We extend Diebold and Li’s dynamic Nelson-Siegel three-factor model to a broader empirical prospective by including the evaluation of the state space approach and by using nine different ratings for corporate bonds. We find that the dynamic Nelson-Siegel factor AR(1) model outperforms other...

We use realized volatilities based on after-hours high frequency stock returns to predict next day stock volatility. We extend the GARCH model to include additional information: the whole after hours period, the preopen realized variance, the postclose realized variance, and the overnight...

We extend Diebold and Li's dynamic Nelson-Siegel three-factor model to a broader empirical prospective by including the evaluation of the state space approach and by using nine different ratings for corporate bonds. We find that the dynamic Nelson-Siegel factor AR(1) model outperforms other...