Similar Search Results

Are levels effects important in out-of-sample performance of short rate models?

Suardi, Sandy - In: Economics letters 99 (2008) 1, pp. 181-184

Persistent link: https://www.econbiz.de/10003723300

Testing for a level effect in short-term interest rates

Henry, Ólan Thomas John (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002582053

Predicting short-term interest rates : does Bayesian model averaging provide forecast improvement?

Chua, Chew Lian; Suardi, Sandy; Tsiaplias, Sarantis - 2011

Persistent link: https://www.econbiz.de/10008859049

Modelling and forecasting short-term interest rate volatility : a semiparametric approach

Hou, Ai Jun; Suardi, Sandy - In: Journal of empirical finance 18 (2011) 4, pp. 692-710

Persistent link: https://www.econbiz.de/10009306533

Predicting short-term interest rates using Bayesian model averaging : evidence from weekly and high frequency data

Chua, Chew Lian; Suardi, Sandy; Tsiaplias, Sarantis - In: International journal of forecasting 29 (2013) 3, pp. 442-455

Persistent link: https://www.econbiz.de/10009787036

Equity return and short-term interest rate volatility : level effects and asymmetric dynamics

Henry, Ólan Thomas John (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003011852

Equity return and short-term interest rate volatility : level effects and asymmetric dynamics

Henry, Ólan Thomas John (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003448337

Testing for asymmetry in interest rate volatility in the presence of a neglected level effect

Henry, Ólan Thomas John (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003145132

Is there a unit root in East-Asian short-term interest rates?

Chua, Chew Lian; Suardi, Sandy - 2005

Persistent link: https://www.econbiz.de/10003117518

Modelling and Forecasting Short-Term Interest Rate Volatility : A Semiparametric Approach

Hou, Ai Jun; Suardi, Sandy - 2012

This paper employs a semiparametric procedure to estimate the diffusion process of short-term interest rates. The Monte Carlo study shows that the semiparametric approach produces more accurate volatility estimates than models that accommodate asymmetry, level effect and serial dependence in the...

Persistent link: https://www.econbiz.de/10014040966