rivadeneyra's library 105 articles Export

	Asset Pricing [My Copy] (01 January 2001) by John H. Cochrane posted to asset pricing by rivadeneyra on 2009-05-19 17:41:28 as along with 1 person and 2 groups 1stl Statistics_and_Social_Science OR
	On the Sources of the Great Moderation [My Copy] American Economic Journal: Macroeconomics, Vol. 1, No. 1. (January 2009), pp. 26-57. by Jordi Galí, Luca Gambetti posted to moderation variability volatility by rivadeneyra on 2009-05-14 23:51:29 as
	Maximum likelihood identification of state space models for linear dynamic systems [My Copy] (1978) by Nils R. Sandell, Khaled I. Yared posted to identification kalman by rivadeneyra on 2009-05-04 23:13:56 as
	Uncovering Financial Market Expectations of Inflation [My Copy] The Journal of Political Economy, Vol. 93, No. 6. (1985), pp. 1224-1241. by James D. Hamilton posted to filter kalman by rivadeneyra on 2009-04-14 20:19:34 as
	Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering [My Copy] Journal of Business & Economic Statistics, Vol. 4, No. 2. (1986), pp. 147-160. by Edwin Burmeister, Kent D. Wall, James D. Hamilton posted to filter kalman by rivadeneyra on 2009-04-14 20:09:16 as
	Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models [My Copy] Journal of Econometrics, Vol. 23, No. 3. (December 1983), pp. 385-400. by Mark W. Watson, Robert F. Engle posted to no-tag by rivadeneyra on 2009-04-14 18:18:30 as
	Chapter 1 Business cycle fluctuations in us macroeconomic time series [My Copy] Handbook of Macroeconomics, Vol. 1 (1999), pp. 3-64. by J. Stock, M. Watson posted to no-tag by rivadeneyra on 2009-04-14 18:10:55 as
	Maximum likelihood estimation for a multifactor equilibrim model of the term structure of interest rates [My Copy] The Journal of Fixed Income, Vol. 3, No. 3. (1993), pp. 14-32. by Ren-Raw Chen, Louis Scott posted to asset models pricing structure term by rivadeneyra on 2009-04-14 05:18:56 as
	A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables [My Copy] Journal of Monetary Economics, Vol. 50, No. 4. (May 2003), pp. 745-787. by Andrew Ang, Monika Piazzesi posted to affine form model reduced structure term var by rivadeneyra on 2009-04-14 03:43:08 as
	Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a Kalman Filter Model [My Copy] The Journal of Real Estate Finance and Economics, Vol. 27, No. 2. (1 September 2003), pp. 143-172. by Ren-Raw Chen, Louis Scott posted to kalman models structure term by rivadeneyra on 2009-04-13 22:14:59 as
	Estimation of Dynamic Term Structure Models [My Copy] Haas School of Business Working Paper (2004) by Gregory R. Duﬀee, Richard H. Stanton posted to curve estimation models stucture term yield by rivadeneyra on 2009-04-13 21:50:59 as
	Five Essays in Financial Econometrics and the Term Structure of Interest Rates [My Copy] (1997) by Jesper Lund posted to extended filter kalman by rivadeneyra on 2009-04-13 21:30:51 as
	On biases in tests of the expectations hypothesis of the term structure of interest rates [My Copy] Journal of Financial Economics, Vol. 44, No. 3. (June 1997), pp. 309-348. by G. Bekaert, R. Hodrick, D. Marshall posted to bias expectations hypothesis regressions by rivadeneyra on 2009-04-12 01:03:21 as
	A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix [My Copy] Econometrica, Vol. 55, No. 3. (1987), pp. 703-708. by Whitney K. Newey, Kenneth D. West posted to errors gmm standard by rivadeneyra on 2009-04-10 21:09:51 as along with 1 person jrnold
