Subject: Yield Curve Analysis

Nelson-Siegel and Svensson method (also yield curve theory)

SVENSSON, Lars E. O. (1994): Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994, International Monetary Fund Working Paper No. 114, September

NELSON, Charles - SIEGEL, Andrew (1987): Parsimonious Modeling of Yield Curves, Journal of Business, vol. 60, No. 4. 473-489.

BERNAND, Henri - GERLACH, Stefan, (1995): Predicting recessions using the term structure: Some international evidence, Working paper (Bank of International Settlements, Basle), 1995 December

CARLETON, W. T. - COOPER, I. A. (1976): Estimation and uses of the term structure of interest rates, Journal of Finance, XXXI, No. 4 (September), 1067-83.

ESTRELLA, Arturo - MISHKIN, Frederic (1997): The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank, European Economic Review, vol. 41., 1375-1404

FAMA, Eugene F. (1976): Forward rates as predictors of future spot rates, Journal of Financial Economics, vol. 3., 361-377

FAMA, Eugene F. (1984): The information in the term structure, Journal of Financial Economics, vol. 13., 509-528

GERLACH, Stefan (1997): The Information Content of the Term Structure: Evidence for Germany, Empirical-Economics, vol. 22(2), 161-179

KARFAKIS, Costas - MOSCHOS, Demetrios (1995): The Information Content of the Yield Curve in Australia, Journal of Macroeconomics; vol. 17(1), Winter 1995, 93-109.

Estimation using Splines

LANGETIEG, Terence - Stephen J. SMOOT (1981): An Appraisal of Alternative Spline Methodologies for Estimating the Term Structure of Interest Rates, Working Paper, University of Southern California, December

MCCULLOCH, Houston, J. (1971): Measuring the Term Structure of Interest Rates, Journal of Business, vol. XLIV, January, 19-31.

SHEA, G. S. (1984): Pitfalls in Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximation, Journal of Financial and Quantitative Analysis, Vol. 19, 253-269.

Arbitrage Theory

DUFFIE (1992): Dynamic Asset Pricing Theory, Princeton University Press, Princeton, NJ.

COX-INGERSOLL-ROSS (1985): An intertemporal general equilibrium model of asset prices, Econometrica, vol. 53

HEATH-JARROW-MORTON (1992): Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation, Econometrica, vol. 60

Books

There are many of them, but this one is a really good one. Brief, bright, easily understandable. I frankly recommend it.

Nicola ANDERSON - Francis BREEDON - Mark DEACON - Andrew DERRY - Gareth MURPHY (1997): Estimating and Interpreting the yield Curve, John Wiley & Son