Similar Search Results - EconBiz

Instrumental-variables estimation in Markov switching models with endogenous explanatory variables : an application to the term structure of interest rates

Psaradakis, Zacharias G. (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10003558927

Estimating and forecasting the yield curve using a Markov switching dynamic Nelson and Siegel model

Hevia, Constantino; González Rozada, Martín; Sola, Martin - In: Journal of applied econometrics 30 (2015) 6, pp. 987-1009

Persistent link: https://www.econbiz.de/10011431680

Macro news and bond yield spreads in the Euro area

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for...

Persistent link: https://www.econbiz.de/10010417491

Macro news and bond yield spreads in the euro area

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for...

Persistent link: https://www.econbiz.de/10010417494

Macro news and bond yield spreads in the euro area

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

Persistent link: https://www.econbiz.de/10010431601

Risk premia with Markov regimes and the term structure of interest rates

Psaradakis, Zacharias G.; Sola, Martin; Spagnolo, Fabio - 2002

Persistent link: https://www.econbiz.de/10001717801

On model selection and Markov switching : a empirical examination of term structure models with regime shifts

Driffill, John; Kenç, Turalay; Sola, Martin; Spagnolo, … - 2003

Persistent link: https://www.econbiz.de/10001903065

Macro News and Bond Yield Spreads in the Euro Area

Caporale, Guglielmo Maria - 2014

This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for...

Persistent link: https://www.econbiz.de/10013045338

Macro News and Bond Yield Spreads in the Euro Area

Caporale, Guglielmo Maria - 2014

This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for...

Persistent link: https://www.econbiz.de/10013046450

Macro news and bond yield spreads in the euro area

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - In: The European journal of finance 24 (2018) 1/3, pp. 114-134

Persistent link: https://www.econbiz.de/10012244285

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