Marco Lyrio : Citation Profile


Are you Marco Lyrio?

Insper Instituto de Ensino e Pesquisa

7

H index

6

i10 index

318

Citations

RESEARCH PRODUCTION:

9

Articles

22

Papers

2

Books

1

Chapters

RESEARCH ACTIVITY:

   19 years (1999 - 2018). See details.
   Cites by year: 16
   Journals where Marco Lyrio has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 13 (3.93 %)

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   Permalink: http://citec.repec.org/ply4
   Updated: 2019-11-16    RAS profile: 2019-01-10    
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Relations with other researchers


Works with:

Dewachter, Hans (6)

Durré, Alain (2)

Sarno, Lucio (2)

Lemke, Wolfgang (2)

Chadha, Jagjit (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Marco Lyrio.

Is cited by:

Rudebusch, Glenn (19)

Kozicki, Sharon (12)

Dewachter, Hans (12)

Tinsley, Peter (11)

Spencer, Peter (11)

Tristani, Oreste (10)

Hördahl, Peter (10)

Iania, Leonardo (9)

Ireland, Peter (9)

Audrino, Francesco (6)

Gavin, William (6)

Cites to:

Dewachter, Hans (30)

Rudebusch, Glenn (15)

Maes, Konstantijn (14)

Piazzesi, Monika (12)

Ang, Andrew (11)

Gertler, Mark (10)

Gali, Jordi (10)

Hördahl, Peter (9)

Tristani, Oreste (9)

Kozicki, Sharon (9)

Cho, Seonghoon (8)

Main data


Where Marco Lyrio has published?


Working Papers Series with more than one paper published# docs
ERIM Report Series Research in Management / Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam2

Recent works citing Marco Lyrio (2018 and 2017)


YearTitle of citing document
2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19106.

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2018The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates. (2018). Rossi, Barbara ; Inoue, Atsushi. In: Working Papers. RePEc:bge:wpaper:1078.

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2018Change Detection and the Causal Impact of the Yield Curve. (2018). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:966-987.

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2018ON AN INCREASINGLY YIELD CURVE OF KNOWLEDGE. (2018). Emil, Dinga. In: Studies in Business and Economics. RePEc:blg:journl:v:13:y:2018:i:3:p:13-25.

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2017RESPONSES OF TERM STRUCTURE OF INTEREST RATES AND ASSET PRICES TO MONETARY POLICY SHOCKS: EVIDENCE FROM TURKEY. (2017). Yildirim-Karaman, Secil ; Eroglu, Burak. In: Working Papers. RePEc:bli:wpaper:1705.

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2017Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies. (2017). Karimalis, Emmanouil ; Peters, Gareth ; Kosmidis, Ioannis . In: Bank of England working papers. RePEc:boe:boeewp:0655.

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2017Whatever it takes to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. (2017). Kontonikas, Alexandros ; Gadea, María ; Arghyrou, Michael ; Afonso, Antonio. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/12.

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2017Whatever it takes to Resolve the European Sovereign Debt Crisis? Bond Pricing Regime Switches and Monetary Policy Effects. (2017). Kontonikas, Alexandros ; Gadea, María ; Arghyrou, Michael ; Afonso, Antonio. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6691.

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2019Euro area sovereign risk spillovers before and after the ECBs OMT announcement. (2019). Gilbert, Niels. In: DNB Working Papers. RePEc:dnb:dnbwpp:636.

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2018Predicting risk premia in short-term interest rates and exchange rates. (2018). Kostka, Thomas ; Gräb, Johannes ; Grab, Johannes. In: Working Paper Series. RePEc:ecb:ecbwps:20182131.

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2018From carry trades to curvy trades. (2018). Kostka, Thomas ; Gräb, Johannes ; Grab, Johannes ; Dreher, Ferdinand. In: Working Paper Series. RePEc:ecb:ecbwps:20182149.

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2019The CSPP at work - yield heterogeneity and the portfolio rebalancing channel. (2019). Zaghini, Andrea. In: Working Paper Series. RePEc:ecb:ecbwps:20192264.

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2019The CSPP at work: Yield heterogeneity and the portfolio rebalancing channel. (2019). Zaghini, Andrea. In: Journal of Corporate Finance. RePEc:eee:corfin:v:56:y:2019:i:c:p:282-297.

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2017A dynamic Nelson-Siegel yield curve model with Markov switching. (2017). Levant, Jared ; Ma, Jun. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:73-87.

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2018Assessing sovereign default risk: A bottom-up approach. (2018). Trueck, Stefan ; Truck, Stefan ; Kalotay, Egon ; Liu, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:525-542.

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2018Financial connectedness of BRICS and global sovereign bond markets. (2018). Ahmad, Wasim ; Daly, Kevin J ; Mishra, Anil V. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:1-16.

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2017Forecasting the term structure of government bond yields in unstable environments. (2017). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:209-225.

