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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
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Predicting interest rates in real-time
Caruso, Alberto; Coroneo, Laura - 2019
Persistent link: https://www.econbiz.de/10012199275
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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
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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
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Riskfree rate dynamics : information, trading, and state space modeling
Wel, Michel van der - 2008
Persistent link: https://www.econbiz.de/10003775902
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Liquidity effects in the German bond market: findings from the jumbo Pfandbriefe segment
Lange, Daniel - In: Argumenta oeconomica (2010) 1, pp. 125-147
Persistent link: https://www.econbiz.de/10008647691
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Have Euro area government bond spreads converged to their common state?
Pozzi, Lorenzo; Wolswijk, Guido Franciscus Theodorus - 2008
Persistent link: https://www.econbiz.de/10003705988
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Have Euro area government bond risk premia converged to their common state?
Pozzi, Lorenzo; Wolswijk, Guido Franciscus Theodorus - 2008
We derive a model in which a standard international capital asset pricing (ICAPM) model is nested within an ICAPM model with market imperfections. In the latter model an idiosyncratic stochastic factor affects the return of risky assets (over a risk-free rate) on top of the systematic component...
Persistent link: https://www.econbiz.de/10011374402
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Credit spreads in illiquid markets : model and implementation
Cortazar, Gonzalo; Schwartz, Eduardo S.; Tapia … - In: Emerging markets finance & trade : a journal of the … 48 (2012) 6, pp. 53-72
Persistent link: https://www.econbiz.de/10009721136
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Term structure forecasting of government bond yields with latent and macroeconomic factors : do macroeconomic factors imply better out-of-sample forecasts?
Ullah, Wali; Tsukuda, Yoshihiko; Matsuda, Yasumasa - In: Journal of forecasting 32 (2013) 8, pp. 702-723
Persistent link: https://www.econbiz.de/10010344463