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Forecasting inflation from the term structure of interest rates

Hewarathna, Ramya; Silvapulle, Param - 1998

Persistent link: https://www.econbiz.de/10001378676

Modeling the determinants of swap spreads

Brown, Rob; In, Francis Haeuck; Fang, Victor - In: The journal of fixed income 12 (2002) 1, pp. 29-40

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Inferring volatility from the yield curve

Brousseau, Vincent; Durré, Alain - In: Journal of mathematical finance 5 (2015) 3, pp. 304-314

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Transmission of volatility of money market overnight repo rate along the Yield Curve in Pakistan

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The impact of sovereign yield curve differentials on value-at-risk forecasts for foreign exchange rates

Fink, Holger Maria; Fuest, Andreas; Port, Henry - In: Risks : open access journal 6 (2018) 3, pp. 1-19

A functional ARMA-GARCH model for predicting the value-at-risk of the EURUSD exchange rate is introduced. The model implements the yield curve differentials between EUR and the US as exogenous factors. Functional principal component analysis allows us to use the information of basically the...

Persistent link: https://www.econbiz.de/10011890808