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~isPartOf:"CREATES research paper"
~subject:"Yield curve"
~subject:"Zeitreihenanalyse"
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Yield curve
Zeitreihenanalyse
Theorie
211
Theory
211
Time series analysis
75
Forecasting model
51
Prognoseverfahren
51
Volatility
42
Volatilität
42
Stochastic process
37
Stochastischer Prozess
37
Estimation
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29
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Andreasen, Martin Møller
6
Grassi, Stefano
6
Podolskij, Mark
6
Haldrup, Niels
5
Johansen, Søren
5
Kruse, Robinson
5
Santucci de Magistris, Paolo
5
Christensen, Bent Jesper
4
Nielsen, Morten Ørregaard
4
Bredahl Kock, Anders
3
Ergemen, Yunus Emre
3
Hillebrand, Eric
3
Nonejad, Nima
3
Proietti, Tommaso
3
Bauwens, Luc
2
Boldrini, Lorenzo
2
Christensen, Jens H. E.
2
Christensen, Kim
2
Christiansen, Charlotte
2
Christoffersen, Peter F.
2
Delle Monache, Davide
2
Dias, Gustavo Fruet
2
Hansen, Peter Reinhard
2
Jacobs, Kris
2
Koopman, Siem Jan
2
Kristensen, Dennis
2
Lange, Theis
2
Lunde, Asger
2
Meldrum, Andrew
2
Nielsen, Bent
2
Noriega-Muro, Antonio E.
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Osterrieder, Daniela
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Rossi, Eduardo
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Teräsvirta, Timo
2
Ventosa-Santaulària, Daniel
2
Voev, Valeri
2
Yang, Yukai
2
Andersen, Torben
1
Andreasen, Martin M.
1
Barbachan, José Santiago Fajardo
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CREATES research paper
Journal of econometrics
378
Economics letters
367
International journal of forecasting
348
NBER working paper series
323
Working paper / National Bureau of Economic Research, Inc.
293
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
272
NBER Working Paper
269
Journal of forecasting
256
Journal of banking & finance
252
Discussion paper / Tinbergen Institute
213
Applied economics
192
Econometric theory
191
Economic modelling
182
Discussion paper / Centre for Economic Policy Research
171
Working paper
170
Finance research letters
148
Journal of international money and finance
147
The journal of fixed income
141
Journal of financial economics
139
Econometric reviews
136
Applied economics letters
134
Journal of economic dynamics & control
133
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
132
Working paper series / European Central Bank
127
Finance and economics discussion series
126
Journal of empirical finance
125
International journal of theoretical and applied finance
124
IMF working papers
118
International review of economics & finance : IREF
115
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
114
Journal of applied econometrics
110
CESifo working papers
108
Journal of money, credit and banking : JMCB
106
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
104
Applied financial economics
99
The journal of finance : the journal of the American Finance Association
99
Journal of monetary economics
98
International review of financial analysis
92
The review of financial studies
92
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ECONIS (ZBW)
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1
Adding and subtracting black-scholes : a new approach to approximating derivative prices in continuous time models
Kristensen, Dennis
;
Mele, Antonio
-
2009
Persistent link: https://www.econbiz.de/10003849531
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2
Stochastic volatility
Andersen, Torben
;
Benzoni, Luca
-
2010
Persistent link: https://www.econbiz.de/10003937010
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3
Affine bond pricing with a mixture distribution for interest rate time-series dynamics
Rasmussen, Torben B
-
2010
Persistent link: https://www.econbiz.de/10003939417
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4
An asset pricing approach to testing general term structure models including Heath-Jarrow-Morton specifications and affine subclasses
Christensen, Bent Jesper
;
Wel, Michael van der
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2010
Persistent link: https://www.econbiz.de/10003947812
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5
The volatility of long-term bond returns : rersistent interest shocks and time-varying risk premiums
Osterrieder, Daniela
;
Schotman, Peter C.
-
2012
Persistent link: https://www.econbiz.de/10009576958
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6
Expected business conditions and bond risk premia
Eriksen, Jonas Nygaard
-
2015
Persistent link: https://www.econbiz.de/10011343492
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7
Interest rates with long memory : a generalized affine term-structure model
Osterrieder, Daniela
-
2013
Persistent link: https://www.econbiz.de/10009751847
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8
Nonlinear Kalman filtering in affine term structure models
Christoffersen, Peter F.
;
Dorion, Christian
;
Jacobs, Kris
; …
-
2012
Persistent link: https://www.econbiz.de/10009667381
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9
Analyzing oil futures with a dynamic Nelson-Siegel Model
Hansen, Niels S.
;
Lunde, Asger
-
2013
Persistent link: https://www.econbiz.de/10010195637
Saved in:
10
Dynamic term structure models : the best way to enforce the zero lower bound
Andreasen, Martin Møller
;
Meldrum, Andrew
-
2014
Persistent link: https://www.econbiz.de/10010438075
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