We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term structure and are associated with the time-varying...

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...

We propose a Nelson-Siegel type interest rate term structure model where the underlying yield factors follow autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term structure and are associated with the time-varying...

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on approach which is easily implemented in empirical...

We study the predictability of U.S. government bond excess returns using yield curve factors as well as yield volatility components. The yield curve factors are the level, slope and curvature factors extracted from a dynamic Nelson and Siegel (1987) framework. The yield volatility factors...

We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term struc- ture and are associated with the time-varying...

丹麦2是世界第三大抵押债券市场，其独特的房屋抵押贷款系统有着200 多年的历史，是世界上最 古老的、运行最稳定的房贷系统之一。丹麦房屋抵押贷款模式以高透明度、低信贷风险、和低借贷成 而闻...

Denmark is the world's third largest mortgage bond market. Its mortgage system has more than 200 years of history and is the world's oldest, most stable mortgage system. The Danish mortgage model is characterized by its unique Funding Balance Principle and Liquidity Balance Principle. During the...