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An investigation of bond term premia in international government bond indices
Halkos, George E.; Papadamou, Stephanos T. - In: Research in international business and finance 20 (2006) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10003374205
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Using extreme value theory to measure value-at-risk for daily electricity spot prices
Kam Fong Chan; Gray, Philip K. - In: International journal of forecasting 22 (2006) 2, pp. 283-300
Persistent link: https://www.econbiz.de/10003315660
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Investigating time-variation in the marginal predictive power of the yield spread
Benati, Luca (contributor);  … - 2007
, and in the Eurozone, Canada, and Australia over the post-WWII period. Overall, our evidence does not provide much support …
Persistent link: https://www.econbiz.de/10003516698
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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
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A re-examination of the empirical performance of the Longstaff and Schwartz two-factor term structure model using real yield data
Faff, Robert W.; Sirimon Treepongkaruna - In: Australian journal of management 38 (2013) 2, pp. 333-352
Persistent link: https://www.econbiz.de/10009786619
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Investigating time-variation in the marginal predictive power of the yield spread
Benati, Luca; Goodhart, Charles - In: Journal of economic dynamics & control 32 (2008) 4, pp. 1236-1272
Persistent link: https://www.econbiz.de/10003723721
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Riding the yield curve : an analysis of international evidence
Ang, Sharon; Alles, Lakshman; Allen, Dave - In: The journal of fixed income 8 (1998) 3, pp. 57-74
Persistent link: https://www.econbiz.de/10001364568
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A Re-Examination of the Empirical Performance of the Longstaff and Schwartz Two-Factor Term Structure Model Using Real Yield Data
Faff, Robert W. - 2013
In this study, we apply the Longstaff and Schwartz (1992) two-factor term structure model to real yields across eight countries. As such, we improve on many prior studies that have inappropriately tested this formulation using nominal yield data. We use the generalized method of moments to test...
Persistent link: https://www.econbiz.de/10013078502
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Predicting recessions with the term spread : recent evidence from seven countries
Moersch, Mathias; Pohl, Armin - In: Applied economics letters 18 (2011) 13/15, pp. 1285-1288
Persistent link: https://www.econbiz.de/10009348089
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Investigating Time-Variation in the Marginal Predictive Power of the Yield Spread
Benati, Luca; Goodhart, Charles - 2021
, and in the Eurozone, Canada, and Australia over the post-WWII period. Overall, our evidence does not provide much support …
Persistent link: https://www.econbiz.de/10013316893