This document has not been cited yet.

1. Athreya, K. B., Lahiri, S. N., 2006. Measure Theory and Probability Theory. New York: Springer.
   Paper not yet in RePEc: Add citation now
   

2. Black, F., 1995. Interest rates as options. The Journal of Finance 50 (5), 1371–1376.

3. Box, G., Jenkins, G., 1970. Time Series Analysis: Forecasting and Control. San Francisco: Holden-Day.
   Paper not yet in RePEc: Add citation now
   
4. Carter, C. K., Kohn, R., 1994. On Gibbs sampling for state space models. Biometrika 81 (3), 541–553.
   Paper not yet in RePEc: Add citation now
   

5. Chen, R., Liu, J. S., 2000. Mixture Kalman filters. Journal of the Royal Statistical Society: Series B (Statistical Methodology) 62 (3), 493-508.

6. Chopin, N., 2004. Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference. The Annals of Statistics 32 (6), 2385–2411.

7. Cogley, T., Sargent, T. J., 2001. Evolving post-World War II U.S. inflation dynamics. In: NBER Macroeconomics Annual 2001, Volume 16. Cambridge: MIT Press, 331–388.
   Paper not yet in RePEc: Add citation now
   

8. Cogley, T., Sargent, T. J., 2005. Drift and volatilities: Monetary policies and outcomes in the post WWII U.S. Review of Economic Dynamics 8 (2), 262–302.

9. Commandeur, J. J. F., Koopman, S. J., Ooms, M., 2011. Statistical software for state space methods. Journal of Statistical Software 41 (1), 1–18.

10. De Jong, P., 1991. The diffuse Kalman filter. The Annals of Statistics 19 (2), 1073–1083.
    Paper not yet in RePEc: Add citation now
    

11. Diebold, F. X., Rudebusch, G. D., Aruoba, B. S., 2006. The macroeconomy and the yield curve: a dynamic latent factor approach. Journal of Econometrics 131 (1-2), 309–338.

12. Doran, H. E., 1992. Constraining Kalman filter and smoothing estimates to satisfy time-varying restrictions. The Review of Economics and Statistics 74 (3), 568–72.

13. Doucet, A., Godsill, S., Andrieu, C., 2000. On sequential Monte Carlo sampling methods for Bayesian filtering. Statistics and Computing 10 (3), 197– 208.
    Paper not yet in RePEc: Add citation now
    
14. Doucet, A., Gordon, N., Krishnamurthy, V., 2001. Particle filters for state estimation of jump Markov linear systems. Signal Processing, IEEE Trans-actions on 49 (3), 613–624.
    Paper not yet in RePEc: Add citation now
    
15. Doucet, A., Johansen, A. M., 2009. A Tutorial on Particle Filtering and Smoothing: Fifteen Years Later. Oxford: Oxford University Press.
    Paper not yet in RePEc: Add citation now
    

16. Durbin, J., Koopman, S. J., 2002. A simple and efficient simulation smoother for state space time series analysis. Biometrika 89 (3), 603-615.

17. Durbin, J., Koopman, S. J., 2012. Time Series Analysis by State Space Methods: Second Edition. Oxford: Oxford University Press.

18. Gordon, N., Salmond, D., Smith, A., 1993. Novel approach to nonlinear/nongaussian Bayesian state estimation. Radar and Signal Processing, IEE Proceedings F 140 (2), 107-113.
    Paper not yet in RePEc: Add citation now
    
19. Greene, W. H., 2008. Econometric Analysis, Sixth Edition. New Jersey: Prentice Hall.
    Paper not yet in RePEc: Add citation now
    
20. Gupta, N., Hauser, R., 2008. Kalman filtering with equality and inequality state constraints, Manuscript: http://arxiv.org/pdf/0709.2791.pdf.
    Paper not yet in RePEc: Add citation now
    
21. Hull, J., 2003. Options, Futures and Other Derivatives, Fifth Edition. New Jersey: Prentice Hall.
    Paper not yet in RePEc: Add citation now
    

22. Hull, J., White, A., 1990. Pricing interest-rate-derivative securities. Review of Financial Studies 3(4), 573–592.

23. Koop, G., Leon-Gonzalez, R., Strachan, R. W., 2010. Dynamic probabilities of restrictions in state space models: An application to the Phillips curve. Journal of Business & Economic Statistics 28 (3), 370–379.

24. Koop, G., Potter, S. M., 2011. Time varying VARs with inequality restrictions. Journal of Economic Dynamics and Control 35 (7), 1126–1138.

