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Empirical tests of two state-variable Heath-Jarrow-Morton models
Bliss, Robert R. - In: Journal of money, credit and banking : JMCB 28 (1996) 3, pp. 452-476
Persistent link: https://www.econbiz.de/10001334599
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Testing for a level effect in short-term interest rates
Henry, Ólan Thomas John (contributor);  … - 2004
Persistent link: https://www.econbiz.de/10002582053
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Transmission of volatility of money market overnight repo rate along the Yield Curve in Pakistan
Mahmood, Asif - 2015
Persistent link: https://www.econbiz.de/10011419532
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Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters
Koopman, Siem Jan; Mallee, Max I. P.; Wel, Michel van der - 2007
factor. Second, we specify the overall volatility as a generalized autoregressive conditional heteroscedasticity (GARCH …
Persistent link: https://www.econbiz.de/10011373825
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Macroeconomic shocks and the forward yield curve : how important is monetary policy?
Chirinos, Ana María; Pagliacci, Carolina - In: Macroeconomics and finance in emerging market economies 8 (2015) 1/3, pp. 201-223
Persistent link: https://www.econbiz.de/10011402377
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Zero-coupon interest rates : evaluating three alternative datasets
Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - In: Economic research 32 (2019) 1,4, pp. 3987-4014
Persistent link: https://www.econbiz.de/10012405739
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Bond return predictability : economic value and links to the macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540
Persistent link: https://www.econbiz.de/10012000665
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Does the exchange rate respond to monetary policy in Mexico? : solving an exchange rate puzzle in emerging markets
Solís, Pavel - In: Journal of money, credit and banking : JMCB 55 (2023) 8, pp. 2093-2113
Persistent link: https://www.econbiz.de/10014436137
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Volatility of yields of government bonds among GIIPS Countries during the sovereign debt crisis in the Euro Area
Heryán, Tomáš; Ziegelbauer, Jan - In: Equilibrium : quarterly journal of economics and … 11 (2016) 1, pp. 61-74
Persistent link: https://www.econbiz.de/10011487821
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Macroeconomic fluctuations and the forward yield curve
Chirinos, Ana María; Pagliacci, Carolina - 2014
Persistent link: https://www.econbiz.de/10010472044