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isPartOf:"Applied economics"
~isPartOf:"Economic modelling"
~isPartOf:"The journal of futures markets"
~subject:"Prognoseverfahren"
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Search: subject_exact:"Interest rate spread"
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Prognoseverfahren
Yield curve
213
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Applied economics
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ECONIS (ZBW)
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1
Term spreads of implied volatility smirk and variance risk premium
Guo, Wei
;
Ruan, Xinfeng
;
Gehricke, Sebastian A.
;
Zhang, …
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 829-857
Persistent link: https://www.econbiz.de/10014293246
Saved in:
2
A non-knotty inflation risk premium model
Vicente, José Valentim Machado
- In:
Applied economics
55
(
2023
)
28
,
pp. 3271-3278
Persistent link: https://www.econbiz.de/10014299150
Saved in:
3
Predictive power of the implied volatility term structure in the fixed-income market
Chen, Ren-Raw
;
Hsieh, Pei-Lin
;
Huang, Jeffrey
;
Li, Xiaowei
- In:
The journal of futures markets
43
(
2023
)
3
,
pp. 349-383
Persistent link: https://www.econbiz.de/10014293073
Saved in:
4
Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi
;
Xie, Jinming
- In:
The journal of futures markets
43
(
2023
)
4
,
pp. 455-479
Persistent link: https://www.econbiz.de/10014293114
Saved in:
5
Forecasting US yield curve using the dynamic Nelson-Siegel model with random level shift parameters
Luo, Deqing
;
Pang, Tao
;
Xu, Jiawen
- In:
Economic modelling
94
(
2021
),
pp. 340-350
Persistent link: https://www.econbiz.de/10012695028
Saved in:
6
The predictive power of the yield spread for future economic expansions : evidence from a new approach
Ge̜bka, Bartosz
;
Wohar, Mark E.
- In:
Economic modelling
75
(
2018
),
pp. 181-195
Persistent link: https://www.econbiz.de/10012101473
Saved in:
7
Fitting and forecasting yield curves with a mixed-frequency affine model : evidence from China
Shang, Yuhuang
;
Zheng, Tingguo
- In:
Economic modelling
68
(
2018
),
pp. 145-154
Persistent link: https://www.econbiz.de/10011934605
Saved in:
8
Catching the curl : wavelet thresholding improves forward curve modelling
Power, Gabriel J.
;
Eaves, James
;
Turvey, Calum Greig
; …
- In:
Economic modelling
64
(
2017
),
pp. 312-321
Persistent link: https://www.econbiz.de/10011761254
Saved in:
9
Yield spreads, currency movements, and recession predictability for southern border economies in the United States
Fullerton, Thomas M.
;
Saenz-Rojo, Elías D.
;
Walke, Adam G.
- In:
Applied economics
49
(
2017
)
30
,
pp. 2910-2921
Persistent link: https://www.econbiz.de/10011819773
Saved in:
10
A dynamic Nelson-Siegel yield curve model with Markov switching
Levant, Jared
;
Ma, Jun
- In:
Economic modelling
67
(
2017
),
pp. 73-87
Persistent link: https://www.econbiz.de/10011813779
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