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Correcting estimation bias in regime switching dynamic term structure models

Cho, Sungjun; Liu, Liu - In: Review of quantitative finance and accounting 61 (2023) 3, pp. 1093-1127

Persistent link: https://www.econbiz.de/10014342159

Forecasting the yield curve: the role of additional and timevarying decay parameters, conditional heteroscedasticity, and macro-economic factors

Caldeira, João F.; Cordeiro, Werley C.; Ruiz, Esther; … - 2023

Persistent link: https://www.econbiz.de/10014371839

The Meiselman forward interest rate revision regression as an affine term structure model

Golinski, Adam; Spencer, Peter D. - 2012

Persistent link: https://www.econbiz.de/10009663204

Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations

Miura, Masakazu; Tamaki, Kenichiro; Shiohama, Takayuki - In: Asia-Pacific financial markets 20 (2013) 4, pp. 311-344

Persistent link: https://www.econbiz.de/10010345916

Bond pricing with a time-varying price of risk in an estimated medium-scale Bayesian DSGE model

Dew-Becker, Ian - In: Journal of money, credit and banking : JMCB 46 (2014) 5, pp. 837-888

Persistent link: https://www.econbiz.de/10010466708

Testing cointegration in quantile regressions with an application to the term structure of interest rates

Kuriyama, Nina - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 2, pp. 107-121

Persistent link: https://www.econbiz.de/10011507436

The exact discretisation of CARMA models with applications in finance

Thornton, Michael A.; Chambers, Marcus J. - In: Journal of empirical finance 38 (2016), pp. 739-761

Persistent link: https://www.econbiz.de/10011663785

Term structure modelling with quadratic CARMA processes

Tong, Zhigang - In: International journal of bonds and derivatives 2 (2016) 4, pp. 285-303

Persistent link: https://www.econbiz.de/10011807493

Dynamic estimation of an interest rate structure in Colombia : empirical analysis using the Kalman filter

Castaño, Rogelio Maldonado; Rueda, Natalia Zapata; … - In: Journal of economics, finance & administrative science 19 (2014) 37, pp. 70-77

The official estimation for the term structure model in Colombia is based on the Nelson and Siegel (1987) development which is widely accepted and used. This estimation is based on the curve fitting with available data, only for one day ahead, making difficult to estimate the future zero-coupon...

Persistent link: https://www.econbiz.de/10011872964

Term structure extrapolation and asymptotic forward rates

Kort, Jan de; Vellekoop, Michel; Sun, Zhongyang - In: Insurance / Mathematics & economics 67 (2016), pp. 107-119

Persistent link: https://www.econbiz.de/10011457171