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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
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Inflation co-movement across countries in multi-maturity term structure: an arbitrage-free approach
Chen, Shi - In: Econometric measures of financial risk in high dimensions, (pp. 63-89). 2017
Persistent link: https://www.econbiz.de/10011913346
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Generation of scenarios for the interest rates under the arbitrage-free dynamic Nelson-Siegel model
Dang-Nguyen, Stéphane; Rakotondratsimba, Yves - In: International journal of financial engineering and risk … 2 (2016) 3, pp. 220-255
Persistent link: https://www.econbiz.de/10011778857
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An arbitrage-free Nelson-Siegel term structure model with stochastic volatility for the determination of currency risk premia
Mouabbi, Sarah - 2014
Persistent link: https://www.econbiz.de/10010439768
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Implementation of a One-Factor Markov-Functional Interest Rate Model
Truchot, Baptiste - 2016
The interest rate market has been expanding immensely for thirty years, both in term of volumes and diversity of traded contracts. The growing complexity of derivatives has implied a need for sophisticated models in order to price and hedge these products. Three main approaches can be...
Persistent link: https://www.econbiz.de/10012998946
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Discrete-Time Arbitrage-Free Nelson-Siegel Term Structure Model and Application
Hong, Zhiwu - 2016
We characterize the discrete-time arbitrage-free Nelson-Siegel term structure model, prove the uniqueness of the …
Persistent link: https://www.econbiz.de/10012999198
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Foreign Exchange Market Efficiency, Speculators, Arbitrageurs and International Capital Flows
Nguyen, Tin - 2001
The foreign exchange market efficiency hypothesis is the proposition that prices fully reflect information available to market participants, i.e. hedged interest-arbitrageurs and speculators, and there are no opportunities for the hedgers or the speculators to make super-normal profits, i.e....
Persistent link: https://www.econbiz.de/10014148741
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Chapter 13. Bond Pricing and the Macroeconomy
Duffee, Gregory R. - 2013
This chapter reviews some of the academic literature that links nominal and real term structures with the macroeconomy. The main conclusion is that none of our models is consistent with basic properties of nominal yields. It is difficult to explain the average shape of the nominal yield curve,...
Persistent link: https://www.econbiz.de/10014025365
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Die Zinsstrukturtheorie : Eine Analyse der Faktoren, Arbitrage und Volatilität für das Euro-Währungsgebiet
Stoklossa, Harald - 2010
DIE METHODISCHE GRUNDLEGUNG -- AUSGANGSBASIS: DIE BESTEHENDE ZINSSTRUKTURKURVE -- DIE ÄLTEREN THEORIEN ZUR ZINSSTRUKTUR … -- DIE GRUNDMODELLE DER ZINSSTRUKTUR -- DIE DETERMINISTISCHEN FAKTOREN ZUR ZINSSTRUKTUR -- DIE SUBSTITUTIVEN … ARBITRAGEPROZESSE ZUR ZINSSTRUKTUR -- DIE STOCHASTISCHEN VOLATILITÄTEN DER ZINSSTRUKTUR -- ERKLÄRUNGS- & PROGNOSEMODELL ZUR ZINSSTRUKTUR. …
Persistent link: https://www.econbiz.de/10014425190
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Challenges in Macro-Finance Modeling
Kim, Don H. - 2021
which macroeconomic variables and term structure variables are modeled together in a no-arbitrage framework. The author …
Persistent link: https://www.econbiz.de/10014088109