Bond and option prices with permanent shocks

Ahn, 1999, A parametric nonlinear model of term structure dynamics, Rev. Financ. Stud., 12, 721, 10.1093/rfs/12.4.721

Aït-Sahalia, 1996, Testing continuous-time models of the spot interest rate, Rev. Financ. Stud., 9, 385, 10.1093/rfs/9.2.385

Aït-Sahalia, 1996, Nonparametric pricing of interest rate derivatives securities, Econometrica, 64, 527, 10.2307/2171860

Aït-Sahalia, 1999, Transition densities for interest rate and other nonlinear diffusions, The journal of finance, 54, 1361, 10.1111/0022-1082.00149

Aït-Sahalia, 2002, Maximum likelihood estimation of discretely sampled diffusions: A closed-approximation approach, Econometrica, 70, 223, 10.1111/1468-0262.00274

Aït-Sahalia, 2003, The effects of random and discrete sampling when estimating continuous–time diffusions, Econometrica, 71, 483, 10.1111/1468-0262.t01-1-00416

Al-Zoubi, 2017, Cyclical and persistent carry trade returns and forward premia, Q. J. Financ., 7, 10.1142/S2010139217500100

Al-Zoubi, 2018, Business cycles, financial cycles and capital structure, Ann. Financ., 14, 105, 10.1007/s10436-017-0306-z

Anderson, 1997, Estimating continuous-time stochastic volatility models of the short-term interest rate, J. Econometrics, 77, 343, 10.1016/S0304-4076(96)01819-2

Balduzzi, 1998, The central tendency: A second factor in bond yields, Rev. Econ. Stat., 80, 62, 10.1162/003465398557339

Bandi, 2002, Short-term interest rate dynamics: a special approach, J. Financ. Econ., 65, 73, 10.1016/S0304-405X(02)00135-6

Bao, Y., Ullah, A., Wang, Y., Yu, J., 2014. Bias in the mean reversion estimator in continuous-time Gaussian and Lévy processes. Working paper, Singapore Management University.

Bauer, 2017, Robust bond risk premia, Rev. Financ. Stud., 31, 399, 10.1093/rfs/hhx096

Bauer, 2012, Correcting estimation bias in dynamic term structure models, J. Bus. Econom. Statist., 30, 454, 10.1080/07350015.2012.693855

Bergstrom, 1986, The estimation of open higher-order continuous time dynamic models with mixed stock and flow data, Econ. Theory, 2, 350, 10.1017/S026646660001166X

Bergstrom, 1989, Optimal forecasting of discrete stock and flow data generated by a higher order continuous time system, Comput. Math. Appl., 17, 1203, 10.1016/0898-1221(89)90090-4

Chan, 1992, An empirical comparison of alternative models of the short-term interest rate, J. Finance, 47, 1209, 10.1111/j.1540-6261.1992.tb04011.x

Chapman, 2000, Is the short rate drift actually nonlinear?, J. Finance, 55, 355, 10.1111/0022-1082.00208

Cieslak, 2015, Expected returns in Treasury bonds, Rev. Financ. Stud., 28, 2859, 10.1093/rfs/hhv032

Cochrane, 2005, Bond risk premia, Amer. Econ. Rev., 95, 138, 10.1257/0002828053828581

Conley, 1997, Short-term interest rates as subordinated diffusions, Rev. Financ. Stud., 10, 525, 10.1093/rfs/10.3.525

Cooper, 2008, Time-varying risk premiums and the output gap, Rev. Financ. Stud., 22, 2801, 10.1093/rfs/hhn087

Cox, 1985, A theory of the term structure of interest rates, Econometrica, 53, 385, 10.2307/1911242

Dai, 2000, Specification analysis of affine term structure models, J. Finance, 55, 1943, 10.1111/0022-1082.00278

Duffee, 2002, Term premia and interest rate forecasts in affine models, J. Finance, 57, 405, 10.1111/1540-6261.00426

Duffee, G.R., 2011. Forecasting with the term structure: the role of no-arbitrage. Manuscript, Johns Hopkins University.

Duffee, 2018, Expected inflation and other determinants of Treasury yields, J. Finance, 73, 2139, 10.1111/jofi.12700

Duffee, 2012, Estimation of dynamic term structure models, Q. J. Financ., 2, 1, 10.1142/S2010139212500085

Duffie, 1996, A yield-factor model of interest rates, Math. Financ., 6, 379, 10.1111/j.1467-9965.1996.tb00123.x

Elerian, O., 1998. A note on the existence of a closed-form conditional transition density for the Milstein scheme. Economics discussion paper 1998-W18, Nuffield College, Oxford.

