Expectation puzzles, time-varying risk premia, and affine models of the term structure

This publication has 23 references indexed in Scilit:

• The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence
  The Journal of Finance, 2001
• Predictable changes in yields and forward rates
  Journal of Financial Economics, 2001
• Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
  SSRN Electronic Journal, 2001
• Specification Analysis of Affine Term Structure Models
  The Journal of Finance, 2000
• Quadratic Term Structure Models: Theory and Evidence
  SSRN Electronic Journal, 2000
• Modeling the conditional distribution of interest rates as a regime-switching process
  Published by Elsevier ,1999
• Regime Shifts, Risk and the Term Structure
  SSRN Electronic Journal, 1999
• Term premiums in bond returns
  Journal of Financial Economics, 1984
• A Multivariate Model of the Term Structure
  The Journal of Finance, 1980
• Forward rates as predictors of future spot rates
  Journal of Financial Economics, 1976