In this discussion paper we introduce time-varying parameters in the dynamic Nelson–Siegel yield curve model for the simultaneous analysis and forecasting of interest rates of different maturities. The Nelson–Siegel model has been recently reformulated as a dynamic factor model with vector...

The recent interest in portfolio credit risk modelling has concentrated attention on the correlation structure of credit risk. This paper calculates long-holding period correlations for emerging market sovereign spreads and compares these with the correlations of equity market indices for the...