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Lower bound beliefs and long-term interest rates
Grisse, Christian; Krogstrup, Signe; Schumacher, Silvio - 2017 - This version: March 2017
Persistent link: https://www.econbiz.de/10011646141
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Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies
Karimalis, Emmanouil; Kosmidis, Ioannis; Peters, Gareth - 2017
Persistent link: https://www.econbiz.de/10011669383
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The arithmetics of par, spot and forward curves
Melik-Parsadanyan, Vahagn - In: International journal of economics and finance 8 (2016) 12, pp. 183-186
Persistent link: https://www.econbiz.de/10011602847
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Interest rates under falling stars
Bauer, Michael D.; Rudebusch, Glenn D. - 2017
Theory predicts that the equilibrium real interest rate, r*t, and the perceived trend in inflation, ð*t, are key …
Persistent link: https://www.econbiz.de/10011688099
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A discrete time model of convergence for the term structure of interest rates in the case of entering a monetary union
Aevskiy, V.; Chetverikov, V. - In: Applied economics 48 (2016) 25/27, pp. 2333-2340
Persistent link: https://www.econbiz.de/10011590965
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Bond return predictability : economic value and links to the macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540
Persistent link: https://www.econbiz.de/10012000665
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Consistent recalibration of yield curve models
Harms, Philipp; Stefanovits, David; Teichmann, Josef; … - In: Mathematical finance : an international journal of … 28 (2018) 3, pp. 757-799
Persistent link: https://www.econbiz.de/10011969080
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Credit risk-taking and maturity mismatch : the role of the yield curve
Ferrero, Giuseppe; Nobili, Andrea; Sene, Gabriele - 2019
Persistent link: https://www.econbiz.de/10012015983
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Forecasting the US term structure of interest rates using nonparametric functional data analysis
Caldeira, João F.; Torrent, Hudson da Silva - In: Journal of forecasting 36 (2017) 1, pp. 56-73
Persistent link: https://www.econbiz.de/10011729058
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Yield curve forecasting with the Burg model
Rostan, Pierre; Belhachemi, Rachid; Racicot, François-Éric - In: Journal of forecasting 36 (2017) 1, pp. 91-99
Persistent link: https://www.econbiz.de/10011729073