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Forecasting the term structure of Korean government bond yields using the Dynamic Nelson-Siegel class models

Kang, Kyu Ho - In: Asia-Pacific journal of financial studies 41 (2012) 6, pp. 765-787

Persistent link: https://www.econbiz.de/10009705195

The role of regime shifts in the term structure of interest rates : further evidence from an emerging market

Saltoglu, Burak; Yazgan, Mustafa Ege - In: Emerging markets finance & trade : a journal of the … 48 (2012), pp. 48-63

Persistent link: https://www.econbiz.de/10009714773

Modeling and forecasting the yield curve by an extended Nelson-Siegel class of models : a quantile autoregression approach

De Rezende, Rafael B.; Ferreira, Mauro S. - In: Journal of forecasting 32 (2013) 2, pp. 111-123

Persistent link: https://www.econbiz.de/10009758689

Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators

Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - In: Econometric reviews 35 (2016) 1/4, pp. 232-256

Persistent link: https://www.econbiz.de/10011549916

Forecasting the government bond term structure in Australia

Chen, Rui; Svec, Jiri; Peat, Maurice - In: Australian economic papers 55 (2016) 2, pp. 99-111

Persistent link: https://www.econbiz.de/10011503135

Modelling and forecasting international interest rate spreads : UK, Germany, Japan and the USA

Gough, Orla; Nowman, Kalid Ben; Van Dellen, Stefan - In: International journal of financial engineering and risk … 1 (2014) 4, pp. 309-333

Persistent link: https://www.econbiz.de/10010476910

A theoretical foundation for the Nelson and Siegel class of yield curve models, and an empirical application to US yield curve dynamics

Krippner, Leo - 2010

Persistent link: https://www.econbiz.de/10008771352

A theoretical foundation for the Nelson and Siegel class of yield curve models

Krippner, Leo - 2012

Persistent link: https://www.econbiz.de/10009561195

Currency forecast errors and carry trades at times of low interest rates : evidence from survey data on the yen/dollar exchange rate

MacDonald, Ronald; Nagayasu, Jun - In: Journal of international money and finance 53 (2015), pp. 1-19

Persistent link: https://www.econbiz.de/10011475902

Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model

Koopman, Siem Jan; Wel, Michel van der - 2011

We extend the class of dynamic factor yield curve models for the inclusion of macro-economic factors. We benefit from recent developments in the dynamic factor literature for extracting the common factors from a large panel of macroeconomic series and for estimating the parameters in the model....

Persistent link: https://www.econbiz.de/10011386428