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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

Long memory forecasting of yield spreads using a fractionally integrated ARMA model and its application in Islamic capital market

Bousalam, Issam; Hamzaoui, Moustapha - In: International journal of bonds and derivatives 3 (2017) 1, pp. 71-92

Persistent link: https://www.econbiz.de/10011807765

Long vs. short term asymmetry in volatility and the term structure of risk

Lönnbark, Carl - In: Finance research letters 23 (2017), pp. 202-209

Persistent link: https://www.econbiz.de/10011808396

A dynamic Nelson-Siegel yield curve model with Markov switching

Levant, Jared; Ma, Jun - In: Economic modelling 67 (2017), pp. 73-87

Persistent link: https://www.econbiz.de/10011813779

Real-time forecasting with macro-finance models in the presence of a zero lower bound

Krippner, Leo; Lewis, Michelle - 2018

Persistent link: https://www.econbiz.de/10011884877

Forecasting the yield curve with the arbitrage-free dynamic Nelson-Siegel model : Brazilian evidence

Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Economia : revista da ANPEC 17 (2016) 2, pp. 221-237

We assess the extent to which the imposition of a no-arbitrage restriction on the dynamic Nelson-Siegel model helps obtaining more accurate forecasts of the term structure. For that purpose, we provide an empirical application based on a large panel of Brazilian interest rate future contracts...

Persistent link: https://www.econbiz.de/10011865707