Heath, D., Jarrow, R. and Morton, A. (1992), “Bond Pricing and the Term Structure of Interest Rates: A
New Methodology for Contingent Claims Valuation,” Econometrica, 60, 77-105.
Hull, J. and White, A. (1990), “Pricing Interest-Rate-Derivative Securities,” Review of Financial Studies,
3, 573-592.
Knez, P., Litterman, R. and Scheinkman, J. (1994), “Exploration into Factors Explaining Money Market
Returns,” Journal of Finance, 49, 1861-1882.
Litterman, R. and Scheinkman, J. (1991), “Common Factors Affecting Bond Returns,” Journal of Fixed
Income, 1, 54-61.
Litzenberger, R., Squassi, G. and Weir, N. (1995), “Spline Models of the Term Structure of Interest
Rates and Their Applications,” Working Paper, Goldman, Sachs and Company.
McCulloch, J.H. (1975), “The Tax Adjusted Yield Curve,” Journal of Finance, 30, 811-830.
McCulloch, J.H. and Kwon, H. (1993), “U.S. Term Structure Data, 1947-1991,” Working Paper 93-6,
Ohio State University.
Nelson, C.R. and Siegel, A.F. (1987), “Parsimonious Modeling of Yield Curves,” Journal of Business,
60, 473-489.
Pagan, A.R., Hall, A.D. and Martin, V. (1996), “Modeling the Term Structure,” in C.R Rao and G.S.
Maddala (eds.), Handbook of Statistics, 91-118. Amsterdam: North-Holland.
Shea, G.S. (1992), “Benchmarking the Expectations Hypothesis of the Interest-Rate Term Structure: An
Analysis of Cointegration Vectors,” Journal of Business and Economic Statistics, 10, 347-366.
Siegel, A.F. and Nelson, C.R. (1988), “Long-term Behavior of Yield Curves,” Journal of Financial and
Quantitative Analysis, 23, 105-110.
Soderlind, P. and Svensson, L.E.O. (1997), “New Techniques to Extract Market Expectations from
Financial Instruments,” Journal of Monetary Economics, 40, 383-430.
Swanson, N.R. and White, H. (1995), “A Model-Selection Approach to Assessing the Information in the
Term Structure Using Linear Models and Artificial Neural Networks,” Journal of Business and
Economic Statistics, 13, 265-275.
Vasicek, O. (1977), “An Equilibrium Characterization of the Term Structure,” Journal of Financial
Economics, 5, 177-188.
Vasicek, O.A. and Fong, H.G. (1982), “Term Structure Modeling Using Exponential Splines,” Journal of
Finance, 37, 339-348.
Zellner, A. (1992), “Statistics, Science and Public Policy” (ASA Presidential Address), Journal of the
American Statistical Association, 87, 1-6.
Zellner, A. and Hong, C. (1989), “Forecasting International Growth Rates Using Bayesian Shrinkage and