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Level-slope-curvature : fact or artefact?
Lord, Roger; Pelsser, Antoon André Jean - In: Applied mathematical finance 14 (2007) 2, pp. 105-130
Persistent link: https://www.econbiz.de/10003542978
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Measuring risk in fixed income portfolios using yield curve models
Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Computational economics 46 (2015) 1, pp. 65-82
Persistent link: https://www.econbiz.de/10011441011
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Factor models and the correlation structure of interest rates : some evidence for USD, GBP, DEM and JPY
Lekkos, Ilias - In: Journal of banking & finance 25 (2001) 8, pp. 1427-1445
Persistent link: https://www.econbiz.de/10001594005
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Yield curve modeling and forecasting using semiparametric factor dynamics
Härdle, Wolfgang; Majer, Piotr - In: The European journal of finance 22 (2016) 10/12, pp. 1109-1129
Persistent link: https://www.econbiz.de/10011715314
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Identification of the linear factor model
Williams, Benjamin D. - In: Econometric reviews 39 (2020) 1, pp. 92-109
Persistent link: https://www.econbiz.de/10012181544
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Is there a missing factor? : a canonical correlation approach to factor models
Ahn, Seung Chan; Dieckmann, Stephan; Perez, M. Fabricio - In: Review of financial economics : RFE 36 (2018) 4, pp. 321-347
Persistent link: https://www.econbiz.de/10011948619
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A generalised latent Poisson factor modelling approach for default correlations in credit portfolios
Saidane, Mohamed - In: Journal of risk management in financial institutions 17 (2023) 1, pp. 89-105
Persistent link: https://www.econbiz.de/10014489156
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Forecasting equity index volatility by measuring the linkage among component stocks
Qiu, Yue; Xie, Tian; Yu, Jun; Zhou, Qiankun - In: Journal of financial econometrics 20 (2022) 1, pp. 160-186
Persistent link: https://www.econbiz.de/10012878191
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Forecasting the yield curve with macroeconomic information : evidence from European markets
Maldonado, Isabel; Pinho, Carlos; Rodríguez de Prado, … - In: International journal of banking, accounting and … 12 (2021) 2, pp. 177-200
Persistent link: https://www.econbiz.de/10012505149
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Yield curve in Bosnia and Herzegovina : financial and macroeconomic framework
Baskot, Bojan; Orsag, Silvije; Mikerevic, Dejan - In: UTMS journal of economics / University of Tourism and … 9 (2018) 1, pp. 1-15
Finance and macroeconomics have different perspectives on the yield curve. In the case of Bosnia and Herzegovina, specific context, data issue and financial market that is in its developing phase, do not allow us to have one, unique perspective. The Nelson-Siegel yield curve model could be...
Persistent link: https://www.econbiz.de/10011901661