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A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US
Fernandes, Marcelo; Vieira, Fausto - In: Journal of economic dynamics & control 106 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012132004
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Identification of triggers of US yield curve movements
Kučera, Adam - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012665126
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US and EA yield curve persistence during the COVID-19 pandemic
Papailias, Fotis - In: Finance research letters 44 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10014494908
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Diffusion index model specification and estimation using mixed frequency datasets
Kim, Kihwan; Swanson, Norman R. - In: Recent advances in estimating nonlinear models : with …, (pp. 15-31). 2014
Persistent link: https://www.econbiz.de/10011406756
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Resolving the spanning puzzle in macro-finance term structure models
Bauer, Michael D.; Rudebusch, Glenn D. - 2015
Previous macro-finance term structure models (MTSMs) imply that macroeconomic state variables are spanned by (i.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with regressions showing that much macroeconomic variation is...
Persistent link: https://www.econbiz.de/10010476670
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The effect of the US quantitative easing on the term structure : a spatial panel model approach
Almeida, Alejandro; Golpe, Antonio A.; Martín, Juan Manuel - In: Finance a úvěr 73 (2023) 1, pp. 2-23
Persistent link: https://www.econbiz.de/10014249126
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Yield curve predictability, regimes, and macroeconomic information : a data-driven approach
Audrino, Francesco; Filipova, Kameliya - 2009
Persistent link: https://www.econbiz.de/10003885820
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Do bonds span volatility risk in the US Treasury market? : a specification test for affine term structure models
Andersen, Torben (contributor); Benzoni, Luca (contributor) - 2006
"We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term structure models. To this end, we construct powerful and model-free empirical measures of the quadratic yield variation for a cross-section of fixed- maturity zero-coupon bonds...
Persistent link: https://www.econbiz.de/10003419573
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Nelson-Siegel, affine and quadratic yield curve specifications : which one is better at forecasting?
Nyholm, Ken; Vidova-Koleva, Rositsa - 2010
essentially affine term structure models, as well as the dynamic Nelson-Siegel model. In total eleven model variants are evaluated …-of-sample performance is generated by three-factor affine models and the dynamic Nelson-Siegel model variants. However, statistical tests … fail to identify one single-best forecasting model class. - Nelson-Siegel model ; affine term structure models ; quadratic …
Persistent link: https://www.econbiz.de/10003973519
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Challenges in macro-finance modeling
Kim, Don H. - 2007
This paper discusses various challenges in the specification and implementation of "macro-finance" models in which macroeconomic variables and term structure variables are modeled together in a no-arbitrage framework. I classify macro-finance models into pure latent-factor models ("internal...
Persistent link: https://www.econbiz.de/10003675524