The role of credit spreads and structural breaks in forecasting the term structure of Korean government bond yields
Chang Hoon Lee (Department of Economics, Korea University), Kyu Ho Kang (Department of Economics, Korea University)
| Year of publication: |
June 2015
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|---|---|
| Authors: | Lee, Chang Hoon ; Kang, Kyu Ho |
| Published in: |
Asia-Pacific journal of financial studies. - Richmond : Wiley-Blackwell, ISSN 2041-9945, ZDB-ID 2616683-5. - Vol. 44.2015, 3, p. 353-386
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| Subject: | Dynamic Nelson-Siegel model | Out-of-sample forecasting | Posterior predictive criterion | Bayesian MCMC simulation | Zinsstruktur | Yield curve | Prognoseverfahren | Forecasting model | Theorie | Theory | Öffentliche Anleihe | Public bond | Bayes-Statistik | Bayesian inference | Simulation | Strukturbruch | Structural break | Kapitaleinkommen | Capital income | Prognose | Forecast | Südkorea | South Korea | Anleihe | Bond |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/ajfs.12093 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011458991