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Immunization of fixed-income portfolios using an exponential parametric model

Lund, Bruno; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 34 (2014) 2, pp. 155-201

Persistent link: https://www.econbiz.de/10011538795

Yield factors, the expectations hypothesis and regime shifts

Cao, Rui; Zhu, Xiaoneng; Rahman, Shahidur - In: Annals of economics and finance 15 (2014) 2, pp. 411-431

Persistent link: https://www.econbiz.de/10010481160

Time-varying risk premium yield spread effect in term structure and global financial crisis : evidence from Europe

Choudhry, Taufiq - In: International review of financial analysis 48 (2016), pp. 303-311

Persistent link: https://www.econbiz.de/10011624526

The role of jumps and options in the risk premia of interest rates

Lund, Bruno - In: Brazilian review of econometrics : BRE ; the review of … 38 (2018) 2, pp. 263-285

Persistent link: https://www.econbiz.de/10012129514

Curve Forecasting by Functional Autoregression

Onatski, A.; Karguine, V. - Society for Computational Economics - SCE - 2005

Data in which each observation is a curve occur in many applied problems. This paper explores prediction in time series in which the data is generated by a curve-valued autoregression process. It develops a novel technique, the predictive factor decomposition, for estimation of the...

Persistent link: https://www.econbiz.de/10005343036

A consumption-based term structure model of bonds and equity

Suzuki, Masataka - In: International review of financial analysis 94 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014543974

An equilibrium model of the term structures of bonds and equities

Takamizawa, Hideyuki - In: International review of financial analysis 84 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013472835

Investor strategies in the green bond market : the influence of liquidity risks, economic factors and clientele effects

Boutabba, Mohamed Amine; Rannou, Yves - In: International review of financial analysis 81 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013375281