This article provides theoretical foundations for the popular orthonormalised Laguerre polynomial (OLP) model of the yield curve, as originally introduced by Nelson and Siegel (1987). Intertemporal consistency is provided by deriving the volatility-adjusted OLP (VAO) model of the yield curve...

This article derives a generic, intertemporally-consistent, and arbitrage-free version of the popular class of yield curve models originally introduced by Nelson and Siegel (1987). The derived model has a theoretical foundation (conferred via the Heath, Jarrow and Morton (1992) framework) that...

This article proposes the orthonormalised Laguerre polynomial (OLP) model of the yield curve, a generic linear model that is both cross-sectionally consistent (that is, it reliably fits the yield curve at a given point in time), and inter-temporally consistent (that is, the cross-sectional...

This paper uses the volatility-adjusted orthonormalised Laguerre polynomial model of the yield curve (the VAO model) from Krippner (2005), an intertemporally-consistent and arbitrage-free version of the popular Nelson and Siegel (1987) model, to develop a multi-dimensional yield-curve-based risk...

Stock return predictability is a central issue in empirical finance. Yet no comprehensive study of international data has been performed to test the predictive ability of lagged explanatory variables. In fact, most stylized facts are based on U.S. stock-market data. In this paper, I test for...

This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There are more long-run equilibrium risk...

In this paper, we reconsider the question how monetary policy influences exchange rate dynamics. To this end, a vector autoregressive (VAR) model is combined with a two-country dynamic stochastic general equilibrium (DSGE) model. Instead of focusing exclusively on how monetary policy shocks...

Using a sample of Colombian banks, we examine retail interest rate adjustment in response to changes in wholesale interest rates. Interest rate pass-through running from wholesale to retail rates is found to be both partial and heterogeneous across banks. This suggests that the effectiveness of...

In this work we revise Levels Models of the Interest Rates in Chile. In addition to the traditional Level Models by Chan, Karoly, Longstaff and Sanders (1992) in the USA, and Parisi (1998) in Chile, by Maximun Likelihood method we allow that the conditional volatility also include the unexpected...

Evidence exists that many natural facts are described better as a fractal. Although fractals are very useful for describing nature, it is also appropiate to review the concept of random fractal in finance. Due to the extraordinary importance of Brownian motion in physics, chemistry or biology,...