Showing 1 - 10 of 70
From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint...
Persistent link: https://www.econbiz.de/10012467596
Persistent link: https://www.econbiz.de/10003782998
Persistent link: https://www.econbiz.de/10003595017
The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and …-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U … ; Dynamic Factor Model ; Global Yield ; World Yield ; Bond Market …
Persistent link: https://www.econbiz.de/10003831205
The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and …-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U …
Persistent link: https://www.econbiz.de/10012759705
The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and …-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U …
Persistent link: https://www.econbiz.de/10012465058
The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and …-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U …
Persistent link: https://www.econbiz.de/10010303750
The Svensson generalization of the popular Nelson-Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson-Siegel specification, this generalization, in its dynamic form, does not enforce arbitrage-free consistency over time. Indeed,...
Persistent link: https://www.econbiz.de/10005150215
Persistent link: https://www.econbiz.de/10003586320
Persistent link: https://www.econbiz.de/10003393564