Class information for:
Level 1: TERM STRUCTURE//TERM STRUCTURE OF INTEREST RATES//EXPECTATIONS HYPOTHESIS

Basic class information
Class id #P Avg. number of
references		 Database coverage
of references
4711 1739 27.6 44%


Bar chart of Publication_year

Last years might be incomplete

Hierarchy of classes
The table includes all classes above and classes immediately below the current class.


Cluster id Level Cluster label #P
1 4 ECONOMICS//EDUCATION & EDUCATIONAL RESEARCH//PSYCHOL 3876184
67 3       ECONOMICS//BUSINESS, FINANCE//ECON 84262
755 2             BACKWARD STOCHASTIC DIFFERENTIAL EQUATION//OPTION PRICING//REAL OPTIONS 12405
4711 1                   TERM STRUCTURE//TERM STRUCTURE OF INTEREST RATES//EXPECTATIONS HYPOTHESIS 1739

Terms with highest relevance score


rank Term termType Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 TERM STRUCTURE authKW 1443541 9% 55% 149
2 TERM STRUCTURE OF INTEREST RATES authKW 1135696 6% 63% 103
3 EXPECTATIONS HYPOTHESIS authKW 873957 3% 89% 56
4 YIELD CURVE authKW 578401 4% 46% 71
5 INTEREST RATE MODELS authKW 491874 2% 68% 41
6 AFFINE TERM STRUCTURE MODELS authKW 483234 2% 81% 34
7 TERM STRUCTURE MODELS authKW 283248 1% 73% 22
8 HJM MODEL authKW 264085 1% 79% 19
9 BUSINESS, FINANCE WoSSC 223803 53% 1% 926
10 LIBOR MARKET MODEL authKW 189792 1% 54% 20

Web of Science journal categories


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with term
in class
1 Business, Finance 223803 53% 1% 926
2 Economics 65447 65% 0% 1139
3 Social Sciences, Mathematical Methods 30474 16% 1% 286
4 Mathematics, Interdisciplinary Applications 5883 14% 0% 235
5 Statistics & Probability 2953 10% 0% 182
6 Operations Research & Management Science 419 4% 0% 69
7 Management 362 4% 0% 62
8 Business 202 2% 0% 40
9 Mathematics, Applied 128 5% 0% 83
10 International Relations 31 1% 0% 13

Address terms


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 ECON FINANCIAL MARKETS 52672 0% 100% 3
2 MACRO FINANCIAL ANAL 35115 0% 100% 2
3 TREASURY BALANCE SHEET MANAGEMENT 35115 0% 100% 2
4 FINANCE 23685 6% 1% 109
5 ADM RAT SCI ECON 17557 0% 100% 1
6 AGR BUSINESS MANAGEMENT GRP 17557 0% 100% 1
7 ANAL MATH MODELLING PL SCI LAMCA 17557 0% 100% 1
8 BANCA NAZL LAVOROCREDIT RISK 17557 0% 100% 1
9 BT PRIVATE BANKING 17557 0% 100% 1
10 C ITAL PORTFOLIO ANAL GRP 17557 0% 100% 1

Journals


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 MATHEMATICAL FINANCE 67587 3% 8% 46
2 JOURNAL OF BANKING & FINANCE 56521 7% 3% 119
3 JOURNAL OF FINANCE 46885 5% 3% 90
4 JOURNAL OF PORTFOLIO MANAGEMENT 40557 3% 4% 56
5 JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS 40205 3% 4% 58
6 QUANTITATIVE FINANCE 31315 3% 4% 48
7 JOURNAL OF DERIVATIVES 27316 1% 9% 18
8 JOURNAL OF FUTURES MARKETS 26545 3% 3% 51
9 JOURNAL OF FINANCIAL ECONOMICS 23928 3% 2% 57
10 REVIEW OF FINANCIAL STUDIES 21293 3% 3% 44

Author Key Words


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class		 LCSH search Wikipedia search
1 TERM STRUCTURE 1443541 9% 55% 149 Search TERM+STRUCTURE Search TERM+STRUCTURE
2 TERM STRUCTURE OF INTEREST RATES 1135696 6% 63% 103 Search TERM+STRUCTURE+OF+INTEREST+RATES Search TERM+STRUCTURE+OF+INTEREST+RATES
3 EXPECTATIONS HYPOTHESIS 873957 3% 89% 56 Search EXPECTATIONS+HYPOTHESIS Search EXPECTATIONS+HYPOTHESIS
4 YIELD CURVE 578401 4% 46% 71 Search YIELD+CURVE Search YIELD+CURVE
5 INTEREST RATE MODELS 491874 2% 68% 41 Search INTEREST+RATE+MODELS Search INTEREST+RATE+MODELS
6 AFFINE TERM STRUCTURE MODELS 483234 2% 81% 34 Search AFFINE+TERM+STRUCTURE+MODELS Search AFFINE+TERM+STRUCTURE+MODELS
7 TERM STRUCTURE MODELS 283248 1% 73% 22 Search TERM+STRUCTURE+MODELS Search TERM+STRUCTURE+MODELS
8 HJM MODEL 264085 1% 79% 19 Search HJM+MODEL Search HJM+MODEL
9 LIBOR MARKET MODEL 189792 1% 54% 20 Search LIBOR+MARKET+MODEL Search LIBOR+MARKET+MODEL
10 NELSON SIEGEL MODEL 151742 1% 79% 11 Search NELSON+SIEGEL+MODEL Search NELSON+SIEGEL+MODEL

