Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia
Year of publication: 
200807


Authors:  Hautsch, Nikolaus ; Ou, Yangguoyi 
Institutions:  Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 
Subject:  Term Structure Modelling  Yield Curve Risk  Stochastic Volatility  Factor Models  Macroeconomic Fundamentals 

Yield curve factors, term structure volatility, and bond risk premia
Hautsch, Nikolaus, (2008)

Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields
Hautsch, Nikolaus, (2009)

Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields
Hautsch, Nikolaus, (2009)
 More ...

DiscreteTime Stochastic Volatility Models and MCMCBased Statistical Inference
Hautsch, Nikolaus, (2008)

Financial Network Systemic Risk Contributions
Hautsch, Nikolaus, (2012)

Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
Bibinger, Markus, (2014)
 More ...