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The affine arbitrage-free class of Nelson-Siegel term structure models
Christensen, Jens H. E.; Diebold, Francis X.; … - In: Journal of econometrics 164 (2011) 1, pp. 4-20
Persistent link: https://www.econbiz.de/10009270418
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Term structure analysis with big data : one-step estimation using bond prices
Andreasen, Martin Møller; Christensen, Jens H. E.; … - In: Journal of econometrics 212 (2019) 1, pp. 26-46
Persistent link: https://www.econbiz.de/10012303862
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Factor representing portfolios in large asset markets
Sentana, Enrique - In: Journal of econometrics 119 (2004) 2, pp. 257-289
Persistent link: https://www.econbiz.de/10001956189
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Agricultural arbitrage and risk preferences
Pope, Rulon D.; LaFrance, Jeffrey T.; Just, Richard E. - In: Journal of econometrics 162 (2011) 1, pp. 35-43
Persistent link: https://www.econbiz.de/10009270718
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The implied arbitrage mechanism in financial markets
Shiyi, Chen; Chng, Michael T.; Liu, Qingfu - In: Journal of econometrics 222 (2021) 1,2, pp. 468-483
Persistent link: https://www.econbiz.de/10012619708
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Modelling and forecasting government bond spreads in the euro area : a GVAR model
Favero, Carlo A. - In: Journal of econometrics 177 (2013) 2, pp. 343-356
Persistent link: https://www.econbiz.de/10010255139
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Monetary reforms and inflation expectations in Japan : evidence from inflation-indexed bonds
Christensen, Jens H. E.; Spiegel, Mark - In: Journal of econometrics 231 (2022) 2, pp. 410-431
Persistent link: https://www.econbiz.de/10013464829
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Affine arbitrage-free yield net models with application to the euro debt crisis
Hong, Zhiwu; Niu, Linlin; Zhang, Chen - In: Journal of econometrics 230 (2022) 1, pp. 201-220
Persistent link: https://www.econbiz.de/10013441937
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On the power of tests for superexogeneity and structural invariance
Psaradakis, Zacharias G. - In: Journal of econometrics 72 (1996) 1, pp. 151-175
Persistent link: https://www.econbiz.de/10001198020
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Quasi-likelihood estimation of a threshold diffusion process
Su, Fei; Chan, Kung-sik - In: Journal of econometrics 189 (2015) 2, pp. 473-484
Persistent link: https://www.econbiz.de/10011504631