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Uncovered interest parity revisited

Alexius, Annika - In: Review of international economics 9 (2001) 3, pp. 505-517

Persistent link: https://www.econbiz.de/10001606922

Choosing the weighting coefficients for estimating the term structure from sovereign bonds

Lapshin, Victor; Sohatskaya, Sofia - In: International review of economics & finance : IREF 70 (2020), pp. 635-648

Persistent link: https://www.econbiz.de/10012486846

Dynamic factor models with smooth loadings for analyzing the term structure of interest rates

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009

Persistent link: https://www.econbiz.de/10003851230

Bayesian inference in a stochastic volatility Nelson-Siegel Model

Hautsch, Nikolaus; Yang, Fuyu - 2010

In this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in the underlying yield factors. We propose a Markov...