Search Results - subject:"Yield curve dynamics"

Narrow search

Estimation of a nonparametric model for bond prices from cross-section and time series information

Koo, Bonsoo; La Vecchia, Davide; Linton, Oliver - 2020

Persistent link: https://www.econbiz.de/10012606874

Nonparametric recovery of the yield curve evolution from cross-section and time series information

Koo, Bonsoo; La Vecchia, Davide; Linton, Oliver - 2019

Persistent link: https://www.econbiz.de/10012697699

Estimation of a nonparametric model for bond prices from cross-section and time series information

Koo, Bonsoo; La Vecchia, Davide; Linton, Oliver - In: Journal of econometrics 220 (2021) 2, pp. 562-588

Persistent link: https://www.econbiz.de/10012618568

Impact of multiple curve dynamics in credit valuation adjustments under collateralization

Bormetti, Giacomo; Brigo, Damiano; Francischello, Marco; … - In: Quantitative finance 18 (2018) 1, pp. 31-44

Persistent link: https://www.econbiz.de/10011905822

The co-integrated vector autoregression with errors-in-variables

Bohn Nielsen, Heino - In: Econometric reviews 35 (2016) 1/4, pp. 169-200

Persistent link: https://www.econbiz.de/10011549904

The Effect of Mortgage Price and Default Risk on Mortgage Spreads

Kau, James; Peters, Luke - In: The Journal of Real Estate Finance and Economics 30 (2005) 3, pp. 285-295

Variations over time in mortgage yield spreads should reflect changes in the underlying prepayment option value; moreover, the relationship between mortgage yield spreads and interest rate dynamics should weaken as the value of the borrower’s prepayment option declines. We verify this...

Persistent link: https://www.econbiz.de/10005716848