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Level-slope-curvature : fact or artefact?

Lord, Roger; Pelsser, Antoon André Jean - In: Applied mathematical finance 14 (2007) 2, pp. 105-130

Persistent link: https://www.econbiz.de/10003542978

Level-slope-curvature : fact or artefact?

Lord, Roger; Pelsser, Antoon André Jean - 2005

conditions have the nice interpretation of restricting the level, slope and curvature of the correlation surface. It is proven … that the Schoenmakers-Coffey correlation matrix also brings along such factors. Finally, we formulate and corroborate our … conjecture that the order present in correlation matrices causes slope. …

Persistent link: https://www.econbiz.de/10011346478

Factor models and the correlation structure of interest rates : some evidence for USD, GBP, DEM and JPY

Lekkos, Ilias - In: Journal of banking & finance 25 (2001) 8, pp. 1427-1445

Persistent link: https://www.econbiz.de/10001594005

On the factor structure of bond returns

Crump, Richard K.; Gospodinov, Nikolaj - In: Econometrica : journal of the Econometric Society, an … 90 (2022) 1, pp. 295-314

Persistent link: https://www.econbiz.de/10012821679

Yield curve modeling and forecasting using semiparametric factor dynamics

Härdle, Wolfgang; Majer, Piotr - In: The European journal of finance 22 (2016) 10/12, pp. 1109-1129

Persistent link: https://www.econbiz.de/10011715314

Forecasting the yield curve with macroeconomic information : evidence from European markets

Maldonado, Isabel; Pinho, Carlos; Rodríguez de Prado, … - In: International journal of banking, accounting and … 12 (2021) 2, pp. 177-200

Persistent link: https://www.econbiz.de/10012505149

A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure

Blaskowitz, Oliver (contributor); … - 2008

The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic exante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of...

Persistent link: https://www.econbiz.de/10003770821

Essays on financial markets and the macroeconomy

Mönch, Emanuel - 2006

Persistent link: https://www.econbiz.de/10003412031

Inference on the maximal rank of time-varying covariance matrices using high-frequency data

Reiß, Markus; Winkelmann, Lars - 2021

We study the rank of the instantaneous or spot covariance matrix Σ(t) of a multidimensional continuous semi-martingale X(t). Given highfrequency observations X(i=n), i = 0; : : : ;n, we test the null hypothesis rank (Σ(t)) ≤ r for all t against local alternatives where the average (r + 1)st...

Persistent link: https://www.econbiz.de/10012655380

Factors’ Correlation in the Heath–Jarrow–Morton Interest Rate Model

Tchuindjo, Leonard - 2013

We propose a new derivation of the Heath–Jarrow–Morton risk-neutral drift restriction that takes into account nonzero instantaneous correlations between factors. The result allows avoiding the orthogonalization of factors and provides an approach by which interest rate derivatives can be...

Persistent link: https://www.econbiz.de/10013079559