Core articles
The table includes core articles in the class. The following variables is taken into account for the relevance score of an article in a cluster c:
(1) Number of references referring to publications in the class.
(2) Share of total number of active references referring to publications in the class.
(3) Age of the article. New articles get higher score than old articles.
(4) Citation rate, normalized to year.


Rank Reference # ref.
in cl.		 Shr. of ref. in
cl.		 Citations
1 GURKAYNAK, RS , WRIGHT, JH , (2012) MACROECONOMICS AND THE TERM STRUCTURE.JOURNAL OF ECONOMIC LITERATURE. VOL. 50. ISSUE 2. P. 331 -367 49 73% 21
2 DAI, QA , SINGLETON, K , (2003) TERM STRUCTURE DYNAMICS IN THEORY AND REALITY.REVIEW OF FINANCIAL STUDIES. VOL. 16. ISSUE 3. P. 631-678 51 69% 87
3 MALIK, S , MELDRUM, A , (2016) EVALUATING THE ROBUSTNESS OF UK TERM STRUCTURE DECOMPOSITIONS USING LINEAR REGRESSION METHODS.JOURNAL OF BANKING & FINANCE. VOL. 67. ISSUE . P. 85 -102 29 91% 0
4 TAKAMIZAWA, H , (2015) PREDICTING INTEREST RATE VOLATILITY USING INFORMATION ON THE YIELD CURVE.INTERNATIONAL REVIEW OF FINANCE. VOL. 15. ISSUE 3. P. 347 -386 31 86% 0
5 ZHU, XN , (2014) PESO PROBLEMS AND TERM STRUCTURE ANOMALIES OF REPO RATES.REVIEW OF FINANCE. VOL. 18. ISSUE 3. P. 1183 -1215 34 79% 0
6 CAO, R , ZHU, XN , RAHMAN, S , (2014) YIELD FACTORS, THE EXPECTATIONS HYPOTHESIS AND REGIME SHIFTS.ANNALS OF ECONOMICS AND FINANCE. VOL. 15. ISSUE 2. P. 411 -431 29 85% 0
7 CEBALLOS, L , NAUDON, A , ROMERO, D , (2016) NOMINAL TERM STRUCTURE AND TERM PREMIA: EVIDENCE FROM CHILE.APPLIED ECONOMICS. VOL. 48. ISSUE 29. P. 2721 -2735 27 87% 0
8 TROLLE, AB , SCHWARTZ, ES , (2009) A GENERAL STOCHASTIC VOLATILITY MODEL FOR THE PRICING OF INTEREST RATE DERIVATIVES.REVIEW OF FINANCIAL STUDIES. VOL. 22. ISSUE 5. P. 2007-2057 29 85% 18
9 STEELEY, JM , (2014) FORECASTING THE TERM STRUCTURE WHEN SHORT-TERM RATES ARE NEAR ZERO.JOURNAL OF FORECASTING. VOL. 33. ISSUE 5. P. 350 -363 24 92% 0
10 BUENO-GUERRERO, A , MORENO, M , NAVAS, JF , (2016) THE STOCHASTIC STRING MODEL AS A UNIFYING THEORY OF THE TERM STRUCTURE OF INTEREST RATES.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS. VOL. 461. ISSUE . P. 217 -237 23 92% 0

Classes with closest relation at Level 1


Rank Class id link
1 8208 CREDIT DEFAULT SWAPS//CREDIT RISK//CREDIT SPREADS
2 1907 OPTION PRICING//IMPLIED VOLATILITY//STOCHASTIC VOLATILITY
3 10133 QUANTITATIVE EASING//CENTRAL BANK COMMUNICATION//UNCONVENTIONAL MONETARY POLICY
4 11419 TERM SPREAD//MARKOV SWITCHING//MARKOV SWITCHING MODELS
5 7014 HIGH FREQUENCY DATA//REALIZED VOLATILITY//MICROSTRUCTURE NOISE
6 3582 EQUITY PREMIUM//PREDICTIVE REGRESSION//ASSET PRICING
7 19053 INFLATION ILLUSION//PROXY HYPOTHESIS//REAL STOCK PRICES
8 32855 STRUCTURED PRODUCTS//GERMAN MARKET//CURRENCY FLOW
9 7789 CARRY TRADE//UNCOVERED INTEREST PARITY//FORWARD PREMIUM PUZZLE
10 7689 AMERICAN OPTIONS//OPTION PRICING//BLACK SCHOLES EQUATION

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