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Arbitrage-free relative Nelson-Siegel model

Ishii, Hokuto - In: Finance research letters 37 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012484986

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

Chapter 13. Bond Pricing and the Macroeconomy

Duffee, Gregory R. - 2013

This chapter reviews some of the academic literature that links nominal and real term structures with the macroeconomy. The main conclusion is that none of our models is consistent with basic properties of nominal yields. It is difficult to explain the average shape of the nominal yield curve,...

Persistent link: https://www.econbiz.de/10014025365

Die Zinsstrukturtheorie : Eine Analyse der Faktoren, Arbitrage und Volatilität für das Euro-Währungsgebiet

Stoklossa, Harald - 2010

DIE METHODISCHE GRUNDLEGUNG -- AUSGANGSBASIS: DIE BESTEHENDE ZINSSTRUKTURKURVE -- DIE ÄLTEREN THEORIEN ZUR ZINSSTRUKTUR … -- DIE GRUNDMODELLE DER ZINSSTRUKTUR -- DIE DETERMINISTISCHEN FAKTOREN ZUR ZINSSTRUKTUR -- DIE SUBSTITUTIVEN … ARBITRAGEPROZESSE ZUR ZINSSTRUKTUR -- DIE STOCHASTISCHEN VOLATILITÄTEN DER ZINSSTRUKTUR -- ERKLÄRUNGS- & PROGNOSEMODELL ZUR ZINSSTRUKTUR. …

Persistent link: https://www.econbiz.de/10014425190

Modern Pricing of Interest-Rate Derivatives : The LIBOR Market Model and Beyond

Rebonato, Riccardo - 2003

In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and … academic and professional experience, straddling both sides of the divide to bring together and build on what theory and …