In this paper we propose a novel approach to estimating and testing skewness in a stochastic volatility (SV) model. Our key idea is to replace a normal return error in the standard SV model with a split normal error. We show that this simple variation in the model brings about two large...

In this paper, we investigate whether credit spread curve information helps forecast the government bond yield curve and whether the joint dynamics of the government bond yields and credit spreads have structural changes. For this purpose, we use a joint dynamic Nelson-Siegel (DNS) model of the...