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Term structure modeling and forecasting of government bond yields : does a good in -sample fit imply reasonable out-of-sample forecasts?

Ullah, Wali; Matsuda, Yasumasa; Tsukuda, Yoshihiko - In: Economic papers : a journal of applied economics and policy 32 (2013) 4, pp. 535-560

Persistent link: https://www.econbiz.de/10010259467

Efficient nonparametric estimation of the conditional variance and correlation functions in the Nelson-Siegel yield curve model

Chavleishvili, Sulkhan - In: Essays in econometrics, (pp. 37-59). 2014

Persistent link: https://www.econbiz.de/10011283929

Economic volatility and sovereign yields' determinants : a time-varying approach

Afonso, António; Jalles, João Tovar - 2015

Persistent link: https://www.econbiz.de/10011549285

Credit spread modeling : macro-financial versus HOC approach

Dudaković, Sanja - In: Economic analysis : EA 47 (2014) 3/4, pp. 53-68

Persistent link: https://www.econbiz.de/10010506024

Long-horizon yield curve projections : comparison of semi-parametric and parametric approaches

Nyholm, Ken; Rebonato, Riccardo - In: Applied financial economics 18 (2008) 18/21, pp. 1597-1611

Persistent link: https://www.econbiz.de/10003800185

Fitting parsimonious yield curve models to Australian coupon bond data

Hunt, Benjamin F. - 1995

Persistent link: https://www.econbiz.de/10000985495

Estimation of Credit Spread Correlations

Perraudin, William Robert Maurice - 2011

The recent interest in portfolio credit risk modelling has concentrated attention on the correlation structure of credit risk. This paper calculates long-holding period correlations for emerging market sovereign spreads and compares these with the correlations of equity market indices for the...

Persistent link: https://www.econbiz.de/10013118349

Can credit spreads help predict a yield curve?

Abdymomunov, Azamat; Kang, Kyu Ho; Kim, Ki Jeong - In: Journal of international money and finance 64 (2016), pp. 39-61

Persistent link: https://www.econbiz.de/10011668377

The expected real yield and inflation components of the nominal yield curve

Lange, Ronald H. - In: The North American journal of economics and finance : a … 39 (2017), pp. 1-18

Persistent link: https://www.econbiz.de/10011878571

Decomposing the yield curve with linear regressions and survey information

Halberstadt, Arne - In: The quarterly review of economics and finance : journal … 91 (2023), pp. 25-39

Persistent link: https://www.econbiz.de/10014461532

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