	Equilibrium Yield Curves [My Copy] In NBER Macroeconomics Annual 2006 (2006) by Monika Piazzesi, Martin Schneider edited by Daron Acemoglu, Kenneth Rogoff, Michael Woodford posted to recursive structure term by rivadeneyra on 2009-04-09 00:19:08 as
	Monetary Policy and Rejections of the Expectations Hypothesis [My Copy] University of California Santa Cruz, Working Paper (2007) by Federico Ravenna, Juha Seppala posted to no-tag by rivadeneyra on 2009-04-09 00:12:58 as
	Asset Prices and Asset Quantities [My Copy] Journal of the European Economic Association, Vol. 5, No. 2-3. (2007), pp. 380-389. by Monika Piazzesi, Martin Schneider posted to asset positions by rivadeneyra on 2009-04-09 00:02:24 as
	The Yield Curve and Macroeconomic Dynamics [My Copy] The Economic Journal, Vol. 118, No. 533. (November 2008), pp. 1937-1970. by Peter Hordahl, Oreste Tristani, David Vestin posted to affine dsge premia risk structure term by rivadeneyra on 2009-04-08 23:44:07 as
	Evidence on inflation expectations from Canadian real return bonds [My Copy] (2003) by Peter S. Spiro posted to canada index interest linked rates real by rivadeneyra on 2009-04-08 23:17:38 as
	Tips from TIPS: The Informational Content of Treasury Inflation Protected Security Prices [My Copy] In Conference on Price Measurement for Monetary Policy (2007) by Stefania D’amico, Don H. Kim, Min Wei posted to index interest linked rates real us by rivadeneyra on 2009-04-08 23:10:45 as
	Asset Prices in an Exchange Economy [My Copy] Econometrica, Vol. 46, No. 6. (1978), pp. 1429-1445. by Robert E. Lucas posted to no-tag by rivadeneyra on 2009-04-08 22:54:41 as along with 4 people and 1 group shankar toomash tkravitz gi0rgi0ne EntrepreneurialRisks
	Real Interest Rates and Inflation: An Ex-Ante Empirical Analysis [My Copy] The Journal of Finance, Vol. 51, No. 1. (1996), pp. 205-225. by Shmuel Kandel, Aharon R. Ofer, Oded Sarig posted to interest rates real structure term by rivadeneyra on 2009-04-08 22:43:07 as
	The Term Structure of Real Rates and Expected Inflation [My Copy] The Journal of Finance, Vol. 63, No. 2. (April 2008), pp. 797-849. by Andrew Ang, Geert Bekaert, Min Wei posted to inflation interest premia rates real risk structure term by rivadeneyra on 2009-04-08 22:39:09 as
	Monetary Policy and the Term Structure of Interest Rates [My Copy] Federal Reserve Bank of Richmond Economic Quarterly (Fall 2005) by Bennett Mccallum posted to interest monetary policy rates by rivadeneyra on 2009-04-08 22:29:01 as
	Asset Pricing with Heterogeneous Consumers [My Copy] The Journal of Political Economy, Vol. 104, No. 2. (1996), pp. 219-240. by George M. Constantinides, Darrell Duffie posted to equilibrium general risk sharing by rivadeneyra on 2009-04-08 22:17:01 as along with 1 person toomash
	Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing [My Copy] The Journal of Political Economy, Vol. 104, No. 3. (1996), pp. 443-487. by John Heaton, Deborah J. Lucas posted to equilibrium general risk sharing by rivadeneyra on 2009-04-08 22:14:26 as along with 1 person toomash
	By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior [My Copy] Journal of Political Economy, Vol. 107, No. 2. (1 April 1999), pp. 205-251. by John y Campbell, John h Cochrane posted to formation habit by rivadeneyra on 2009-04-08 22:09:09 as along with 1 person SJacewitz
	Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis [My Copy] The Journal of Political Economy, Vol. 99, No. 2. (1991), pp. 263-286. by Larry G. Epstein, Stanley E. Zin posted to preferences recursive by rivadeneyra on 2009-04-08 21:59:02 as along with 2 people toomash kenjimyzk
	Innovations in Interest Rate Policy [My Copy] The American Economic Review, Vol. 56, No. 1/2. (1966), pp. 178-197. by Franco Modigliani, Richard Sutch posted to curve interest rates structure term yield by rivadeneyra on 2009-04-08 21:57:02 as
	The Cost of Capital, Corporation Finance and the Theory of Investment [My Copy] The American Economic Review, Vol. 48, No. 3. (1958), pp. 261-297. by Franco Modigliani, Merton H. Miller posted to capm corporate debt by rivadeneyra on 2009-04-08 21:56:08 as along with 2 people norrislj75 hgunji
	Value and Capital: An Inquiry into Some Fundamental Principles of Economic Theory [My Copy] (1939) by John R. Hicks posted to no-tag by rivadeneyra on 2009-04-08 21:51:52 as
	The Theory of Interest [My Copy] (1930) by Irving Fisher posted to curve interest money rates structure term yield by rivadeneyra on 2009-04-08 21:49:02 as
	Optimal Filtering [My Copy] (05 January 2005) by Brian D. O. Anderson, John B. Moore posted to filter kalman by rivadeneyra on 2009-04-08 21:33:17 as along with 3 people ppeeling winschel fjanoos
	Explanatory Notes - M4. [My Copy] http://www.bankofengland.co.uk/mfsd/iadb/notesiadb/M4.htm (1 May 2008) posted to no-tag by rivadeneyra on 2009-04-08 18:43:48 as
	Optimal Monetary Policy under Asset Market Segmentation [My Copy] In IMF Conference in honor of Guillermo A. Calvo (2004) by Amartya Lahiri, Rajesh Singh, Carlos A. Vegh posted to asset markets segmented by rivadeneyra on 2009-04-06 18:25:53 as
	Segmented asset markets and optimal exchange rate regimes☆ [My Copy] Journal of International Economics, Vol. 72, No. 1. (May 2007), pp. 1-21. by Amartya Lahiri, Rajesh Singh, Carlos Végh posted to asset markets segmented by rivadeneyra on 2009-04-06 18:09:46 as
	Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence [My Copy] The Journal of Political Economy, Vol. 110, No. 4. (2002), pp. 793-824. by Alon Brav, George M. Constantinides, Christopher C. Geczy posted to asset markets segmented by rivadeneyra on 2009-04-04 21:07:55 as
	Capital Market Equilibrium with Transaction Costs [My Copy] The Journal of Political Economy, Vol. 94, No. 4. (1986), pp. 842-862. by George M. Constantinides posted to asset markets segmented by rivadeneyra on 2009-04-04 00:11:20 as
	The consumption of stockholders and nonstockholders [My Copy] Journal of Financial Economics, Vol. 29, No. 1. (1991) by Gregory N. Mankiw, Stephen P. Zeldes posted to mankiw-1991 by rivadeneyra on 2009-04-03 23:54:00 as
	Technological change and the households' demand for currency [My Copy] Journal of Monetary Economics, Vol. 56, No. 2. (2009) by Francesco Lippi, Alessandro Secchi posted to cash cia demand money by rivadeneyra on 2009-04-03 22:27:45 as
	Stochastic Cash Management with Fixed and Proportional Transaction Costs [My Copy] Management Science, Vol. 22, No. 12. (1976), pp. 1320-1331. by George M. Constantinides posted to cash cia demand by rivadeneyra on 2009-04-03 21:59:34 as
	Financial Innovation and the Transactions Demand for Cash [My Copy] Econometrica, Vol. 77, No. 2. (2009), pp. 363-402. by Fernando Alvarez, Francesco Lippi posted to baumol cash cia demand financial innovation structural tobin by rivadeneyra on 2009-04-03 21:25:14 as
