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Stylized facts on nominal term structure and business cycles : an empirical VAR study

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Common risk factors in the U.S. and UK interest rate swap markets : evidence from a nonlinear vector autoregression approach

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When units roots matter : excess volatility and excess smoothness of long-term interest rates

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Oil price shocks and credit spread : structural effect and dynamic spillover

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Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks : New Insights on the US OIS Spreads Term Structure

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In the paper a general framework for large scale modeling of macroeconomic and financial time series is introduced. The proposed approach is characterized by simplicity of implementation, performing well independently of persistence and heteroskedasticity properties, accounting for common...

Persistent link: https://www.econbiz.de/10013063442

Explaining yield curve dynamics

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