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Forecasting the yield curve with the arbitrage-free dynamic Nelson-Siegel model : Brazilian evidence

Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Economia : revista da ANPEC 17 (2016) 2, pp. 221-237

We assess the extent to which the imposition of a no-arbitrage restriction on the dynamic Nelson-Siegel model helps obtaining more accurate forecasts of the term structure. For that purpose, we provide an empirical application based on a large panel of Brazilian interest rate future contracts...

Persistent link: https://www.econbiz.de/10011865707

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

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

Unspanned macroeconomic factors in the yield curve

Coroneo, Laura; Giannone, Domenico; Modugno, Michele - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 472-485

Persistent link: https://www.econbiz.de/10011691663

Modeling and forecasting the co-movement of international yield curve drivers

Sprincenatu, Maria - 2019

Persistent link: https://www.econbiz.de/10012172917

The term structure of government bond yields in an emerging market

Ullah, Wali; Bari, Khadija Malik - In: Romanian journal of economic forecasting 21 (2018) 3, pp. 5-28

Persistent link: https://www.econbiz.de/10012021769

Co-jumping of treasury yield curve rates

Baruník, Jozef; Fišer, Pavel - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 3, pp. 481-506

Persistent link: https://www.econbiz.de/10014632034

Principal component and second generation wavelet analysis of Treasury yield curve evolution

Cooper, Mark L. - 2004

Persistent link: https://www.econbiz.de/10003386850

Global and regional yield curve dynamics and interactions : the case of some Asian countries

Byung Yoon Bae; Kim, Dong-heon - In: International economic journal 25 (2011) 4, pp. 717-738

Persistent link: https://www.econbiz.de/10009490313

Examining the forecasting performance of a modified affine model with macroeconomic and latent factors

Evgenidis, Anastasios; Siriopoulos, Costas - In: The journal of prediction markets 9 (2015) 1, pp. 33-52

Persistent link: https://www.econbiz.de/10011346873

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