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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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A note on the synchronisation of the natural rates of interest in Germany and the Euro Area
Berger, Tino; Ochsner, Christian - 2024
synchronization between Germany, the largest Euro area economy, and the entire Euro area. Utilizing Bayesian estimation of the Holston …
Persistent link: https://www.econbiz.de/10014631143
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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 fluctuations and the forward yield curve
Chirinos, Ana María; Pagliacci, Carolina - 2014
Persistent link: https://www.econbiz.de/10010472044
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No-arbitrage priors, drifting volatilities, and the term structure of interest rates
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2020
Persistent link: https://www.econbiz.de/10012388385
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Zero-coupon interest rates : evaluating three alternative datasets
Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - 2018
The zero-coupon yield curve is a common input for most financial purposes. The authors consider three popular yield curve datasets, and explore the extent to which the decision as to what dataset to use for an application may have implications on the results. The paper illustrates why such...
Persistent link: https://www.econbiz.de/10011901875
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Expectations and term premia in EFSF bond yields
Carriero, Andrea; Ricci, Lorenzo; Vangelista, Elisabetta - 2022
Persistent link: https://www.econbiz.de/10013384831
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Specification analysis of affine term structure models
Dai, Qiang; Singleton, Kenneth J. - 1997
Persistent link: https://www.econbiz.de/10000637523
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Analyzing interest rate risk : stochastic volatility in the term structure of government bond yields
Hautsch, Nikolaus; Ou, Yangguoyi - 2009
autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term … illustrate that the yield and volatility factors are closely related to industrial capacity utilization, inflation, monetary … policy and employment growth. -- Term Structure Modelling ; Yield Curve Risk ; Stochastic Volatility ; Factor Models …
Persistent link: https://www.econbiz.de/10003864095