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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
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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
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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
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Forecasting the yield curve: the role of additional and timevarying decay parameters, conditional heteroscedasticity, and macro-economic factors
Caldeira, João F.; Cordeiro, Werley C.; Ruiz, Esther; … - 2023
Persistent link: https://www.econbiz.de/10014371839
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State space decomposition and classification of term structure shapes in the two-factor vasicek model
Keller-Ressel, Martin; Sachse, Felix - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-38
Persistent link: https://www.econbiz.de/10014497221
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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
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A time-frequency analysis of the Canadian macroeconomy and the yield curve
Ojo, Mustapha Olalekan; Aguiar-Conraria, Luís; Soares, … - In: Empirical economics : a journal of the Institute for … 58 (2020) 5, pp. 2333-2351
Persistent link: https://www.econbiz.de/10012255868
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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
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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
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Term structure of risk factor premiums used for pricing asset : emerging vs. developed markets
González Sánchez, Mariano - In: Emerging markets, finance and trade : EMFT 58 (2022) 5, pp. 1339-1358
Persistent link: https://www.econbiz.de/10013167085