The DOI matches its Crossref record; 18 of the 18 references it cites were found in a registry or an index.
Term structure models and the zero bound: An empirical investigation of Japanese yields
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Cites
Conditional Heteroskedasticity in Asset Returns: A New Approach
Nelson, D. B. (1991) · Econometrica · doi:10.2307/2938260 · Cited by 10,236
A Theory of the Term Structure of Interest Rates
Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985) · Econometrica · doi:10.2307/1911242 · Cited by 8,271
A YIELD‐FACTOR MODEL OF INTEREST RATES
Duffie, D., & Kan, R. (1996) · Mathematical Finance · doi:10.1111/j.1467-9965.1996.tb00123.x · Cited by 2,491
Specification Analysis of Affine Term Structure Models
Dai, Q., & Singleton, K. J. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00278 · Cited by 1,816
Self-citationTerm Premia and Interest Rate Forecasts in Affine Models
Duffee, G. R. (2002) · The Journal of Finance · doi:10.1111/1540-6261.00426 · Cited by 1,577
Cochrane, J. H., & Piazzesi, M. (2005) · American Economic Review · doi:10.1257/0002828053828581 · Cited by 1,474
ARCH models as diffusion approximations
Nelson, D. B. (1990) · Journal of Econometrics · doi:10.1016/0304-4076(90)90092-8 · Cited by 938
Regime Switches in Interest Rates
Ang, A., & Bekaert, G. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102317351930 · Cited by 840
An Econometric Model of the Term Structure of Interest‐Rate Swap Yields
DUFFIE, D., & SINGLETON, K. J. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb01111.x · Cited by 792
Self-citationExpectation puzzles, time-varying risk premia, and affine models of the term structure
Dai, Q., & Singleton, K. J. (2002) · Journal of Financial Economics · doi:10.1016/s0304-405x(02)00067-3 · Cited by 751
Self-citation
Cited by
Measuring the macroeconomic impact of monetary policy at the zero lower bound
WU, J. C., & XIA, F. D. (2016) · Journal of Money, Credit and Banking · doi:10.1111/jmcb.12300 · Cited by 1,842
The Signaling Channel for Federal Reserve Bond Purchases
Francisco, F. R. B. O. S., Bauer, M. D., Rudebusch, G. D., & Francisco, F. R. B. O. S. (2013) · Federal Reserve Bank of San Francisco, Working Paper Series · doi:10.24148/wp2011-21 · Cited by 303
Metadata
- Authors
- Kim, D. H., & Singleton, K. J.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 2012-09
- Volume
- 170
- Issue
- 1
- Pages
- 32-49
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W3125524825
- Cited by
- 281
- References
- 18
- FWCI
- 22.68
- Type
- journal article
- Language
- en
- Open access
- green
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- Kim, D. H., & Singleton, K. J. (2012). Term structure models and the zero bound: An empirical investigation of Japanese yields. Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2011.12.005
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.