Don H. Kim

TL;DR: A simple three-factor arbitrage-free term structure model estimated by Federal Reserve Board staff and reported results obtained from fitting this model to U.S. Treasury yields since 1990 as discussed by the authors.

TL;DR: In this article, the authors provide evidence that a fairly large TIPS liquidity premium existed until recently, using a multifactor no-arbitrage term structure model estimated with nominal and TIPS yields, inflation and survey forecasts of interest rates.

TL;DR: This article used survey forecasts of a short-term interest rate as additional input to the estimation of dynamic no-arbitrage term structure models to overcome the small-sample problem arising from the highly persistent nature of interest rates.

TL;DR: A collection of the speeches, presentations and papers from a conference on "The International Financial Crisis and Policy Challenges in Asia and the Pacific" as mentioned in this paper was co-hosted by the People's Bank of China (PBC) and the Bank for International Settlements (BIS) to mark the formal completion of the BIS Asian Research Programme.

TL;DR: In this paper, the authors construct a no-arbitrage term structure model with jumps in the entire state vector at deterministic times but of random magnitudes, and apply it to the term structure of US Treasury rates, estimated at the daily frequency, allowing for jumps on days of employment report announcements.