Affine arbitrage-free yield net models with application to the euro debt crisis
Zhiwu Hong, Linlin Niu, Chen Zhang
| Year of publication: |
2022
|
|---|---|
| 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 | Kreditrisiko | Credit risk | Öffentliche Schulden | Public debt | Schuldenkrise | Debt crisis | EU-Staaten | EU countries | Länderrisiko | Country risk | Risikoprämie | Risk premium | Öffentliche Anleihe | Public bond | Internationale Staatsschulden | International sovereign debt | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2021.11.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013441937