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Yield spread selection in predicting recession probabilities
Choi, Jaehyuk, (2023)
Term structure modeling and forecasting of government bond yields : does a good in -sample fit imply reasonable out-of-sample forecasts?
Ullah, Wali, (2013)
Liquidity and yield curve estimation
Tsai, Shih-chuan, (2012)
Modeling the conditional covariance between stock and bond returns : a multivariate GARCH approach
Goeij, Peter de, (2004)
An empirical analysis of affine term structure models using the generalized method of moments
Goeij, Peter de, (2001)
Do macroeconomic announcements cause asymetric volatility?
Goeij, Peter de, (2002)