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Pricing with finite dimensional dependence
Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 187 (2015) 2, pp. 408-417
Persistent link: https://www.econbiz.de/10011499694
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Term structure analysis with big data : one-step estimation using bond prices
Andreasen, Martin Møller; Christensen, Jens H. E.; … - In: Journal of econometrics 212 (2019) 1, pp. 26-46
Persistent link: https://www.econbiz.de/10012303862
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The term structure of equity and variance risk premia
Aït-Sahalia, Yacine; Karamann, Mustafa; Mancini, Loriano - In: Journal of econometrics 219 (2020) 2, pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
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Modelling and forecasting government bond spreads in the euro area : a GVAR model
Favero, Carlo A. - In: Journal of econometrics 177 (2013) 2, pp. 343-356
Persistent link: https://www.econbiz.de/10010255139
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The SR approach : a new estimation procedure for non-linear and non-Gaussian dynamic term structure models
Andreasen, Martin Møller; Christensen, Bent Jesper - In: Journal of econometrics 184 (2015) 2, pp. 420-451
Persistent link: https://www.econbiz.de/10011339282
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Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing; Ke, Yuan; Liao, Yuan - In: Journal of econometrics 222 (2021) 1,2, pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
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Real-time Bayesian learning and bond return predictability
Wan, Runqing; Fulop, Andras; Li, Junye - In: Journal of econometrics 230 (2022) 1, pp. 114-130
Persistent link: https://www.econbiz.de/10013441922
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Threshold estimation of Markov models with jumps and interest rate modeling
Mancini, Cecilia; Renò, Roberto - In: Journal of econometrics 160 (2011) 1, pp. 77-92
Persistent link: https://www.econbiz.de/10009242541
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Purebred or hybrid? : reproducing the volatility in term structure dynamics
Ahn, Dong-Hyun; Dittmar, Robert F.; Gallant, A. Ronald; … - In: Journal of econometrics 116 (2003) 1/2, pp. 147-180
Persistent link: https://www.econbiz.de/10001772146
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The surprise element: jumps in interest rates
Das, Sanjiv R. - In: Journal of econometrics 106 (2002) 1, pp. 27-65
Persistent link: https://www.econbiz.de/10001633688