Mark Fisher's Downloadable papers (in pdf format)


Published papers

Around and around: The expectations hypothesis
(with Christian Gilles)
Journal of Finance, 53 (1998), 365-383.
Abstract

Forces That Shape the Yield Curve
Federal Reserve Bank of Atlanta Economic Review 86(1), 1-15, 2001.

Special Repo Rates: An Introduction
Federal Reserve Bank of Atlanta Economic Review 87(2), 27-43, 2002.

Modeling the Term Structure of Interest Rates: An Introduction
Federal Reserve Bank of Atlanta Economic Review 89(3), 41-62, 2004.

Happy Hour Economics, or How an Increase in Demand Can Produce a Decrease in Price
Federal Reserve Bank of Atlanta Economic Review 90(2), 25-34, 2005.


Working papers

Maximum entropy on a simplex: An expository note
March 2006
Note: A companion Mathematica package is available.

Apparent arbitrage
February 2010 (with Christian Gilles)
Abstract

Forces that shape the yield curve: Parts I and II
March 2001
Note: This paper is intended as an introduction for advanced undergraduate and beginning graduate students. For the most part, it uses only high-school algebra. The paper is divided into two parts. Part 1 presents material that was largely incorporated into a Review article. Part 2 completes the analysis, providing material beyond the scope of the Review article.
Abstract

Modeling the state-price deflator and the term structure of interest rates
February 2000 (with Christian Gilles)
Abstract

Modeling negative autoregression in continuous time
February 2000
Status: Preliminary
Abstract

Consumption and asset prices with homothetic recursive preferences
June 1999 (with Christian Gilles)
Abstract

Consumption and asset prices with recursive preferences: Continuous-time approximations to discrete-time models
June 1999
Abstract

Deflated gains and numeraire invariance: A simple exposition
August 1999
Status: Preliminary and incomplete

A simple model of the failure of the expectations hypothesis
June 1998
Abstract

The essence of asset pricing
January 1998
Status: Preliminary and incomplete
Notes: This is an introductory paper, presenting a number of topics in a simple one-period, binomial model.

The absence of arbitrage and general equilibrium in continuous time: An overview
October 1997 (with Christian Gilles )
Status: Preliminary and incomplete
Abstract

Risk-neutral pricing and risk neutrality: A tale of two equivalent martingale measures
October 1996 (with Christian Gilles)
Status: Preliminary and incomplete
Abstract

Estimating exponential-affine models of the term structure
September 1996 (with Christian Gilles )
Status: Preliminary and incomplete
Abstract

The term structure of repo spreads
July 1996 (with Christian Gilles)
Status: Preliminary and incomplete.
Abstract

Term premia in exponential-affine models of the term structure
April 1996 (with Christian Gilles )
Status: Preliminary and incomplete
Abstract

The term structure of tax-exempt spreads: The effect of convexity
January 1995
Status: Preliminary and incomplete
Abstract

Fitting the term structure of interest rates with smoothing splines
September 1994 (with Douglas Nychka and David Zervos)
Status: Appeared as FEDS 95-1, Federal Reserve Board, Washington DC.
Notes: The figures are missing from this version.
Abstract

Happy-hour economics
June 1991
Abstract


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