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Term structure forecasting : no-arbitrage restrictions vs large information set
Favero, Carlo A.; Niu, Linlin; Sala, Luca - 2007
Persistent link: https://www.econbiz.de/10003459571
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Term structure forecasting : no-arbitrage restrictions versus large information set
Favero, Carlo A.; Niu, Linlin; Sala, Luca - In: Journal of forecasting 31 (2012) 2, pp. 124-156
Persistent link: https://www.econbiz.de/10009503690
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Term Structure Forecasting : No-Arbitrage Restrictions versus Large Information Set
Favero, Carlo A. - 2009
This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework that encompasses different existing discrete-time yield curve models. Within such framework we analyze the impact of two modelling choices, namely the imposition of no-arbitrage...
Persistent link: https://www.econbiz.de/10013160123
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A new framework for yield curve, output and inflation relationships
Krippner, Leo (contributor) - 2005
Persistent link: https://www.econbiz.de/10003224663
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An intertemporally-consistent and arbitrage-free version of the Nelson and Siegel class of yield curve models
Krippner, Leo (contributor) - 2005
Persistent link: https://www.econbiz.de/10003129240
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Forecasting the term structure of government bond yields
Diebold, Francis X.; Li, Canlin - In: Journal of econometrics 130 (2006) 2, pp. 337-364
Persistent link: https://www.econbiz.de/10003277971
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Sources of variation in holding returns for FED funds futures contracts
Hamilton, James D.; Okimoto, Tatsuyoshi - 2010
Persistent link: https://www.econbiz.de/10003937216
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Sources of variation in holding returns for fed funds futures contracts
Hamilton, James D.; Okimoto, Tatsuyoshi - In: The journal of futures markets 31 (2011) 3, pp. 205-229
Persistent link: https://www.econbiz.de/10008908404