Similar Search Results

Measuring the natural yield curve

Brzoza-Brzezina, Michał; Kotłowski, Jacek - In: Applied economics 46 (2014) 16/18, pp. 2052-2065

Persistent link: https://www.econbiz.de/10010413342

Estimation of affine term structure models under the Milstein approximation

Park, Hail - In: Applied economics letters 21 (2014) 7/9, pp. 651-656

Persistent link: https://www.econbiz.de/10010414746

Modelling the UK and Euro yield curves using the generalized Vasicek model : empirical results fron panel data for one and two factor models

Nowman, Khalid Ben - In: International review of financial analysis 19 (2010) 5, pp. 334-341

Persistent link: https://www.econbiz.de/10009272649

A Kalman filter approach to Fisher effect : evidence from Nigeria

Asemota, Omorogbe J.; Bala, Dahiru A. - In: CBN journal of applied statistics 2 (2011) 1, pp. 71-91

This paper investigates evidence of a Fisher effect in Nigeria by employing quarterly CPI inflation and Nominal interest rates data. For a more robust result we conducted integration and cointegration tests in order to examine time-series properties of the variables. Using Co-integration and...

Persistent link: https://www.econbiz.de/10011477662

Application of the Kalman filter for estimating continuous time term structure models : the case of UK and Germany

Chatterjee, Somnath (contributor) - 2005

Persistent link: https://www.econbiz.de/10002536523

Inflation and real short-term interest rates - a Kalman filter analysis of the term structure

Chen, Li-Hsueh - In: Applied economics 33 (2001) 7, pp. 855-861

Persistent link: https://www.econbiz.de/10001583564

Dynamic Estimation of an Interest Rate Structure in Colombia : Empirical Analysis Using the Kalman Filter

Maldonado Castaño, Rogelio - 2014

The official estimation for the term structure model in Colombia is based on the Nelson and Siegel (1987) development … which is widely accepted and used. This estimation is based on the curve fitting with available data, only for one day ahead …, making difficult to estimate the future zero-coupon yield curve. Taking into account the importance of having an estimation …

Persistent link: https://www.econbiz.de/10013043098

Term structure estimation with missing data : application for emerging markets

Nagy, Krisztina - In: The quarterly review of economics and finance : journal … 75 (2020), pp. 347-360

Persistent link: https://www.econbiz.de/10012416976

On the link between the exchange rates and interest rate differentials in China : evidence from an asymmetric wavelet analysis

Si, Dengkui; Li, Xiao-Lin; Ge, Xinyu - In: Empirical economics : a journal of the Institute for … 59 (2020) 6, pp. 2925-2946

Persistent link: https://www.econbiz.de/10012500877

Implied liquidity risk premium in the term structure of sovereign credit default swap and bond spreads

Badaoui, Saad; Cathcart, Lara; Jahel, Lina el - In: The European journal of finance 22 (2016) 10/12, pp. 825-853

Persistent link: https://www.econbiz.de/10011715207