The Nelson-Siegel model is widely used in practice for fitting the term structure of interest rates. Due to the ease in linearizing the model, a grid search or an OLS approach using a fixed shape parameter are popular estimation procedures. The estimated parameters, however, have been reported...

This paper uses completely new data to study the variations in beta when it deviates from the constancy assumption presumed by the market model. The concentration of the various researches on beta based on post 1926 data makes the 19th century Brussels Stock Exchange (BSE) data a very good...

The Nelson-Siegel and the Svensson models are widely used in practice for fitting the term structure of interest rates. However, due to their highly non-linear nature and the potential danger of multicollinearity, numerical difficulties in estimating these models hamper their implementation. In...

Dividend policy is not set de novo each year, but dividends are smoothed from one year to another. This smoothing leads to a short-term persistence in dividend policy. In this paper, we investigate the persistence of a dividend policy in the long run by using a unique sample of firms listed on...

Corporate bonds expose the investor to credit risk, which will be reflected in the credit spread. Based on the EMU Broad Market indices, we study the inter-temporal stability of the covariance and correlation matrices of credit spread changes on weekly data. For a multivariate framework, the Box...