Search Results - subject:"yield curve models"

Imperfect information, macroeconomic dynamics and the yield curve : an encompassing macro-finance model

Dewachter, Hans - Nationale Bank van België/Banque national de Belqique (BNB) - 2008

In this paper we estimate an encompassing Macro-Finance model allowing for time variation in the equilibrium real rate, mispricing and learning dynamics. The encompassing model specification incorporates (i) a small-scale (semi-) structural New-Keynesian model, (ii) flexible price of risk...

Persistent link: https://www.econbiz.de/10005060077

Imperfect information, macroeconomic dynamics and the yield curve : an encompassing macro-finance model

Dewachter, Hans - 2008

Persistent link: https://www.econbiz.de/10011610138

Parametric yield curve modeling in an illiquid and undeveloped financial market

Zoricic, Davor; Orsag, Silvije - In: UTMS journal of economics / University of Tourism and … 4 (2013) 3, pp. 243-252

This paper examines the possibility of applying two most popular parametric yield curve models (Nelson-Siegel and … a special challenge primarily regarding the available market data. The use of the yield curve models is limited compared …

Persistent link: https://www.econbiz.de/10010222884

Facts, Factors, and Questions

Diebold, Francis X.; Rudebusch, Glenn D. - Princeton University Press

policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically …

Persistent link: https://www.econbiz.de/10011241751

Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

Diebold, Francis X.; Rudebusch, Glenn D. - Princeton University Press

policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically …

Persistent link: https://www.econbiz.de/10011241753