	A consumption-based model of the term structure of interest rates [My Copy] Journal of Financial Economics, Vol. 79, No. 2. (February 2006), pp. 365-399. by Jessica Wachter posted to expectations habit hypothesis model structural by rivadeneyra on 2009-03-31 00:06:08 as
	Inflation risk premia and the expectations hypothesis☆ [My Copy] Journal of Financial Economics, Vol. 75, No. 2. (February 2005), pp. 429-490. by Andrea Buraschi, Alexei Jiltsov posted to expectations hypothesis non-linear quadratic structural structure term by rivadeneyra on 2009-03-31 00:03:57 as
	Implications of Security Market Data for Models of Dynamic Economies [My Copy] The Journal of Political Economy, Vol. 99, No. 2. (1991), pp. 225-262. by Lars P. Hansen, Ravi Jagannathan posted to asset form kernel pricing reduced by rivadeneyra on 2009-03-30 23:26:12 as along with 1 person mweidner
	IN DEFENSE OF THE FINANCE CONSTRAINT [My Copy] Economic Inquiry, Vol. 19, No. 2. (1981), pp. 177-195. by K. O. H. N. Meir posted to cia by rivadeneyra on 2009-03-29 22:44:56 as along with 1 person thegoose
	A RECONSIDERATION OF THE MICROFOUNDATIONS OF MONETARY THEORY [My Copy] Economic Inquiry, Vol. 6, No. 1. (1967), pp. 1-8. by Robert Clower posted to cia by rivadeneyra on 2009-03-29 22:36:14 as
	Affine Term Structure Models [My Copy] In Handbook of Financial Econometrics (2003) by Monika Piazzesi edited by Yacine Ait-Sahalia, Lars P. Hansen posted to affine by rivadeneyra on 2009-03-28 00:20:35 as
	Affine Term Structure Models [My Copy] In Handbook of Financial Econometrics (2003) by Monika Piazzesi edited by Yacine Ait-Sahalia, Lars P. Hansen posted to affine by rivadeneyra on 2009-03-28 00:19:47 as
	Estimating Forward Interest Rates with the Extended Nelson & Siegel Method [My Copy] Sveriges Riksbank Quarterly Review, Vol. 1995, No. 3. (1995) by Lars E. O. Svensson posted to model nelson siegel spline by rivadeneyra on 2009-03-28 00:10:22 as

Note: You may cite this page as: http://www.citeulike.org/user/rivadeneyra

Result page: 1 2 3 Next

term	25
structure	24
asset	23
yield	21
curve	20
pricing	16
real	14
general	13
nominal	12
cia	11
equilibrium	11
affine	10
expectations	10
model	10
hypothesis	9
rates	9
segmented	9
interest	8
kalman	8
markets	7
risk	7
filter	6
form	6
reduced	6
models	5
money	5
premia	5
qtsm	5
quadratic	5
factors	4
gmm	4
cash	3
demand	3
effects	3
estimation	3
frictions	3
marginal	3
monetary	3
regression	3
structural	3
cir	2
errors	2
extended	2
factor	2
habit	2
index	2
inflation	2
linked	2
macro	2
non-linear	2
policy	2
puzzle	2
recursive	2
returns	2
sharing	2
single	2
spline	2
standard	2
substitution	2
baumol	1
bias	1
business	1
canada	1
capm	1
cash-in-advance	1
circulation	1
components	1
corporate	1
costs	1
cycle	1
debt	1
dsge	1
dynamic	1
econometrics	1
effect	1
endogenous	1
eqilibrium	1
equilbrium	1
equity	1
estimates	1
excess	1
finance	1
financial	1
fisher	1
forecasting	1
formation	1
forward	1
gilts	1
guilt	1
guilts	1
identification	1
innovation	1
kernel	1
limited	1
liquidity	1
long-horizon	1
mankiw-1991	1
market	1
mechanism	1
moderation	1
nelson	1
new-keynesian	1
of	1
open-market	1
operations	1
participation	1
positions	1
preferences	1
premium	1
principal	1
rate	1
regressions	1
segmentation	1
short-horizon	1
siegel	1
stucture	1
supply	1
timing	1
tobin	1
transaction	1
transmission	1
uk	1
us	1
utility	1
var	1
variability	1
vars	1
velocity	1
volatility	1
yields	1

rivadeneyra's library 105 articles Export

rivadeneyra's tags