Details about Leo Krippner

Access statistics for papers by Leo Krippner.

Last updated 2008-08-04. Update your information in the RePEc Author Service.

Short-id: pkr73

Working Papers

2008

1. A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney

2006

2. A Yield Curve Perspective on Uncovered Interest Parity
   Working Papers in Economics, University of Waikato, Department of Economics

2005

3. A New Framework for Yield Curve, Output and Inflation Relationships
   Working Papers in Economics, University of Waikato, Department of Economics View citations
4. An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models
   Working Papers in Economics, University of Waikato, Department of Economics View citations
5. Attributing Returns and Optimising United States Swaps Portfolios Using an Intertemporally-Consistent and Arbitrage-Free Model of the Yield Curve
   Working Papers in Economics, University of Waikato, Department of Economics
6. Investigating the Relationships between the Yield Curve, Output and Inflation using an Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models
   Working Papers in Economics, University of Waikato, Department of Economics

2003

7. Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation
   Working Papers in Economics, University of Waikato, Department of Economics View citations
8. Modelling the Yield Curve with Orthonormalised Laguerre Polynomials: A Consistent Cross-Sectional and Inter-Temporal Approach
   Working Papers in Economics, University of Waikato, Department of Economics View citations

2002

9. Extracting expectations of New Zealand's Official Cash Rate from the bank-risk yield curve
   Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand View citations

1998

10. Testing the predictive power of New Zealand bank bill futures rates
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand View citations

Journal Articles

2006

1. A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
   Applied Mathematical Finance, 2006, 13, (1), 39-59 View citations

2001

2. Market expectations of the Official Cash Rate
   Reserve Bank of New Zealand Bulletin, 2001, 64 View citations