In this paper we approach the inflation expectations and the real interest rate by using the information contain in the yield curve. We decompose nominal interest rates into real risk-free rates, inflation expectations and risk premia using an affine model that takes as factors the observed...

In this paper we decompose nominal interest rates into real risk-free rates, inflation expectations and risk premia using an affine model that takes as factors the observed inflation rate and the parameters generated in the zero yield curve estimation. We apply this model to the Spanish economy...

This paper applies the methodology developed by Forte (2008) to extract the implied default point in the premium on credit default swaps (CDS). As well as considering a more extensive international sample of corporations (96 US, European and Japanese companies) and a longer time interval...

In this paper we propose an affine model that uses as observed factors the Nelson and Siegel (NS) components summarising the term structure of interest rates. By doing so, we are able to reformulate the Diebold and Li (2006) approach to forecast the yield curve in a way that allows us to...

In this paper we propose an affine model that uses as observed factors the Nelson and Siegel (NS) components summarising the term structure of interest rates. By doing so, we are able to reformulate the Diebold and Li (2006) approach to forecast the yield curve in a way that allows us to...

In this paper we propose a procedure that uses a single-index model to construct interpolation intervals for a general class of linear processes. We present an extensive Monte Carlo experiment which studies the finite sample properties of this procedure. Finally, we illustrate the performance of...

<Para ID="Par1">We propose using the integrated periodogram to classify time series. The method assigns a new time series to the group that minimizes the distance between the series integrated periodogram and the group mean of integrated periodograms. Local computation of these periodograms allows the...</para>