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Estimation of continuous-time models for stock returns and interest rates

Gallant, A. Ronald - In: Macroeconomic dynamics 1 (1997) 1, pp. 135-168

Persistent link: https://www.econbiz.de/10001337436

Estimating the Cox, Ingersoll and Ross model of the term structure : a multivariate approach

Berardi, Andrea - In: Ricerche economiche 49 (1995) 1, pp. 51-74

Persistent link: https://www.econbiz.de/10001185034

Structure par terme des taux d'intérêt, volatilité et primes de risque : applications au marché de l'Eurolire

Drudi, Francesco; Violi, Roberto - In: Economie & prévision : EP (1999) 4/5, pp. 21-34

Persistent link: https://www.econbiz.de/10001490857

La curva dei rendimenti dei BOT come misura dei tassi futuri attesi

Grande, Giuseppe - 1994

Persistent link: https://www.econbiz.de/10013439044

Term structure modeling and forecasting of government bond yields : does a good in -sample fit imply reasonable out-of-sample forecasts?

Ullah, Wali; Matsuda, Yasumasa; Tsukuda, Yoshihiko - In: Economic papers : a journal of applied economics and policy 32 (2013) 4, pp. 535-560

Persistent link: https://www.econbiz.de/10010259467

Efficient nonparametric estimation of the conditional variance and correlation functions in the Nelson-Siegel yield curve model

Chavleishvili, Sulkhan - In: Essays in econometrics, (pp. 37-59). 2014

Persistent link: https://www.econbiz.de/10011283929

Long-horizon yield curve projections : comparison of semi-parametric and parametric approaches

Nyholm, Ken; Rebonato, Riccardo - In: Applied financial economics 18 (2008) 18/21, pp. 1597-1611

Persistent link: https://www.econbiz.de/10003800185

Estimation of Credit Spread Correlations

Perraudin, William Robert Maurice - 2011

The recent interest in portfolio credit risk modelling has concentrated attention on the correlation structure of credit risk. This paper calculates long-holding period correlations for emerging market sovereign spreads and compares these with the correlations of equity market indices for the...

Persistent link: https://www.econbiz.de/10013118349

The expected real yield and inflation components of the nominal yield curve

Lange, Ronald H. - In: The North American journal of economics and finance : a … 39 (2017), pp. 1-18

Persistent link: https://www.econbiz.de/10011878571

Decomposing the yield curve with linear regressions and survey information

Halberstadt, Arne - In: The quarterly review of economics and finance : journal … 91 (2023), pp. 25-39

Persistent link: https://www.econbiz.de/10014461532

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