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No arbitrage priors, drifting volatilites, and the term structure of interest rates
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2014
Persistent link: https://www.econbiz.de/10010363319
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A no-arbitrage structural vector autoregressive model of the UK yield curve
Kaminska, Iryna - In: Oxford bulletin of economics and statistics 75 (2013) 5, pp. 680-704
Persistent link: https://www.econbiz.de/10010225407
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Asymmetric correlation of sovereign bond yield dynamics in the Eurozone
Dajcman, Silvo - In: Panoeconomicus 60 (2013) 6, pp. 775-789
Persistent link: https://www.econbiz.de/10010341632
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Forecasting the Brazilian yield curve using forward-looking variables
Vieira, Fausto; Chague, Fernando; Fernandes, Marcelo - 2016
Siegel (NS) parametrization of the yield curve to predict the Brazilian term structure of interest rates. Importantly, we …
Persistent link: https://www.econbiz.de/10011523983
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The impact of textual sentiment on sovereign bond yield spreads : evidence from the Eurozone crisis
Liu, Sha - In: Multinational finance journal : MF ; quarterly … 18 (2014) 3/4, pp. 215-248
Persistent link: https://www.econbiz.de/10011457724
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An empirical analysis of the relationship between US and Colombian long-term sovereign bond yields
Guarín, Alexander; Moreno, José Fernando; Vargas H., … - In: Ensayos sobre política económica 32 (2014), pp. 68-86
Persistent link: https://www.econbiz.de/10011504642
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The fiscal and monetary determinants of sovereign bond yields in the Euro Area
Baker, Jessica; Carreras, Oriol; Kirby, Simon; Meaning, Jack - 2016
Persistent link: https://www.econbiz.de/10011564025
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Pricing sovereign bond risk in the European Monetary Union area : an empirical envestigation
Afonso, António; Arghyrou, Michael Georgiou; … - In: International journal of finance & economics : IJFE 19 (2014) 1, pp. 49-56
Persistent link: https://www.econbiz.de/10010470962
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Valuation of Guaranteed contracts set relative to cross-currency stochastic rates of return
Hsieh, Tsung-yu; Chou, Chi-hsun; Chen, Son-nan - In: Asia-Pacific journal of financial studies 43 (2014) 4, pp. 589-619
Persistent link: https://www.econbiz.de/10010407421
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A joint affine model of commodity futures and US Treasury yields
Chin, Michael; Liu, Zhuoshi - 2015
Persistent link: https://www.econbiz.de/10010497510