Can credit spreads help predict a yield curve?
Azamat Abdymomunov, Kyu Ho Kang, Ki Jeong Kim
| Year of publication: |
June 2016
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|---|---|
| Authors: | Abdymomunov, Azamat ; Kang, Kyu Ho ; Kim, Ki Jeong |
| Published in: |
Journal of international money and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0261-5606, ZDB-ID 872014-9. - Vol. 64.2016, p. 39-61
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| Subject: | Density prediction | Dynamic Nelson-Siegel | Predictive likelihood | Bayesian MCMC estimation | Zinsstruktur | Yield curve | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | Theorie | Theory | Kapitaleinkommen | Capital income | Markov-Kette | Markov chain | Kreditrisiko | Credit risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jimonfin.2016.02.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011668377