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The effectiveness of alternative monetary policy tools in a zero lower bound environment
Hamilton, James D.; Wu, Jing Cynthia - In: Journal of money, credit and banking : JMCB 44 (2012), pp. 3-46
Persistent link: https://www.econbiz.de/10009574683
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Forward-Rates als Prediktor für die Entwicklung der Geldmarktzinsen
Holthusen, Jan - In: Geld- und Wirtschaftspolitik in gesellschaftlicher …, (pp. 255-267). 2004
Persistent link: https://www.econbiz.de/10002412082
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The central tendency : a second factor in bond yields
Balduzzi, Pierluigi - In: The review of economics and statistics 80 (1998) 1, pp. 62-72
Persistent link: https://www.econbiz.de/10001235783
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Measuring variability and stationarity of term premia for interest rate forecasting
DeGennaro, Ramon P. - In: Advances in quantitative analysis of finance and … 3 (1995), pp. 147-173
Persistent link: https://www.econbiz.de/10001201310
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Interest rates, rate spreads, and economic activity
Lapp, John S. - In: Contemporary economic policy : a journal of Western … 15 (1997) 3, pp. 43-50
Persistent link: https://www.econbiz.de/10001228061
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Forward-looking estimates of interest-rate distributions
Wright, Jonathan H. - In: Annual review of financial economics 9 (2017), pp. 333-351
Persistent link: https://www.econbiz.de/10011910883
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Modeling the density of US yield curve using Bayesian semiparametric dynamic Nelson-Siegel model
Çakmaklı, Cem - In: Econometric reviews 39 (2020) 1, pp. 71-91
Persistent link: https://www.econbiz.de/10012181542
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Revisiting the term of interest rates: evidence from USA
Kuo, Pao-Lan; Chiu, Chien-Liang; Chang, Tsangyao; Wang, … - In: The empirical economics letters : a monthly … 18 (2019) 11, pp. 1141-1150
Persistent link: https://www.econbiz.de/10012372785
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Continuous time and nonparametric modeling of U.S. interest rate models
Nowman, Kalid Ben; Saltoğlu, Burak - In: International review of financial analysis 12 (2003) 1, pp. 25-34
Persistent link: https://www.econbiz.de/10001769949
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Nelson-Siegel, affine and quadratic yield curve specifications : which one is better at forecasting?
Nyholm, Ken; Vidova-Koleva, Rositsa - 2010
In this paper we compare the in-sample fit and out-of-sample forecasting performance of no-arbitrage quadratic and essentially affine term structure models, as well as the dynamic Nelson-Siegel model. In total eleven model variants are evaluated, comprising five quadratic, four affine and two...
Persistent link: https://www.econbiz.de/10003973519