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2018A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors. (2018). Tu, Anthony H ; Chen, Cathy Yi-Hsuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:243-268.

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2018Macroeconomic determinants of the term structure: Long-run and short-run dynamics. (2018). Doshi, Hitesh ; Liu, Rui ; Jacobs, Kris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:99-122.

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2018The impact of oil price shocks on the term structure of interest rates. (2018). Ioannidis, Christos ; Ka, Kook. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:601-620.

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2017A tale of fragmentation: Corporate funding in the euro-area bond market. (2017). Zaghini, Andrea. In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:59-68.

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2019The effects of conventional and unconventional monetary policy on exchange rates. (2019). Inoue, Atsushi ; Rossi, Barbara. In: Journal of International Economics. RePEc:eee:inecon:v:118:y:2019:i:c:p:419-447.

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2018Factors of the term structure of sovereign yield spreads. (2018). Trueck, Stefan ; Truck, Stefan ; Wellmann, Dennis. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:56-75.

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2018“Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. (2018). Kontonikas, Alexandros ; Arghyrou, Michael ; Afonso, Antonio ; Gadea, Maria Dolores. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:1-30.

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2018Cross-border asset holdings and comovements in sovereign bond markets. (2018). Asgharian, Hossein ; Larsson, Marcus ; Liu, LU. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:189-206.

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2019Bond risk premia in a small open economy with volatile capital flows: The case of Korea. (2019). Yun, Jaeho. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:93:y:2019:i:c:p:223-243.

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2018The decline in the predictive power of the US term spread: A structural interpretation. (2018). Morell, Joe. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:55:y:2018:i:c:p:314-331.

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2018What does the yield curve imply about investor expectations?. (2018). Gaus, Eric ; Sinha, Arunima. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:57:y:2018:i:c:p:248-265.

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2017Invariance, observational equivalence, and identification: Some implications for the empirical performance of affine term structure models. (2017). Juneja, Januj. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:292-305.

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2018Yield curve interactions with the macroeconomic factors during global financial crisis among Asian markets. (2018). Sowmya, Subramaniam ; Prasanna, Krishna. In: International Review of Economics & Finance. RePEc:eee:reveco:v:54:y:2018:i:c:p:178-192.

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2017Causes and timing of the European debt crisis: An econometric evaluation. (2017). Purificato, Francesco ; Papagni, Erasmo ; Panico, Carlo ; Filoso, Valerio ; Suarez, Marta Vazquez . In: EERI Research Paper Series. RePEc:eei:rpaper:eeri_rp_2017_03.

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2017The term structure of expectations and bond yields. (2017). Moench, Emanuel ; Eusepi, Stefano ; Crump, Richard. In: Staff Reports. RePEc:fip:fednsr:775.

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2019Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: Working Papers. RePEc:igi:igierp:639.

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2017Sovereign yield spreads in the EMU: crisis and structural determinants. (2017). Leal, Frederico ; Afonso, Antonio. In: Working Papers Department of Economics. RePEc:ise:isegwp:wp092017.

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2017Whatever it takes to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. (2017). Kontonikas, Alexandros ; Gadea, María ; Arghyrou, Michael ; Afonso, Antonio. In: Working Papers REM. RePEc:ise:remwps:wp0022017.

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2018Optimal Portfolios with Credit Default Swaps. (2018). Ambrosini, Giuseppe ; Menoncin, Francesco. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:54:y:2018:i:1:d:10.1007_s10693-016-0264-z.

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2019Measuring Redenomination Risks in the Euro Area - New Evidence from Survey Data. (2019). Klose, Jens. In: MAGKS Papers on Economics. RePEc:mar:magkse:201903.

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2019Is a recession imminent? The signal of the yield curve. (2019). van Nieuwenhuyze, CH ; Deroose, M ; de Backer, B. In: Economic Review. RePEc:nbb:ecrart:y:2019:m:june:i:i:p:69-93.

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2018Real-time forecasting with macro-finance models in the presence of a zero lower bound. (2018). Krippner, Leo ; Lewis, Michelle. In: Reserve Bank of New Zealand Discussion Paper Series. RePEc:nzb:nzbdps:2018/4.

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2019Assessing the Macroeconomic Impact of the ECB’s Asset Purchase Programme in a Dynamic Nelson–Siegel Modelling Framework. (2019). Zhou, Siwen. In: MPRA Paper. RePEc:pra:mprapa:92530.

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2019The Neo-Fisherianism to Escape Zero Lower Bound. (2019). Chattopadhyay, Siddhartha. In: MPRA Paper. RePEc:pra:mprapa:92669.

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2018On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics. (2018). GUPTA, RANGAN ; Gabauer, David ; Subramaniam, Sowmya. In: Working Papers. RePEc:pre:wpaper:201864.

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2019Gold, Platinum and the Predictability of Bond Risk Premia. (2019). GUPTA, RANGAN ; Demirer, Riza ; Wohar, Mark E ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:201967.

