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Natural yield curve: The case of Indonesia

Bary, Pakasa; Affandi, Yoga; Harahap, Berry A.; … - In: Contemporary Economics 14 (2020) 2, pp. 182-200

The purpose of this study is to estimate the natural yield curve for an emerging economy, with Indonesia as a case study. The estimation is done by a two-stage approach, namely, the decomposition of the yield curve component through a dynamic Nelson-Siegel model, the results of which are then...

Persistent link: https://www.econbiz.de/10014544655

Global and regional yield curve dynamics and interactions : the case of some Asian countries

Byung Yoon Bae; Kim, Dong-heon - In: International economic journal 25 (2011) 4, pp. 717-738

Persistent link: https://www.econbiz.de/10009490313

Pricing with finite dimensional dependence

Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 187 (2015) 2, pp. 408-417

Persistent link: https://www.econbiz.de/10011499694

Term structure of risk factor premiums used for pricing asset : emerging vs. developed markets

González Sánchez, Mariano - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 5, pp. 1339-1358

Persistent link: https://www.econbiz.de/10013167085

Term structure estimation with liquidity-adjusted Affine Nelson Siegel model : a nonlinear state space approach applied to the Indian bond market

Kumar, Sudarshan; Virmani, Vineet - In: Applied economics 54 (2022) 6, pp. 648-669

Persistent link: https://www.econbiz.de/10012874236

Modelling the dynamics of long-term bonds with Kalman filter

Mawonike, Romeo; Ikpe, Dennis; Gyamerah, Samuel Asante - In: International journal of bonds and derivatives 4 (2021) 3, pp. 236-257

Persistent link: https://www.econbiz.de/10012612669

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

Macroeconomic shocks and evolution of term structure of interest rate : a dynamic latent factor approach

Singh, Sanjay; Hatekar, Neeraj R. - In: Indian economic review : official journal of Delhi … 53 (2018) 1/2, pp. 245-262

Persistent link: https://www.econbiz.de/10012225832

Term structure modelling with quadratic CARMA processes

Tong, Zhigang - In: International journal of bonds and derivatives 2 (2016) 4, pp. 285-303

Persistent link: https://www.econbiz.de/10011807493

Inflation expectations curve in Japan

Maruyama, Toshitaka; Suganuma, Kenji - 2019

Persistent link: https://www.econbiz.de/10012181741