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-045.

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33. A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility. (1999). Boudoukh, Jacob ; Whitelaw, Robert ; Stanton, Richard ; Richardson, Matthew.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-042.

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34. Pricing stock and bond derivatives with a multi-factor Gaussian model. (1998). Isabelle Bajeux-Besnainou, Roland Portait, .
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:207-225.

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35. Discrete-Time Models of Bond Pricing. (1998). Telmer, Chris ; Backus, David ; Foresi, Silverio .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6736.

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36. Tasas de Interés Nominal de Corto Plazo en Chile: Una Comparación Empírica de sus Modelos. (1998). Parisi, Franco.
    In: Latin American Journal of Economics-formerly Cuadernos de Economía.
    RePEc:ioe:cuadec:v:35:y:1998:i:105:p:161-182.

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37. Economic Valuation Models for Insurers. (1997). Babbel, David ; Merrill, Craig.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:97-44.

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38. Derivatives in a Dynamic Environment. (1997). Scholes, Myron.
    In: Nobel Prize in Economics documents.
    RePEc:ris:nobelp:1997_002.

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39. The Central Tendency: A Second Factor in Bond Yields. (1997). Das, Sanjiv ; Balduzzi, Pierluigi ; Foresi, Silverio .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6325.

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40. An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model. (1997). Das, Sanjiv.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0212.

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41. A two-factor duration model for interest rate risk management. (1997). Navarro, Eliseo ; Nave, Juan M..
    In: Investigaciones Economicas.
    RePEc:iec:inveco:v:21:y:1997:i:1:p:55-74.

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42. The Ex Ante Predictive Accuracy of Alternative Models of the Term Structure of Interest Rates. (1997). Bekdache, Basma ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:372.

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43. A comparison of diffusion models of the term structure. (1996). Strickland, Chris .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:2:y:1996:i:1:p:103-123.

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44. Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing. (1996). Zin, Stanley ; Backus, David ; Foresi, Silverio .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5638.

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45. Testing Continuous-Time Models of the Spot Interest Rate. (1995). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5346.

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46. Nonparametric Pricing of Interest Rate Derivative Securities. (1995). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5345.

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47. Empirical tests of two state-variable HJM models. (1995). Ritchken, Peter ; Bliss, Robert R..
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:95-13.

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48. Reverse Engineering the Yield Curve. (1994). Zin, Stanley ; Backus, David.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4676.

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49. An Alternative Strategy for Estimation of a Nonlinear Model of the Term Structure of Interest Rates. (1994). Baum, Christopher ; Liu, Olin.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:275.

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50. Application of statistical mechanics methodology to term-structure bond-pricing models. (1991). Ingber, Lester ; Jabbour, G. M. ; Barnhill, T. M. ; Wehner, M. F..
    In: Lester Ingber Papers.
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