1. Kim, D. H., & Orphanides, A. (2012). Term Structure Estimation with Survey Data on Interest Rate Forecasts. Journal of Financial and Quantitative Analysis.

  2. Bauer, M. D., & Rudebusch, G. D. (2020). Interest Rates under Falling Stars. American Economic Review.

  3. Bauer, M. (2012). Restrictions on Risk Prices in Dynamic Term Structure Models.

  4. Duffee, G. R. (2011). Sharpe ratios in term structure models.

    Note: Great stuff. "It is worth emphasizing that the maximum Sharpe ratio of a portfolio of Treasury bond comfortably exceeds the Sharpe ratio for the market. Nonetheless, the book “Treasury securities for the long run” is unlikely to be a bestseller."

  5. Diebold, F. X., & Li, C. (2003). Forecasting the Term Structure of Government Bond Yields. Working Paper Series.

  6. Bianchi, D., Büchner, M., & Tamoni, A. (2021). Bond Risk Premiums with Machine Learning. Review of Financial Studies.