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Représentation VAR et test de la théorie des anticipations de la structure par terme

Jondeau, Eric - 1997

Persistent link: https://www.econbiz.de/10000968630

The term structure of interest rates and regime shifts : some empirical results

Kugler, Peter - In: Economics letters 50 (1996) 1, pp. 121-126

Persistent link: https://www.econbiz.de/10001194156

The expectation hypothesis and interest rate volatility on the Euromarket : some empirical results

Kugler, Peter - In: Econometric analysis of financial markets, (pp. 129-137). 1994

Persistent link: https://www.econbiz.de/10001284432

The impact of monetary policy on expectations along the yield curve

Böck, Maximilian; Feldkircher, Martin - 2020

Persistent link: https://www.econbiz.de/10012424477

Währungsunion und deutscher Kapitalmarktzins

Welge, Ralf - 1999

Persistent link: https://www.econbiz.de/10000679776

Below the zero lower bound : a shadow-rate term structure model for the euro area

Lemke, Wolfgang; Vladu, Andreea L. - 2016

We propose an arbitrage-free shadow-rate term structure model to analyze the euro-area yield curve from 1999 to mid-2015, when bond yields turned negative at various maturities. In the model the 'shadow rate' can reach any positive or negative level, while the actual one-month rate cannot fall...