25. Liu, J. S., Chen, R., 1998. Sequential Monte Carlo methods for dynamic systems. Journal of the American Statistical Association 93 (443), 1032– 1044.
    Paper not yet in RePEc: Add citation now
    
26. Pizzinga, A., 2012. Restricted Kalman Filtering, Theory, Methods, and Application. Springer: New York.
    Paper not yet in RePEc: Add citation now
    

27. Primiceri, G. E., 2005. Time varying structural vector autoregressions and monetary policy. Review of Economic Studies 72 (3), 821–852.

28. Schon, T., Gustafsson, F., Nordlund, P., 2005. Marginalized particle filters for mixed linear/nonlinear state-space models. Signal Processing, IEEE Transactions on 53 (7), 2279–2289.
    Paper not yet in RePEc: Add citation now
    
29. Simon, D. J., Simon, D. L., 2005. Aircraft turbofan engine health estimation using constrained Kalman filtering. Journal of Engineering for Gas Turbines and Power 127(2), 323–328.
    Paper not yet in RePEc: Add citation now
    
30. Simon, D. J., Simon, D. L., 2010. Constrained Kalman filtering via density function truncation for turbofan engine health estimation. International Journal of Systems Science 41(2), 159–171.
    Paper not yet in RePEc: Add citation now
    

31. Stock, J. H., Watson, M. W., 2007. Why has U.S. inflation become harder to forecast? Journal of Money, Credit and Banking 39 (s1), 3–33.

32. Tallis, G. M., 1961. The moment generating function of the truncated multi-normal distribution. Journal of the Royal Statistical Society. Series B (Methodological) 23 (1), 223-229.
    Paper not yet in RePEc: Add citation now
    

33. Vasicek, O., 1977. An equilibrium characterization of the term structure. Journal of Financial Economics 5 (2), 177 – 188.

1. The TIPS Liquidity Premium*. (2021). Riddell, Simon ; Andreasen, Martin M.
   In: Review of Finance.
   RePEc:oup:revfin:v:25:y:2021:i:6:p:1639-1675..

   Full description at Econpapers || Download paper

2. How Has Empirical Monetary Policy Analysis Changed After the Financial Crisis?. (2016). Owyang, Michael ; Jackson Young, Laura ; Francis, Neville.
   In: Working Papers.
   RePEc:fip:fedlwp:2014-019.

   Full description at Econpapers || Download paper

3. Reconstructing the great recession. (2016). Sanchez, Juan ; Peralta-Alva, Adrian ; Garriga, Carlos ; Boldrin, Michele ; Peralta -Alva, Adrian .
   In: Working Papers.
   RePEc:fip:fedlwp:2013-006.

   Full description at Econpapers || Download paper

4. The credit channel is alive at the zero lower bound but how does it operate? Firm level evidence on the asymmetric effects of U.S. monetary policy.. (2016). Aysun, Uluc.
   In: Working Papers.
   RePEc:cfl:wpaper:2016-01.

   Full description at Econpapers || Download paper

5. The interest rate pass-through in the euro area during the sovereign debt crisis. (2015). Krippner, Leo ; Eickmeier, Sandra ; von Borstel, Julia .
   In: Reserve Bank of New Zealand Discussion Paper Series.
   RePEc:nzb:nzbdps:2015/03.

   Full description at Econpapers || Download paper

6. Monetary Policy Expectations at the Zero Lower Bound. (2015). Rudebusch, Glenn ; Bauer, Michael ; GlennD. Rudebusch, .
   In: Working Paper Series.
   RePEc:fip:fedfwp:2013-18.

   Full description at Econpapers || Download paper

7. Asset markets and monetary policy shocks at the zero lower bound. (2014). Krippner, Leo ; Claus, Iris.
   In: Reserve Bank of New Zealand Discussion Paper Series.
   RePEc:nzb:nzbdps:2014/03.

   Full description at Econpapers || Download paper

8. Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound. (2014). Wu, Jing Cynthia ; Xia, Fan Dora .
   In: NBER Working Papers.
   RePEc:nbr:nberwo:20117.

   Full description at Econpapers || Download paper

9. More on U.S. Treasury term premiums: spot and expected measures. (2014). Durham, J. Benson.
   In: Staff Reports.
   RePEc:fip:fednsr:658.

   Full description at Econpapers || Download paper

10. Measuring the stance of monetary policy in conventional and unconventional environments. (2014). Krippner, Leo.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2014-06.

