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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

The relative valuation of caps and swaptions : theory and empirical evidence

Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: The journal of finance : the journal of the American … 56 (2001) 6, pp. 2067-2109

Persistent link: https://www.econbiz.de/10001631728

Economic linkages, relative scarcity, and commodity futures returns

Casassus, Jaime; Liu, Peng; Tang, Ke - In: The review of financial studies 26 (2013) 5, pp. 1324-1362

Persistent link: https://www.econbiz.de/10009752184

How much structure is best? : a comparison of market model, factor model and unstructured equity covariance matrices

Briner, Beat G.; Connor, Gregory - In: Journal of risk 10 (2007/08) 4, pp. 3-30

Persistent link: https://www.econbiz.de/10003761342

The intelligible factor model : international comparison and stylized facts

Lengwiler, Yvan; Lenz, Carlos - In: Developments in macro-finance Yield curve modelling, (pp. 200-215). 2014

Persistent link: https://www.econbiz.de/10010254019

A dynamic factor model of the yield curve components as a predictor of the economy

Chauvet, Marcelle; Senyuz, Zeynep - In: International journal of forecasting 32 (2016) 2, pp. 324-343

Persistent link: https://www.econbiz.de/10011596830

A Dynamic Factor Model of the Yield Curve as a Predictor of the Economy

Chauvet, Marcelle - 2012

In this paper, we propose an econometric model of the joint dynamic relationship between the yield curve and the economy to predict business cycles. We examine the predictive value of the yield curve to forecast future economic growth as well as the beginning and end of economic recessions at...

Persistent link: https://www.econbiz.de/10013104542

How do exchange rates co-move? : a study on the currencies of five inflation-targeting countries

Li, Xiaoming - In: Journal of banking & finance 35 (2011) 2, pp. 418-429

Persistent link: https://www.econbiz.de/10009244283

Surprise and uncertainty indexes : real-time aggregation of real-activity macro surprises

Scotti, Chiara - 2013

Persistent link: https://www.econbiz.de/10010206853

Study of the leading European construction companies using risk factor models

Escribano, Ana; Jareño, Francisco; Cano, Jose Ángel - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 3386-3402

Persistent link: https://www.econbiz.de/10014327752

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