Fama, 2006, The behavior of interest rates, Rev. Financ. Stud., 19, 359, 10.1093/rfs/hhj019

Gallant, 1987

Gallant, 1996, Which moments to match?, Econ. Theory, 12, 657, 10.1017/S0266466600006976

Gourieroux, 1993, Indirect inference, J. Appl. Econometrics, 8, 85, 10.1002/jae.3950080507

Greenwood, 2014, Bond supply and excess bond returns, Rev. Financ. Stud., 27, 663, 10.1093/rfs/hht133

Hansen, 1982, Large sample properties of Generalized Method of Moments estimators, Econometrica, 50, 1029, 10.2307/1912775

Hansen, 1995, Back to the future: generating moment implications for continuous-time Markov processes, Econometrica, 63, 767, 10.2307/2171800

Harvey, 1997, Testing the equality of prediction mean squared errors, Int. J. Forecast., 13, 281, 10.1016/S0169-2070(96)00719-4

Harvey, 2008, Trend estimation and the Hodrick-Prescott filter, J. Japan Statist. Soc., 38, 41, 10.14490/jjss.38.41

Hodrick, 1997, Postwar US business cycles: an empirical investigation, J. Money Credit Bank., 1, 10.2307/2953682

Hong, 2005, Nonparametric specification testing for continuous-time models with applications to spot interest rates, Rev. Financ. Stud., 18, 37, 10.1093/rfs/hhh006

Inoue, 2006, Bootstrapping GMM estimators for time series, J. Econometrics, 133, 531, 10.1016/j.jeconom.2005.06.004

Jamshidian, 1989, An exact bond option formula, J. Finance, 44, 205, 10.1111/j.1540-6261.1989.tb02413.x

Jiang, 1998, Nonparametric modeling of US term structure of interest rates and implications of the prices of derivative securities, J. Financ. Quant. Anal., 33, 465, 10.2307/2331128

de Jong, 2016, The econometrics of the Hodrick-Prescott filter, Rev. Econ. Stat., 98, 310, 10.1162/REST_a_00523

Joslin, 2014, Risk premiums in dynamic term structure models with unspanned macro risks, J. Finance, 69, 1197, 10.1111/jofi.12131

Lo, 1988, Maximum likelihood estimation of generalized Itô processes with discretely sampled data, Econ. Theory, 4, 231, 10.1017/S0266466600012044

McElroy, 2011, On the discretization of continuous-time filters for nonstationary stock and flow time series, Econometric Rev., 30, 475, 10.1080/07474938.2011.553554

Mehra, 2004, The output gap, expected future inflation and inflation dynamics: another look, B.E. J. Macroecon., 4, 10.2202/1534-5998.1194

Merton, 1980, On estimating the expected return on the market: An exploratory investigation, J. Financ. Econ., 8, 323, 10.1016/0304-405X(80)90007-0

Nowman, 1997, Gaussian estimation of single-factor continuous time models of the term structure of interest rates, J. Finance, 52, 1695, 10.1111/j.1540-6261.1997.tb01127.x

Orphanides, 2002, An opportunistic approach to disinflation, Int. Financ., 5, 47, 10.1111/1468-2362.00087

Perron, 1989, The great crash, the oil-price shock, and the unit-root hypothesis, Econometrica, 57, 1361, 10.2307/1913712

Phillips, 2005, Jackknifing bond option prices, Rev. Financ. Stud., 18, 707, 10.1093/rfs/hhi018

Phillips, 2009, Maximum likelihood and Gaussian estimation of continuous time models in finance, 497

Ravn, 2002, On adjusting the Hodrick-Prescott filter for the frequency of observations, Rev. Econ. Stat., 84, 371, 10.1162/003465302317411604

Stanton, 1997, A nonparametric model of term structure dynamics and the market price of interest rate risk, J. Finance, 52, 1973, 10.1111/j.1540-6261.1997.tb02748.x

Vasicek, 1977, An equilibrium characterization of the term structure, J. Financ. Econ., 5, 177, 10.1016/0304-405X(77)90016-2

Wecker, 1983, The signal extraction approach to nonlinear regression and spline smoothing, J. Amer. Statist. Assoc., 78, 81, 10.1080/01621459.1983.10477935

Yu, 2012, Bias in the estimation of the mean reversion parameter in continuous time models, J. Econometrics, 169, 114, 10.1016/j.jeconom.2012.01.004