The 48 references in paper Christopher F. Baum, Olin Liu (1994) “An Alternative Strategy for Estimation of a Nonlinear Model of the Term Structure of Interest Rates” / RePEc:boc:bocoec:275

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2
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3
Baum, C.F., and C.F. Thies, 1992, "On the Construction of Monthly Term Structures of U.S. Interest Rates, 1919-1930," Computer Science in Economics and Management, 5, 221-246.
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4
Black, F., 1976, “The Pricing of Commodity Contracts,” Journal of Financial Economics, 3, 167-179.
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5
Black, F., and M. Scholes, 1973, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81, 637-659.
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6
Black, F., E. Derman, and W. Toy, 1990, “A One-Factor Model of Interest Rates and
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7
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8
Brennan, M.J., and E.S. Schwartz, 1979, “A Continuous Time Approach to the Pricing of Bonds,” Journal of Banking and Finance, 3, 133-155.
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9
Brennan, M.J., and E.S. Schwartz, 1982, “An Equilibrium Model of Bond Pricing and a Test of Market Efficiency,” Journal of Financial and Quantitative Analysis, 17, 301-329.
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10
Chan, K.C., G.A. Karolyi, F.A. Longstaff and A.B. Sanders, 1992, "An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of
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11
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12
Coleman, T., L. Fisher and R.G. Ibbotson, 1989, U.S. Treasury Yield Curves 1926-1988, New York
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13
Coleman, T., L. Fisher and R.G. Ibbotson, 1992, " Estimating the Term Structure of
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14
Interest Rates From Data that Include the Prices of Coupon Bonds," The Journal of
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Fixed Income, September, 1992, 85-116.
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16
Cox, J.C., J.E. Ingersoll, and S.A. Ross, 1985a, “An Intertemporal General
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17
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Cox, J.C., J.E. Ingersoll, and S.A. Ross, 1985b, “A Theory of the Term Structure of
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19
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20
Cox, R.D., and H.d. Miller, 1965, The Theory of Stochastic Processes, John Wiley &
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21
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22
Das, S.R., 1993, "Interest Rate Level Changes and Alternative Models of the Short Rate," Working Paper, New York University.
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23
Davidson, R., and J.G. MacKinnon, 1993, Estimation and Inference in Econometrics, Oxford University
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Diament, P., 1993, "Semi-Empirical Smooth Fit to the Treasury Yield Curve," Journal of Fixed Income, June 1993, 55-70.
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25
Dothan, L.U., 1978, “On the Term Structure of Interest Rates,” Journal of Financial Economics, 6, 59-69.
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26
Fama, Eugene F., 1984, "Term Premiums in Bond Returns," Journal of Financial Economics, 13, 529-546.
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27
Feller, W., 1951, "Two Singular Diffusion Problems," Annals of Mathematics, 54, 173182.
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28
Heath, D., R. Jarrow, and A. Morton, 1987, “Bond Pricing and the Term Structure of
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29
Interest Rates: A New Methodology for Contingent Claim Evaluation,” working paper, Cornell University.
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30
Hansen, Lars P., 1982, "Large Sample Properties of the Generalized Method of
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31
Moments Estimators," Econometrica 50, 1029-1054.
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32
Ho, T.S.Y., and S.B. Lee, 1986, “Term Structure Movements and Pricing of Interest
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34
Hull, J., and A. White, 1987, “The Pricing of Options on Assets with Stochastic Volatilities,” Journal of Finance, 42, 281-300.
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35
Hull, J. and A. White, 1990, “Valuing Derivative Securities Using the Explicit Finite
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39
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40
Longstaff, F.A., 1989, “A Nonlinear General Equilibrium Model of the Term Structure of Interest Rates,” Journal of Financial Economics, 23, 195-224.
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41
Longstaff, F.A., and E.S. Schwartz, 1992, "Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model," Journal of Finance, 47, 12591282.
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42
Longstaff, F.A., and E.S. Schwartz, 1993, "Implementation of the Longstaff-Schwartz
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43
Interest Rate Model," Journal of Fixed Income, Sept. 1993, 7-14.
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44
McCulloch, J. Huston, 1971, "Measuring the Term Structure of Interest Rates," Journal of Business, 44, 19-31.
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45
Nielsen, L.T., and Jesús Saá-Requejo, 1993, "Exchange Rate and Term Structure Dynamics and the Pricing of Derivative Securities," working paper, INSEAD.
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46
Richard, S., 1978, “An Arbitrage Model of the Term Structure of Interest Rates,” Journal of Financial Economics, 6, 33-57.
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47
Sundaresan, S.M., 1984, "Consumption and equilibrium interest rates in stochastic production economies," Journal of Finance, 39, 77-92.
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48
Vasicek, O.A., 1977, “An Equilibrium Characterization of the Term Structure,” Journal of Financial Economics, 5, 177-188.
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