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A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard - In: Journal of financial econometrics 21 (2023) 4, pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449
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Inflation risk premia, yield volatility, and macro factors
Berardi, Andrea; Plazzi, Alberto - In: Journal of financial econometrics 17 (2019) 3, pp. 397-431
Persistent link: https://www.econbiz.de/10012054457
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Anatomy of a sovereign debt crisis : machine learning, real-time macro fundamentals, and CDS spreads
Balduzzi, Pierluigi; Savona, Roberto; Alessi, Lucia - In: Journal of financial econometrics 21 (2023) 5, pp. 1728-1758
Persistent link: https://www.econbiz.de/10014444728
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Testing for the diffusion matrix in a continuous-time markov process model with applications to the term structure of interest rates
Li, Fuchun - In: Journal of financial econometrics 19 (2021) 5, pp. 789-822
Persistent link: https://www.econbiz.de/10012799048
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Estimating the term structure with linear regressions : getting to the roots of the problem
Golinski, Adam; Spencer, Peter D. - In: Journal of financial econometrics 19 (2021) 5, pp. 960-984
Persistent link: https://www.econbiz.de/10012799057
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The term structures of expected loss and gain uncertainty
Feunou, Bruno; Lopez Aliouchkin, Ricardo; Tédongap, Roméo - In: Journal of financial econometrics 18 (2020) 3, pp. 473-501
Persistent link: https://www.econbiz.de/10012316691
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Nearly exact Bayesian estimation of non-linear no-arbitrage term-structure models
Pericoli, Marcello; Taboga, Marco - In: Journal of financial econometrics 20 (2022) 5, pp. 807-838
Persistent link: https://www.econbiz.de/10013460028
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Conditional inferences based on vine copulas with applications to credit spread data of corporate bonds
Pan, Shenyi; Joe, Harry; Li, Guofu - In: Journal of financial econometrics 21 (2023) 3, pp. 714-741
Persistent link: https://www.econbiz.de/10014314788
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Hedging long-term liabilities
Quaedvlieg, Rogier; Schotman, Peter C. - In: Journal of financial econometrics 20 (2022) 3, pp. 505-538
Persistent link: https://www.econbiz.de/10013349137
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A frequency-specific factorization to identify commonalities with an application to the European bond markets*
Boffelli, Simona; Novotný, Jan; Urga, Giovanni - In: Journal of financial econometrics 20 (2022) 4, pp. 681-715
Persistent link: https://www.econbiz.de/10013349151