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Risk premia and volatilities in a nonlinear term structure model

Feldhütter, Peter; Heyerdahl-Larsen, Christian; … - In: Review of finance : journal of the European Finance … 22 (2018) 1, pp. 337-380

Persistent link: https://www.econbiz.de/10011990795

The term structure of judgement : interpreting survey disagreement

Brenna, Federica; Budrys, Žymantas - 2024

Persistent link: https://www.econbiz.de/10014553879

Zinsmodelle in der stochastischen Optimierung : mit Anwendungen im Asset- & Liability-Management

Schürle, Michael - 1998

Persistent link: https://www.econbiz.de/10000672590

Improved estimation strategy in multi-factor Vasicek model

Ahmed, S. Ejaz; Nkurunziza, Sévérien; Liu, Shuangzhe - In: Statistical inference, econometric analysis and matrix …, (pp. 255-270). 2009

Persistent link: https://www.econbiz.de/10003781036

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...