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Testing the expectations hypothesis of the term structure with permanent-transitory component models

Casalin, Fabrizio - In: Journal of banking & finance 37 (2013) 8, pp. 3192-3203

Persistent link: https://www.econbiz.de/10009778452

Carry trades, agent heterogeneity and the exchange rate

Li, Xiao-Ping; Zhou, Chun-Yang; Tong, Bin - In: International review of economics & finance : IREF 64 (2019), pp. 343-358

Persistent link: https://www.econbiz.de/10012372800

Macroeconomic shocks and evolution of term structure of interest rate : a dynamic latent factor approach

Singh, Sanjay; Hatekar, Neeraj R. - In: Indian economic review : official journal of Delhi … 53 (2018) 1/2, pp. 245-262

Persistent link: https://www.econbiz.de/10012225832

The natural rate of interest: information derived from a shadow rate model

Ajevskis, Viktors - In: Applied economics 52 (2020) 47, pp. 5129-5138

Persistent link: https://www.econbiz.de/10012306572

The arbitrage-free generalized Nelson-Siegel term structure model : does a good in-sample fit imply better out-of-sample forecasts?

Ullah, Wali - In: Empirical economics : a journal of the Institute for … 59 (2020) 3, pp. 1243-1284

Persistent link: https://www.econbiz.de/10012285551

A Markov switching unobserved component analysis of the CDX index term premium

Calice, Giovanni; Ioannidis, Christos; Miao, Rong Hui - In: International review of financial analysis 44 (2016), pp. 189-204

Persistent link: https://www.econbiz.de/10011623992

Affine term structure model with macroeconomic factors : do no-arbitrage restriction and macroeconomic factors imply better out-of-sample forecasts?

Ullah, Wali - In: Journal of forecasting 35 (2016) 4, pp. 329-346

Persistent link: https://www.econbiz.de/10011580766

The term structure of liquidity premia and the macroeconomy in Canada : a dynamic latent-factor approach

Lange, Ronald Henry - In: International review of economics & finance : IREF 57 (2018), pp. 164-182

Persistent link: https://www.econbiz.de/10012033841

The pruned state-space system for non-linear DSGE models : theory and empirical applications

Andreasen, Martin Møller; Fernández-Villaverde, Jesús; … - In: The review of economic studies 85 (2018) 1, pp. 1-49

Persistent link: https://www.econbiz.de/10011920114

Financial big data solutions for state space panel regression in interest rate dynamics

Toczydlowska, Dorota; Peters, Gareth - In: Econometrics : open access journal 6 (2018) 3, pp. 1-45

A novel class of dimension reduction methods is combined with a stochastic multi-factor panel regression-based state-space model in order to model the dynamics of yield curves whilst incorporating regression factors. This is achieved via Probabilistic Principal Component Analysis (PPCA) in which...

Persistent link: https://www.econbiz.de/10011887659