yield curve, ignoring any pricing residuals on the yield curve that are either from model approximations or market … imperfections. In contrast, option pricing in practice often takes the market observed yield curve as given and focuses exclusively … on the specification of the volatility structure of forward rates. Thus, if any errors exist on the observed yield curve …

We investigate whether the same finite dimensional dynamic system spans both interest rates (the yield curve) and … underlying yield curve. While three common factors are adequate to capture the systematic movement of the yield curve, we need …

models to accommodate various empirical stylized facts such as the forward premium puzzle and differently shaped yield curves …

Poland. I show how the NRI can yield important information for a central banker. First, estimation of the NRI can be helpful …

yield curve, this paper proposes a framework for studying the impact of shifts in market sentiment on interest rates of all … capture the dynamics of the yield curve. Macroeconomic forecasts play an important role in explaining time-variation in the …