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Nelson-Siegel yield curve model estimation and the yield curve trading in the Croation financial market

Zoricic, Davor; Badurina, Marko - In: UTMS journal of economics / University of Tourism and … 4 (2013) 2, pp. 113-125

parametric Nelson-Siegel model. Furthermore bond trading strategies are being discussed regarding the estimated model parameters …

Persistent link: https://www.econbiz.de/10009787017

Low bond yields and safe portfolio withdrawal rates

Blanchett, David M.; Finke, Michael; Pfau, Wade D. - In: The journal of wealth management 16 (2013/14) 2, pp. 55-62

Persistent link: https://www.econbiz.de/10009791074

The impact of liquidity on in ation-linked bonds : a hypothetical indexed bonds approach

Auckenthaler, Julia; Kupfer, Alexander; Sendlhofer, Rupert - 2014

The sovereign's intention to issue inflation-linked bonds (ILB) is to save money. More than 15 years' experience with this financial instrument in the United States and in several other countries has led to the conclusion that these bonds are costly and basically characterized by low liquidity...

Persistent link: https://www.econbiz.de/10010251196

Does the expectations hypothesis explain the term structure of treasury bond yields in Tunisia?

Boukhatem, Jamel - In: The journal of applied business research 32 (2016) 1, pp. 239-254

Persistent link: https://www.econbiz.de/10011436544

Do inflation-linked bonds contain information about future inflation?

Vicente, José Valentim Machado; Guillén, Osmani … - In: Revista brasileira de economia : RBE ; revista da … 67 (2013) 2, pp. 251-260

Persistent link: https://www.econbiz.de/10011443921

Forecasting the Brazilian yield curve using forward-looking variables

Vieira, Fausto; Chague, Fernando; Fernandes, Marcelo - 2016

This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology with the Nelson and Siegel (NS) parametrization of the yield curve to predict the Brazilian term structure of interest rates. Importantly, we extract the principal components for the FAVAR from a...

Persistent link: https://www.econbiz.de/10011523983

Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads

Lange, Rutger-Jan; Lucas, André; Siegmann, Adriaan Hendrik - 2016

spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period … 2008--2015, joint default probabilities based on CDS and bond yield data yield similar results. For the period 1987 …-2008, only the bond yield data can be used to shed light on European sovereign systemic stress. We also show that simple averages …

Persistent link: https://www.econbiz.de/10011531096

Financial conditions, macroeconomic factors and disaggregated bond excess returns

Fricke, Christoph; Menkhoff, Lukas - In: Journal of banking & finance 58 (2015), pp. 80-94

Persistent link: https://www.econbiz.de/10011543903

Budgetary decomposition and yield spreads

Afonso, António; Jalles, João Tovar - 2015

Persistent link: https://www.econbiz.de/10011549287

On inter-arrival times of bond market extreme events : an application to seven European markets

Siakoulis, Vasileios G.; Venetis, Ioannis A. - In: Journal of economics and finance 39 (2015) 4, pp. 717-741

Persistent link: https://www.econbiz.de/10011471449