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Robust estimation and inference in panels with interactive fixed effects

Armstrong, Timothy B.; Weidner, Martin; Zeleneev, Andrei - 2023

We consider estimation and inference for a regression coefficient in panels with interactive fixed effects (i.e., with …-aware CIs that are uniformly valid regardless of whether the factors are strong or not. Our approach applies the theory of … minimax linear estimation to form a debiased estimate using a nuclear norm bound on the error of an initial estimate of the …

Persistent link: https://www.econbiz.de/10014480692

Modellierung von Zinsstrukturkurven

Hewicker, Harald; Cremers, Heinz - 2011

Being able to model yield curves from observed bond yields is essential in capital markets. Yield curves are required to accurately price financial products as well as to correctly assess the macroeconomic situation of economies. Current models based on the work of Nelson/Siegel et al. apply a...

Persistent link: https://www.econbiz.de/10010305888

A joint macroeconomic-yield curve model for Hungary

Reppa, Zoltán - 2009

The main goal of this paper is to examine the relationship between macroeconomic shocks and yield curve movements in Hungary. To this end, we apply a Nelson-Siegel type dynamic yield curve model, where changes of the yield curve are driven by two latent factors and some key macro variables that...

Persistent link: https://www.econbiz.de/10010322460

Yield curve modeling and forecasting using semiparametric factor dynamics

Härdle, Wolfgang Karl; Majer, Piotr - 2012

Using a Dynamic Semiparametric Factor Model (DSFM) we investigate the term structure of interest rates. The proposed methodology is applied to monthly interest rates for four southern European countries: Greece, Italy, Portugal and Spain from the introduction of the Euro to the recent European...

Persistent link: https://www.econbiz.de/10010318745

Schätzung der deutschen Zinsstrukturkurve

Schich, Sebastian T. - 1997

Die vorliegende Arbeit stellt das neue Verfahren der Deutschen Bundesbank zur Schätzung von Zinsstrukturkurven vor. Sie beschreibt dessen methodische Grundlagen (Nelson und Siegel (1987) und Svensson (1994)) und einige grundlegende Konzepte, die ftir die Schätzung und Interpretation solcher...

Persistent link: https://www.econbiz.de/10010478841

Estimating the German term structure

Schich, Sebastian T. - 1997

This paper introduces the Deutsche Bundesbank's new procedure for estimating the term structure of interest rates. It describes the basic methodological approaches used (Nelson and Siegel (1987) and Svensson (1994)) and some fundamental concepts which are important for estimating and...

Persistent link: https://www.econbiz.de/10010478842

Bayesian inference in a stochastic volatility Nelson-Siegel Model

Hautsch, Nikolaus; Yang, Fuyu - 2010

In this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in the underlying yield factors. We propose a Markov...

Persistent link: https://www.econbiz.de/10010270702

Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates

Jungbacker, Borus; Koopman, Siem Jan; van der Wel, Michel - 2009

We propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic factor model and show how to impose smoothness restrictions on the factor loadings. We further present a statistical procedure based on Wald tests that can be used to find a...

Persistent link: https://www.econbiz.de/10010325734

Information in the yield curve: A Macro-Finance approach

Dewachter, Hans; Iania, Leonardo; Lyrio, Marco - 2014

We use a macro-finance model, incorporating macroeconomic and financial factors, to study the term premium in the U.S. bond market. Estimating the model using Bayesian techniques, we find that a single factor explains most of the variation in bond risk premiums. Furthermore, the model-implied...

Persistent link: https://www.econbiz.de/10011506774

A note on the coefficient of determination in regression models with infinite-variance variables

Loretan, Michael Stanislaus; Kurz-Kim, Jeong-Ryeol - 2007

providing a brief survey of theoretical results on estimation and hypothesis testing in regression models with infinite …

Persistent link: https://www.econbiz.de/10010295847

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