Janus, Jakub - In: Statistics in Transition new series (SiTns) 23 (2022) 1, pp. 153-171
This paper provides a comparative evaluation of the behaviour of long-term sovereign yieldsin Czechia, Hungary and Poland from 2001 to 2019. An affine term structure model de-veloped by Adrian, Crump and Moench (2013) is used as an empirical framework for thedecomposition of the bond yields into...