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Long vs. short term asymmetry in volatility and the term structure of risk
Lönnbark, Carl - In: Finance research letters 23 (2017), pp. 202-209
Persistent link: https://www.econbiz.de/10011808396
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Hedging of synthetic CDO tranches with spread and default risk based on a combined forecasting approach
Liu, Wen-Qiong; Huang, Wen-Li - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-17
Persistent link: https://www.econbiz.de/10012012947
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Conditional inferences based on vine copulas with applications to credit spread data of corporate bonds
Pan, Shenyi; Joe, Harry; Li, Guofu - In: Journal of financial econometrics 21 (2023) 3, pp. 714-741
Persistent link: https://www.econbiz.de/10014314788
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Forecasting the yield curve with linear factor models
Matsumura, Marco Shinobu; Moreira, Ajax; Vicente, José … - In: International review of financial analysis 20 (2011) 5, pp. 237-243
Persistent link: https://www.econbiz.de/10009492131
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Forecasting the term structure of Korean government bond yields using the Dynamic Nelson-Siegel class models
Kang, Kyu Ho - In: Asia-Pacific journal of financial studies 41 (2012) 6, pp. 765-787
Persistent link: https://www.econbiz.de/10009705195
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Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators
Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - In: Econometric reviews 35 (2016) 1/4, pp. 232-256
Persistent link: https://www.econbiz.de/10011549916
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Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing; Ke, Yuan; Liao, Yuan - In: Journal of econometrics 222 (2021) 1,2, pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
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Fitting and forecasting yield curves with a mixed-frequency affine model : evidence from China
Shang, Yuhuang; Zheng, Tingguo - In: Economic modelling 68 (2018), pp. 145-154
Persistent link: https://www.econbiz.de/10011934605
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From bond yield to macroeconomic instability : a parsimonious affine model
Recchioni, Maria Cristina; Tedeschi, Gabriele - In: European journal of operational research : EJOR 262 (2017) 3, pp. 1116-1135
Persistent link: https://www.econbiz.de/10011802489
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Global bond risk premia under falling stars
Zhang, Yugui; Zhu, Jie; Zhu, Xiaoneng - In: Finance research letters 42 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10014580460