Search Results - subject:"term structure models"

Financial integration and the term structure of interest rates

Traczyk, Adam - In: Empirical economics : a journal of the Institute for … 45 (2013) 3, pp. 1267-1305

Persistent link: https://www.econbiz.de/10010222411

Anchoring the yield curve using survey expectations

Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2013

Persistent link: https://www.econbiz.de/10010230091

Sovereign default risk premia : evidence from the default swap market

Zinna, Gabriele - In: Journal of empirical finance 21 (2013), pp. 15-35

Persistent link: https://www.econbiz.de/10009745313

Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach

Mönch, Emanuel - 2005

This paper suggests a term structure model which parsimoniously exploits a broad macroeconomic information set. The model does not incorporate latent yield curve factors, but instead uses the common components of a large number of macroeconomic variables and the short rate as explanatory...

Persistent link: https://www.econbiz.de/10011604590

Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach

Mönch, Emanuel - European Central Bank - 2005

Persistent link: https://www.econbiz.de/10005530872

Term Structure Models of Commodity Prices: A Review

Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2005

This review article describes the main contributions in the literature on term structure models of commodity prices … prices, are presented. The fourth section examines the two main applications of term structure models: hedging and valuation … structure models of commodity prices. The presentation shows that these models differ on the nature and the number of factors …

Persistent link: https://www.econbiz.de/10011166285

Term Structure Models of Commodity Prices: A Review.

Lautier, Delphine - Université Paris-Dauphine - 2005

Persistent link: https://www.econbiz.de/10008790066

The term structure of inflation expectations

Chernov, Mikhail; Mueller, Philippe - In: Journal of Financial Economics 106 (2012) 2, pp. 367-394

We use information in the term structure of survey-based forecasts of inflation to estimate a factor hidden in the nominal yield curve. We construct a model that accommodates forecasts over multiple horizons from multiple surveys and Treasury real and nominal yields by allowing for differences...

Persistent link: https://www.econbiz.de/10010593833

Identification and estimation of Gaussian affine term structure models

Hamilton, James D.; Wu, Jing Cynthia - In: Journal of Econometrics 168 (2012) 2, pp. 315-331

This paper develops new results for identification and estimation of Gaussian affine term structure models. We …

Persistent link: https://www.econbiz.de/10010574096

The term structure of inflation expectations

Chernov, Mikhail; Mueller, Philippe - In: Journal of financial economics 106 (2012) 2, pp. 367-394

Persistent link: https://www.econbiz.de/10009666633