An Econometric Model of the Yield Curve with Macroeconomic Jump Effects

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Stochastic Integration and Differential Equations

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Martingales and stochastic integrals in the theory of continuous trading

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On the Pricing of Corporate Debt: The Risk Structure of Interest Rates

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A YIELD‐FACTOR MODEL OF INTEREST RATES

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An Econometric Model of the Term Structure of Interest-Rate Swap Yields

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Quadratic Term Structure Models: Theory and Evidence

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Special Repo Rates

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Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model

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A Theory of the Nominal Term Structure of Interest Rates

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Federal Reserve interest rate targeting, rational expectations, and the term structure

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Federal Reserve interest rate targeting, rational expectations, and the term structure

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Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of …

1998 • 356 citations

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A Simple Approach to Three-Factor Affine Term Structure Models

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Monte Carlo simulation and numerical integration

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Volatility and the Yield Curve

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A model of target changes and the term structure of interest rates

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Monetary Policy Rules Based on Real-Time Data

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The Daily Market for Federal Funds

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Monte Carlo Simulation and Numerical Integration

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Modelling Interest Rate Dynamics in a Corridor with Jump Processes

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The Term Structure with Credible and Semi-Credible Targeting

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Macroeconomic News and Bond Market Volatility

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Deleted Work

1955 • 0 citations