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State space decomposition and classification of term structure shapes in the two-factor vasicek model
Keller-Ressel, Martin; Sachse, Felix - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-38
Persistent link: https://www.econbiz.de/10014497221
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Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators
Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - In: Econometric reviews 35 (2016) 1/4, pp. 232-256
Persistent link: https://www.econbiz.de/10011549916
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Term structure of risk factor premiums used for pricing asset : emerging vs. developed markets
González Sánchez, Mariano - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 5, pp. 1339-1358
Persistent link: https://www.econbiz.de/10013167085
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Modelling the dynamics of long-term bonds with Kalman filter
Mawonike, Romeo; Ikpe, Dennis; Gyamerah, Samuel Asante - In: International journal of bonds and derivatives 4 (2021) 3, pp. 236-257
Persistent link: https://www.econbiz.de/10012612669
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Carry trades, agent heterogeneity and the exchange rate
Li, Xiao-Ping; Zhou, Chun-Yang; Tong, Bin - In: International review of economics & finance : IREF 64 (2019), pp. 343-358
Persistent link: https://www.econbiz.de/10012372800
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Macroeconomic shocks and evolution of term structure of interest rate : a dynamic latent factor approach
Singh, Sanjay; Hatekar, Neeraj R. - In: Indian economic review : official journal of Delhi … 53 (2018) 1/2, pp. 245-262
Persistent link: https://www.econbiz.de/10012225832
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The natural rate of interest: information derived from a shadow rate model
Ajevskis, Viktors - In: Applied economics 52 (2020) 47, pp. 5129-5138
Persistent link: https://www.econbiz.de/10012306572
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The arbitrage-free generalized Nelson-Siegel term structure model : does a good in-sample fit imply better out-of-sample forecasts?
Ullah, Wali - In: Empirical economics : a journal of the Institute for … 59 (2020) 3, pp. 1243-1284
Persistent link: https://www.econbiz.de/10012285551
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A Markov switching unobserved component analysis of the CDX index term premium
Calice, Giovanni; Ioannidis, Christos; Miao, Rong Hui - In: International review of financial analysis 44 (2016), pp. 189-204
Persistent link: https://www.econbiz.de/10011623992
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Affine term structure model with macroeconomic factors : do no-arbitrage restriction and macroeconomic factors imply better out-of-sample forecasts?
Ullah, Wali - In: Journal of forecasting 35 (2016) 4, pp. 329-346
Persistent link: https://www.econbiz.de/10011580766