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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

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

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

Term structure of interest rates with regime shifts

Bansal, Ravi; Zhou, Hao - In: The journal of finance : the journal of the American … 57 (2002) 5, pp. 1997-2044

Persistent link: https://www.econbiz.de/10001709393

Term structure of interest rates with regime shifts

Bansal, Ravi; Zhou, Hao - 2001

Persistent link: https://www.econbiz.de/10001637850

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

Challenges in macro-finance modeling

Kim, Don H. - In: Review / Federal Reserve Bank of St. Louis 91 (2009) 5/2, pp. 519-544

Persistent link: https://www.econbiz.de/10003924388

Smooth dynamic factor analysis with application to the US term structure of interest rates

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - In: Journal of applied econometrics 29 (2014) 1, pp. 65-90

Persistent link: https://www.econbiz.de/10010414251

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

Unit root vector autoregression with volatility induced stationarity

Rahbek, Anders; Bohn Nielsen, Heino - 2012

Persistent link: https://www.econbiz.de/10009545958