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The US zero-coupon yield spread as a predictor of excess daily stock market volatility
Li, Matthew C. - In: Applied financial economics 24 (2014) 13/15, pp. 889-906
Persistent link: https://www.econbiz.de/10010410398
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A decomposition of the term structure model of Heath, Jarrow and Morton
Guo, Chen - In: Applied financial economics 8 (1998) 2, pp. 111-118
Persistent link: https://www.econbiz.de/10001244130
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The volatility of US term structure term premia 1952 - 1991
Henry, Ólan Thomas John - In: Applied financial economics 9 (1999) 3, pp. 263-271
Persistent link: https://www.econbiz.de/10001454511
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Moving beyond Volatility Index (VIX) : HARnessing the term structure of implied volatility
Clements, Adam; Liao, Yin; Tang, Yusui - In: Journal of forecasting 41 (2022) 1, pp. 86-99
Persistent link: https://www.econbiz.de/10012796271
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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
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The importance of interest rates for forecasting the exchange rate
Bjørnland, Hilde Christiane; Hungnes, Håvard - In: Journal of forecasting 25 (2006) 3, pp. 209-221
Persistent link: https://www.econbiz.de/10003318080
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Forecasting interest rate swap spreads using domestic and international risk factors : evidence from linear and non-linear models
Lekkos, Ilias; Milas, Costas; Panagiōtidēs, Theodōros - In: Journal of forecasting 26 (2007) 8, pp. 601-619
Persistent link: https://www.econbiz.de/10003608157
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New evidence of the expectation hypothesis of interest rates : a flexible nonlinear approach
Mili, Medhi; Sahut, Jean-Michel; Teulon, Fredéric - In: Applied financial economics 22 (2012) 1/3, pp. 165-176
Persistent link: https://www.econbiz.de/10009419561
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Nonlinearity in the reaction of the foreign exchange market to interest rate differentials : evidence from a small open economy with a long-term peg
Jackman, Mahalia; Craigwell, Roland C.; Doyle-Lowe, Michelle - In: Applied financial economics 23 (2013) 4/6, pp. 287-296
Persistent link: https://www.econbiz.de/10009718935
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Term structure forecasting of government bond yields with latent and macroeconomic factors : do macroeconomic factors imply better out-of-sample forecasts?
Ullah, Wali; Tsukuda, Yoshihiko; Matsuda, Yasumasa - In: Journal of forecasting 32 (2013) 8, pp. 702-723
Persistent link: https://www.econbiz.de/10010344463