    Full description at Econpapers || Download paper

11. A shadow policy rate to calibrate US monetary policy at the zero lower bound. (2014). Lombardi, Marco ; Zhu, Feng.
    In: BIS Working Papers.
    RePEc:bis:biswps:452.

    Full description at Econpapers || Download paper

12. Financial integration and the term structure of interest rates. (2013). Traczyk, Adam .
    In: Empirical Economics.
    RePEc:spr:empeco:v:45:y:2013:i:3:p:1267-1305.

    Full description at Econpapers || Download paper

13. Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?. (2013). Rudebusch, Glenn ; Christensen, Jens ; Christensen, Jens H. E., .
    In: Working Paper Series.
    RePEc:fip:fedfwp:2013-39.

    Full description at Econpapers || Download paper

14. A Probability-Based Stress Test of Federal Reserve Assets and Income. (2013). Rudebusch, Glenn ; Lopez, Jose ; Christensen, Jens ; Christensen, Jens H. E., .
    In: Working Paper Series.
    RePEc:fip:fedfwp:2013-38.

    Full description at Econpapers || Download paper

15. Efficient Jacobian evaluations for estimating zero lower bound term structure models. (2013). Krippner, Leo.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2013-77.

    Full description at Econpapers || Download paper

16. Faster solutions for Black zero lower bound term structure models. (2013). Krippner, Leo.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2013-66.

    Full description at Econpapers || Download paper

17. A tractable framework for zero-lower-bound Gaussian term structure models. (2013). Krippner, Leo.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2013-49.

    Full description at Econpapers || Download paper

18. Endogenous monetary policy shifts and the term structure: Evidence from Japanese government bond yields. (2013). Koeda, Junko.
    In: Journal of the Japanese and International Economies.
    RePEc:eee:jjieco:v:29:y:2013:i:c:p:170-188.

    Full description at Econpapers || Download paper

19. Long-term bank balance sheet management: Estimation and simulation of risk-factors. (2013). Birge, John ; Judice, Pedro .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:12:p:4711-4720.

    Full description at Econpapers || Download paper

20. The zero-lower bound on interest rates: Myth or reality?. (2013). Jarrow, Robert.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:10:y:2013:i:4:p:151-156.

    Full description at Econpapers || Download paper

21. Linear-price term structure models. (2013). Monfort, Alain ; gourieroux, christian.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:24:y:2013:i:c:p:24-41.

    Full description at Econpapers || Download paper

22. Measuring the stance of monetary policy in zero lower bound environments. (2013). Krippner, Leo.
    In: Economics Letters.
    RePEc:eee:ecolet:v:118:y:2013:i:1:p:135-138.

    Full description at Econpapers || Download paper

23. Estimating Term Premia at the Zero Bound: An Analysis of Japanese, US, and UK Yields. (2013). Ichiue, Hibiki ; Ueno, Yoichi .
    In: Bank of Japan Working Paper Series.
    RePEc:boj:bojwps:13-e-8.

    Full description at Econpapers || Download paper

24. Likelihood inference in non-linear term structure models: the importance of the lower bound. (2013). Meldrum, Andrew ; Andreasen, Martin .
    In: Bank of England working papers.
    RePEc:boe:boeewp:0481.

    Full description at Econpapers || Download paper

25. Measuring the stance of monetary policy in zero lower bound environments. (2012). Krippner, Leo.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2012/04.

    Full description at Econpapers || Download paper

26. Modifying Gaussian term structure models when interest rates are near the zero lower bound. (2012). Krippner, Leo.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2012/02.

    Full description at Econpapers || Download paper

27. Modifying Gaussian term structure models when interest rates are near the zero lower bound (this is a revised version of CAMA working paper 36/2011). (2012). Krippner, Leo.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2012-05.

    Full description at Econpapers || Download paper

28. Term structure models and the zero bound: An empirical investigation of Japanese yields. (2012). Singleton, Kenneth ; Kim, Don H..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:170:y:2012:i:1:p:32-49.

    Full description at Econpapers || Download paper

29. Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy. (2012). Fontaine, Jean-Sebastien.
    In: Staff Working Papers.
    RePEc:bca:bocawp:12-41.

    Full description at Econpapers || Download paper

30. Modifying Gaussian term structure models when interest rates are near the zero lower bound. (2011). Krippner, Leo.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2011-36.

    Full description at Econpapers || Download paper

31. Multi-factor Affine Term Structure Model with Single Regime Shift: Real Term Structure under Zero Interest Rate. (2009). .
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:16:y:2009:i:4:p:347-369.

