This study constructs a variety of GARCH models with the consideration of the generalized error distribution to analyze the relationship between the cloud cover and stock returns in Taiwan in the whole sample period (1986 to 2007) and in the two sub-sample periods (1986 to 1996 and 1997 to...

This paper proposes an extension to threshold-type switching models that lets the threshold variable be a linear combination of exogenous variables with unknown coefficients. An algorithm to estimate the model’s parameters by least squares is provided and the validity of the methodological...

This study constructs a variety of GARCH models with the consideration of the generalized error distribution to analyze the relationship between the cloud cover and stock returns in Taiwan in the whole sample period (1986 to 2007) and in the two sub-sample periods (1986 to 1996 and 1997 to...

This paper investigates the main determinants of the market-assessed sovereign risk premium in Romania, measured by the Option-Adjusted Spreads, from 2003 to 2013. The results show that the dynamics of sovereign spreads can be explained by both risk aversion indicators and macroeconomic...

Bu calismada gecelik kur takasi faizleri ile BIST Repo-Ters Repo Pazari’ndaki gecelik repo faizleri arasindaki iliski incelenmektedir. Soz konusu faizlerin Turkiye’de para politikasinin aktarim mekanizmasi icerisinde onemli bir yere sahip olmasi sebebiyle iki piyasa arasindaki iliskinin...

We use a dynamic multipath general-to-specific algorithm to capture structural instability in the link between euro area sovereign bond yield spreads against Germany and their underlying determinants over the period January 1999 – August 2011. We offer new evidence suggesting a significant...

This paper examines the determinants of the breakeven inflation rate (BEI) on 5 and 10 year US Treasury inflation protected securities (TIPS). The estimation is conducted using a bias-corrected, automated model selection algorithm with indicator saturation and non-linearities. The vast majority...

This paper studies a nonlinear one-factor term structure model in discrete time. The single factor is the short-term interest rate, which is modeled as a self-exciting threshold autoregressive (SETAR) process. Our specification allows for shifts in the intercept and the variance. The process is...

In this paper we re-investigate the comovements of interest rates in the G7-countries. We propose a structured modus operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration, serial correlation common feature and codependence...

Interest rate is one of the most observed and forecasted variables in financial markets. Interest rates and the volatility of interest rates play a crucial role in pricing financial instruments. In this empirical study, we try to investigate which short term interest rate model is appropriate...