Affine arbitrage-free yield net models with application to the euro debt crisis
Year of publication: |
2022
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Authors: | Hong, Zhiwu ; Niu, Linlin ; Zhang, Chen |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 230.2022, 1, p. 201-220
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Subject: | European debt crisis | Liquidity risk | Nelson–Siegel factors | Sovereign credit risk | Term structure models | Zinsstruktur | Yield curve | Eurozone | Euro area | Öffentliche Schulden | Public debt | EU-Staaten | EU countries | Kreditrisiko | Credit risk | Länderrisiko | Country risk | Öffentliche Anleihe | Public bond | Internationale Staatsschulden | International sovereign debt | Schuldenkrise | Debt crisis | Finanzkrise | Financial crisis | Risikoprämie | Risk premium |
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