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2019Dynamic integration and network structure of the EMU sovereign bond markets. (2019). Sensoy, Ahmet ; Hacihasanoglu, Erk ; Rostom, Ahmed ; Nguyen, Duc Khuong. In: Annals of Operations Research. RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2831-1.

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2019Cross-market information spillover and the performance of technical trading in the foreign exchange market. (2019). Chang, Yung-Ho. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:43:y:2019:i:2:d:10.1007_s12197-018-9440-3.

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2018The Interaction between Yield Curve and Macroeconomic Factors. (2018). Küçüksaraç, Doruk ; Yilmaz, Muhammed Hasan ; Guney, Ibrahim Ethem ; Cepni, Oguzhan. In: CBT Research Notes in Economics. RePEc:tcb:econot:1802.

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2018The effects of conventional and unconventional monetary policy on exchange rates. (2018). Rossi, Barbara ; Inoue, Atsushi. In: Economics Working Papers. RePEc:upf:upfgen:1639.

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2019Forecasting Bond Risk Premia with Unspanned Macroeconomic Information. (2019). Liu, Rui. In: Quarterly Journal of Finance (QJF). RePEc:wsi:qjfxxx:v:09:y:2019:i:01:n:s2010139219400019.

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Works by Marco Lyrio:


YearTitleTypeCited
2004The Effect of Monetary Unification on German Bond Markets In: European Financial Management.
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2001The Effect of Monetary Unification on German Bond Markets.(2001) In: International Economics Working Papers Series.
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2001The Effect of Monetary Unification on German Bond Markets.(2001) In: International Economics Working Papers Series.
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2000Multiple Equilibria and the Credibility of the Brazilian Crawling Peg, 1995-1998. In: International Finance.
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1999Multiple Equilibria and the Credibility of the Brazilian Crawling-Peg, 1995-1998.(1999) In: International Economics Working Papers Series.
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2014Developments in Macro-Finance Yield Curve Modelling In: Cambridge Books.
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2016Developments in Macro-Finance Yield Curve Modelling.(2016) In: Cambridge Books.
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2018A macro-financial analysis of the corporate bond market In: Working Paper Series.
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2018A macro-financial analysis of the corporate bond market.(2018) In: Working Paper Research.
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2015A macro-financial analysis of the euro area sovereign bond market In: Journal of Banking & Finance.
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2014A macro-financial analysis of the euro area sovereign bond market.(2014) In: Working Paper Research.
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2006The cost of technical trading rules in the Forex market: A utility-based evaluation In: Journal of International Money and Finance.
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2003The Cost of Technical Trading Rules in the Forex Market: A Utility-based Evaluation.(2003) In: ERIM Report Series Research in Management.
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2003Macro factors and the Term Structure of Interest Rates In: ERIM Report Series Research in Management.
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2003Macro Factors and the Term Structure of Interest Rates.(2003) In: International Economics Working Papers Series.
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2002Macro Factors and the Term Structure of Interest Rates.(2002) In: International Economics Working Papers Series.
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2006Macro Factors and the Term Structure of Interest Rates.(2006) In: Journal of Money, Credit and Banking.
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2011Information in the Yield Curve: A Macro-Finance Approach In: Insper Working Papers.
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2014Information in the yield curve: A Macro-Finance approach.(2014) In: Working Paper Research.
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2014INFORMATION IN THE YIELD CURVE: A MACRO‐FINANCE APPROACH.(2014) In: Journal of Applied Econometrics.
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2011A New-Keynesian Model of the Yield Curve with Learning Dynamics: A Bayesian Evaluation In: Insper Working Papers.
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2011A New-Keynesian model of the yield curve with learning dynamics: A Bayesian evaluation.(2011) In: MPRA Paper.
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2011Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics In: Insper Working Papers.
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2011Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics.(2011) In: Review of Business and Economic Literature.
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2013Previsão dos preços de commodities por meio das taxas de câmbio In: Insper Working Papers.
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2005The economic value of technical trading rules: a nonparametric utility-based approach In: International Journal of Finance & Economics.
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2002The Economic Value of Technical Trading Rules: A Non-parametric Utility-based Approach.(2002) In: International Economics Working Papers Series.
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2006A joint model for the term structure of interest rates and the macroeconomy In: Journal of Applied Econometrics.
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2001A Joint Model for the Term Structure of Interest Rates and the Macroeconomy.(2001) In: International Economics Working Papers Series.
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2001Estimation of a Joint Model for the Term Structure of Interest Rates and the Macroeconomy In: International Economics Working Papers Series.
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2006A multi-factor model for the valuation and risk managment of demand deposits In: Working Paper Research.
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2008Learning, Macroeconomic Dynamics and the Term Structure of Interest Rates In: NBER Chapters.
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2004Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve In: Computing in Economics and Finance 2004.
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2006A Structural Macro Model of the Yield Curve In: Computing in Economics and Finance 2006.
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