The incremental information in the yield curve about future interest rate risk
Bent Jesper Christensen, Mads Markvart Kjær, Bezirgen Veliyev
| Year of publication: |
2023
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|---|---|
| Authors: | Christensen, Bent Jesper ; Kjær, Mads Markvart ; Veliyev, Bezirgen |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 155.2023, p. 1-22
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| Subject: | Forecasting | Kalman filtering | Term structure models | Volatility | Yield curve | Zinsstruktur | Prognoseverfahren | Forecasting model | Volatilität | Kapitaleinkommen | Capital income | Theorie | Theory | Zustandsraummodell | State space model | Schätzung | Estimation | Zinsrisiko | Interest rate risk | Prognose | Forecast |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2023.106973 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014490508