    Full description at Econpapers || Download paper

32. Extended Black term structure models. (2009). Realdon, Marco.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:18:y:2009:i:5:p:232-238.

    Full description at Econpapers || Download paper

33. Zero bound, option-implied PDFs, and term structure models. (2008). Kim, Don H..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2008-31.

    Full description at Econpapers || Download paper

34. Equilibrium Interest Rate and the Yield Curve in a Low Interest Rate Environment. (2007). Ichiue, Hibiki ; Ueno, Yoichi .
    In: Bank of Japan Working Paper Series.
    RePEc:boj:bojwps:07-e-18.

    Full description at Econpapers || Download paper

35. Spanned stochastic volatility in bond markets: a reexamination of the relative pricing between bonds and bond options. (2007). Kim, Don H.
    In: BIS Working Papers.
    RePEc:bis:biswps:239.

    Full description at Econpapers || Download paper

36. Can Central Banks Target Bond Prices?. (2006). Kuttner, Kenneth.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12454.

    Full description at Econpapers || Download paper

37. Financial Market Functioning and Monetary Policy: Japan fs Experience. (2006). Baba, Naohiko .
    In: Monetary and Economic Studies.
    RePEc:ime:imemes:v:24:y:december:i:s1:p:39-71.

    Full description at Econpapers || Download paper

38. The expectations hypothesis of the term structure when interest rates are close to zero. (2006). Ruge-Murcia, Francisco.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:53:y:2006:i:7:p:1409-1424.

    Full description at Econpapers || Download paper

39. Monetary Policy and the Yield Curve at Zero Interest: The Macro-Finance Model of Interest Rates as Options. (2006). Ichiue, Hibiki ; Ueno, Yoichi .
    In: Bank of Japan Working Paper Series.
    RePEc:boj:bojwps:06-e-16.

    Full description at Econpapers || Download paper

40. The Use of the Black Model of Interest Rates as Options for Monitoring the JGB Market Expectations. (2006). Baba, Naohiko ; Sakurai, Yuji ; Ueno, Yoichi .
    In: Bank of Japan Working Paper Series.
    RePEc:boj:bojwps:06-e-15.

    Full description at Econpapers || Download paper

41. Taking Positive Interest Rates Seriously. (2004). Wu, Liuren ; Pan, Enlin.
    In: Finance.
    RePEc:wpa:wuwpfi:0409013.

    Full description at Econpapers || Download paper

42. Two-Factor Model for Low Interest Rate Regimes. (2004). Platen, Eckhard ; Miller, Shane .
    In: Research Paper Series.
    RePEc:uts:rpaper:130.

    Full description at Econpapers || Download paper

43. A Two-Factor Model for Low Interest Rate Regimes. (2004). Platen, Eckhard.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:11:y:2004:i:1:p:107-133.

    Full description at Econpapers || Download paper

44. Interest rates as options: assessing the markets view of the liquidity trap. (2003). Bomfim, Antulio N..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-45.

    Full description at Econpapers || Download paper

45. Was Japan’s Real Interest Rate Really Too High During the 1990s? The Role of the Zero Interest Rate Bound and Other Factors. (2003). Ito, Hiro.
    In: Santa Cruz Department of Economics, Working Paper Series.
    RePEc:cdl:ucscec:qt48k5q6vd.

    Full description at Econpapers || Download paper

46. Was Japan’s Real Interest Rate Really Too High During the 1990s? The Role of the Zero Interest Rate Bound and Other Factors. (2003). Ito, Hiro.
    In: Santa Cruz Center for International Economics, Working Paper Series.
    RePEc:cdl:scciec:qt48k5q6vd.

    Full description at Econpapers || Download paper

47. Some Implications of the Zero Lower Bound on Interest Rates for the Term Structure and Monetary Policy. (2002). Ruge-Murcia, Francisco.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-06.

    Full description at Econpapers || Download paper

48. Embedded options and interest rate risk for insurance companies, banks and other financial institutions. (2000). Stock, Duane R. ; Lee, Jae Ha, .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:40:y:2000:i:2:p:169-187.

    Full description at Econpapers || Download paper

49. Term structure modeling and asymptotic long rate. (1999). Yao, Yong.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:25:y:1999:i:3:p:327-336.

    Full description at Econpapers || Download paper

50. Estimating the cost of U.S. indexed bonds. (1997). Pennacchi, George ; Penati, Alessandro ; Foresi, Silverio .
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:9701.

    Full description at Econpapers || Download paper

Report date: 2025-02-10 16:47:29 || Missing content? Let us know