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Are shadow rate models of the treasury yield curve structurally stable?

Kim, Don H.; Priebsch, Marcel A. - In: Journal of financial and quantitative analysis : JFQA 59 (2024) 7, pp. 3500-3530

Persistent link: https://www.econbiz.de/10015156738

Computing arbitrage-free yields in multi-factor Gaussian shadow-rate term structure models

Priebsch, Marcel A. - 2013

Persistent link: https://www.econbiz.de/10010431716

Computing arbitrage-free yields in multi-factor Gaussian shadow rate term structure models

Priebsch, Marcel A. - In: The Quarterly Journal of Finance : QJF 13 (2023) 4, pp. 1-30

Persistent link: https://www.econbiz.de/10014490266

Challenges in macro-finance modeling

Kim, Don H. - In: Review / Federal Reserve Bank of St. Louis 91 (2009) 5/2, pp. 519-544

Persistent link: https://www.econbiz.de/10003924388

Zero bound, option-implied PDFs, and term structure models

Kim, Don H. - 2008

Persistent link: https://www.econbiz.de/10003830157

Aspects of time-varying risk and return in bond markets

Kim, Don H. - 2005

Persistent link: https://www.econbiz.de/10003553412

Swaption pricing in affine and other models

Kim, Don H. - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 790-820

Persistent link: https://www.econbiz.de/10011308168

An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates

Kim, Don H.; Wright, Jonathan H. - 2005

Persistent link: https://www.econbiz.de/10003087210

An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates

Kim, Don H. (contributor); Wright, Jonathan H. (contributor) - 2005

Persistent link: https://www.econbiz.de/10003137207

Are Shadow Rate Models of the Treasury Yield Curve Structurally Stable?

Kim, Don H.; Priebsch, Marcel - 2020

We examine the structural stability of Gaussian shadow rate term structure models of Treasury yields over a period that includes the time during which the U.S. policy rate was at its effective lower bound. After a conceptual discussion of several potential sources of a structural break in the...

Persistent link: https://www.econbiz.de/10014048781