The incremental information in the yield curve about future interest rate risk
Year of publication: |
2023
|
---|---|
Authors: | Christensen, Bent Jesper ; Kjær, Mads Markvart ; Veliyev, Bezirgen |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 155.2023, p. 1-22
|
Subject: | Forecasting | Kalman filtering | Term structure models | Volatility | Yield curve | Zinsstruktur | Volatilität | Schätzung | Estimation | Prognose | Forecast | Prognoseverfahren | Forecasting model | Zustandsraummodell | State space model | Theorie | Theory | Zinsrisiko | Interest rate risk | Kapitaleinkommen | Capital income | Öffentliche Anleihe | Public bond |
-
The incremental information in the yield curve about future interest rate risk
Christensen, Bent Jesper, (2021)
-
Analyzing interest rate risk : stochastic volatility in the term structure of government bond yields
Hautsch, Nikolaus, (2012)
-
Ullah, Wali, (2013)
- More ...
-
The incremental information in the yield curve about future interest rate risk
Christensen, Bent Jesper, (2021)
-
Predicting Bond Return Predictability
Borup, Daniel, (2020)
-
Interest rates, exchange rates, and economic uncertainty
Kjær, Mads Markvart, (2021)
- More ...