The DOI matches its Crossref record; 53 of the 53 references it cites were found in a registry or an index.
A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Newey, W. K., & West, K. D. (1987) · Econometrica · doi:10.2307/1913610 · Cited by 16,936
Large Sample Properties of Generalized Method of Moments Estimators
Hansen, L. P. (1982) · Econometrica · doi:10.2307/1912775 · Cited by 13,467
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Newey, W., & West, K. (1986) · National Bureau of Economic Research · doi:10.3386/t0055 · Cited by 12,278
Discretion versus policy rules in practice
Taylor, J. B. (1993) · Carnegie-Rochester Conference Series on Public Policy · doi:10.1016/0167-2231(93)90009-l · Cited by 9,065
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
Hamilton, J. D. (1994) · Princeton University Press eBooks · doi:10.1515/9780691218632 · Cited by 7,293
An equilibrium characterization of the term structure
Vasicek, O. (1977) · Journal of Financial Economics · doi:10.1016/0304-405x(77)90016-2 · Cited by 6,085
The Econometrics of Financial Markets
Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (2012) · Princeton University Press eBooks · doi:10.2307/j.ctt7skm5 · Cited by 5,875
Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
Clarida, R., Gali, J., & Gertler, M. (2000) · Quarterly Journal of Economics · doi:10.1162/003355300554692 · Cited by 4,625
Cited by
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
JOSLIN, S., PRIEBSCH, M., & SINGLETON, K. J. (2014) · The Journal of Finance · doi:10.1111/jofi.12131 · Cited by 585
A New Perspective on Gaussian Dynamic Term Structure Models
Joslin, S., Singleton, K. J., & Zhu, H. (2011) · Review of Financial Studies · doi:10.1093/rfs/hhq128 · Cited by 543
Metadata
- Authors
- Ang, A., & Piazzesi, M.
- Venue
- SSRN Electronic Journal
- Publisher
- Elsevier BV
- Published
- 1999
- ISSN
- 1556-5068 (ISSN-L)
- OpenAlex
- W1986555661
- Cited by
- 543
- References
- 53
- Type
- posted content
- Language
- en
- Open access
- green
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- Ang, A., & Piazzesi, M. (1999). A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.194748
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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.
