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Measuring risk in fixed income portfolios using yield curve models
Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Computational economics 46 (2015) 1, pp. 65-82
Persistent link: https://www.econbiz.de/10011441011
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Yield curve modeling and forecasting using semiparametric factor dynamics
Härdle, Wolfgang; Majer, Piotr - In: The European journal of finance 22 (2016) 10/12, pp. 1109-1129
Persistent link: https://www.econbiz.de/10011715314
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Essays on financial markets and the macroeconomy
Mönch, Emanuel - 2006
Persistent link: https://www.econbiz.de/10003412031
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Is there a missing factor? : a canonical correlation approach to factor models
Ahn, Seung Chan; Dieckmann, Stephan; Perez, M. Fabricio - In: Review of financial economics : RFE 36 (2018) 4, pp. 321-347
Persistent link: https://www.econbiz.de/10011948619
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Forecasting the yield curve with macroeconomic information : evidence from European markets
Maldonado, Isabel; Pinho, Carlos; Rodríguez de Prado, … - In: International journal of banking, accounting and … 12 (2021) 2, pp. 177-200
Persistent link: https://www.econbiz.de/10012505149
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Analyzing business and financial cycles using multi-level factor models
Breitung, Jörg; Eickmeier, Sandra - 2014
This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero restrictions on the associated matrix of factor loadings. We suggest a sequential least squares algorithm for minimizing the total sum of squared residuals and a two-step approach based...
Persistent link: https://www.econbiz.de/10010373684
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Option-Implied Correlations, Factor Models, and Market Risk
Buss, Adrian - 2017
Implied correlation and variance risk premium stand out in predicting market returns. However, while the predictive … ability of implied correlation lasts for up to a year, the variance risk premium predicts market returns only for one quarter … ahead. Contrary to the accepted view, implied correlation predicts the market return not through a diversification risk …
Persistent link: https://www.econbiz.de/10012964588
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Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model
Li, Mengheng; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 285-301
Persistent link: https://www.econbiz.de/10012804111
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Investigating the drivers of international comovement in real financial asset returns
McKinnon, Kate - 2019
Persistent link: https://www.econbiz.de/10012224630
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Forecasting high-dimensional realized volatility matrices using a factor model
Shen, Keren; Yao, Jianfeng; Li, Wai Keung - In: Quantitative finance 20 (2020) 11, pp. 1879-1887
Persistent link: https://www.econbiz.de/10012295649