Jens Henrik Eggert Christensen

FRB of San Francisco - Financial Research

101 Market Street

San Francisco, CA 94105

United States

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SCHOLARLY PAPERS

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Scholarly Papers (6)

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1.

Confidence Sets for Continuous-Time Rating Transition Probabilities

Number of pages: 43 Posted: 23 Jun 2004
Jens Henrik Eggert Christensen, David Lando and Ernst Hansen
FRB of San Francisco - Financial Research, Copenhagen Business School - Department of Finance and University of Copenhagen - Department of Applied Mathematics and Statistics
Downloads 604 (87,596)
Citation 35

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2.

The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models

Downloads 522 (105,223)
Citation 150

The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models

PIER Working Paper No. 07-029
Number of pages: 38 Posted: 01 Oct 2007
Francis X. Diebold, Jens Henrik Eggert Christensen and Glenn D. Rudebusch
University of Pennsylvania - Department of Economics, FRB of San Francisco - Financial Research and Federal Reserve Bank of San Francisco
Downloads 297 (197,701)

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arbitrage, Nelson-Siegel, term structure, factor models, forecast accuracy

The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models

FRB of San Francisco Working Paper No. 2007-20
Number of pages: 38 Posted: 02 Nov 2007
Jens Henrik Eggert Christensen, Francis X. Diebold and Glenn D. Rudebusch
FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 146 (384,902)
Citation 1

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interest rates, econometric models

The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models

NBER Working Paper No. w13611
Number of pages: 38 Posted: 29 Nov 2007 Last Revised: 11 Sep 2022
Jens Henrik Eggert Christensen, Francis X. Diebold and Glenn D. Rudebusch
FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 79 (599,309)
Citation 66

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3.

A Portfolio Model of Quantitative Easing

Peterson Institute for International Economics Working Paper No. 16-7
Number of pages: 26 Posted: 09 May 2016
Jens Henrik Eggert Christensen and Signe Krogstrup
FRB of San Francisco - Financial Research and National Bank of Denmark - Economics Department
Downloads 343 (170,800)
Citation 4

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unconventional monetary policy, transmission, reserve-induced portfolio balance channel

4.

An Arbitrage-Free Generalized Nelson-Siege Term Structure Model

PIER Working Paper No. 08-030
Number of pages: 30 Posted: 25 Aug 2008
Jens Henrik Eggert Christensen, Francis X. Diebold and Glenn D. Rudebusch
FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 173 (333,520)

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Yield Curve, Interest Rate, Bond Market, Svensson Model

5.

Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico

FRB of New York Staff Report No. 961
Number of pages: 51 Posted: 22 Mar 2021
Remy Beauregard, Jens Henrik Eggert Christensen, Eric Fischer and Simon Zhu
Federal Reserve Banks - Federal Reserve Bank of San Francisco, FRB of San Francisco - Financial Research, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 101 (507,598)

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term structure modeling, liquidity risk, financial market frictions, central bank credibility

6.

An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model

NBER Working Paper No. w14463
Number of pages: 34 Posted: 10 Nov 2008 Last Revised: 10 Jul 2022
Jens Henrik Eggert Christensen, Francis X. Diebold and Glenn D. Rudebusch
FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 69 (636,890)

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