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Unit root vector autoregression with volatility induced stationarity
Bohn Nielsen, Heino; Rahbek, Anders - In: Journal of empirical finance 29 (2014), pp. 144-167
Persistent link: https://www.econbiz.de/10011300499
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Understanding the term structure of credit default swap spreads
Han, Bing; Zhou, Yi - In: Journal of empirical finance 31 (2015), pp. 18-35
Persistent link: https://www.econbiz.de/10011489327
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Moments of multivariate regime switching with application to risk-return trade-off
Taamouti, Abderrahim - In: Journal of empirical finance 19 (2012) 2, pp. 292-308
Persistent link: https://www.econbiz.de/10009615702
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Stochastic correlation and risk premia in term structure models
Chiarella, Carl; Hsiao, Chih-ying; Tô, Thuy-Duong - In: Journal of empirical finance 37 (2016), pp. 59-78
Persistent link: https://www.econbiz.de/10011662911
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Investigating United Kingdom's monetary policy with Macro-Factor Augmented Dynamic Nelson-Siegel models
Levant, Jared; Ma, Jun - In: Journal of empirical finance 37 (2016), pp. 117-127
Persistent link: https://www.econbiz.de/10011662967
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The exact discretisation of CARMA models with applications in finance
Thornton, Michael A.; Chambers, Marcus J. - In: Journal of empirical finance 38 (2016), pp. 739-761
Persistent link: https://www.econbiz.de/10011663785
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A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses
Krüger, Steffen; Oehme, Toni; Rösch, Daniel; Scheule, … - In: Journal of empirical finance 47 (2018), pp. 246-262
Persistent link: https://www.econbiz.de/10012103459
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Macroeconomic determinants of the term structure : long-run and short-run dynamics
Doshi, Hitesh; Jacobs, Kris; Liu, Rui - In: Journal of empirical finance 48 (2018), pp. 99-122
Persistent link: https://www.econbiz.de/10012109275
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The information content of the term structure of risk-neutral skewness
Borochin, Paul; Chang, Hao; Wu, Yangru - In: Journal of empirical finance 58 (2020), pp. 247-274
Persistent link: https://www.econbiz.de/10012430679
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Rethinking cointegration and the expectation hypothesis of the term structure
Li, Jing; Davis, George Keith - In: Journal of empirical finance 44 (2017), pp. 177-189
Persistent link: https://www.econbiz.de/10011818012