The 12 references in paper Christopher F. Baum, Basma Bekdache (1995) “Modeling Returns on the Term Structure of Treasury Interest Rates” / RePEc:boc:bocoec:288

1
Canova, Fabio and Jane Marrinan, 1995. Predicting excess returns in financial markets. European Economic Review 39:1, 35-70.
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2
Coleman, T.S., Fisher, L. Ibbotson, 1993. Historical U.S. Treasury yield curves, 19261992. New York:Moody’s Investors Services.
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3
Cox, J., J. Ingersoll and S. Ross, 1985, A theory of the term structure of interest rates, Econometrica 53, 385-467.
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4
Engle, R.F., 1987. Multivariate ARCH with factor structures: cointegration in variance. Unpublished working paper, University of California at San Diego.
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5
Engle, R.F., Ng, V. and M. Rothschild, 1990. Asset pricing with a Factor-ARCH covariance structure: Empirical estimates for Treasury bills. Journal of Econometrics 45, 213-237.
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6
Engsted, T. and C. Tangaard, 1994. Cointegration and the U.S. term structure, Journal of Banking and Finance 18, 167-181.
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7
Froot, K.A., 1989. New hope for the expectations hypothesis, Journal of Finance 44, 283-305.
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8
Gourieroux, C. and A. Monfort, 1992. Qualitative threshold ARCH models. Journal of Econometrics 52, 159-199.
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9
Hall, A.D., H.M. Anderson, and C.W.J. Granger, 1992. A cointegration analysis of Treasury bill yields, Review of Economics and Statistics 74, 116-126.
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10
McCulloch, J. H. and H. Kwon, 1993. U.S. term structure data, 1947-1991. Unpublished working paper #93-6, Ohio State University.
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11
Pagan, A., 1984. Econometric issues in the analysis of regressions with generated regressors. International Economic Review 25:1, 221-247.
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12
Ross, S., 1976. Arbitrage theory of capital asset pricing. Journal of Economic Theory 13:341-360. -12-
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