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An empirical investigation of the level effect in Australian interest rates

Gray, P.; Smith, D. R. - 2008

model fit suggest that, in addition to the usual level effect, the incorporation of GARCH effects and possible regime shifts …

Persistent link: https://www.econbiz.de/10009483283

Modelos de Tasas de Interés en Chile: Una Revisión

Zúñiga, Sergio - In: Latin American Journal of Economics-formerly Cuadernos … 36 (1999) 108, pp. 875-893

conditional volatility to also include the unexpected information processes (GARCH model) and also that the volatility be a … adjust appropriately the volatility in comparison to the GARCH(1,1) model, and finally, the TVP-LEVEL model does not overcome … the results from the GARCH(1,1) model. …

Persistent link: https://www.econbiz.de/10009403356

Modelos de Tasas de Interés en Chile: Una Revisión

Zúñiga, Sergio - In: Latin American Journal of Economics-formerly Cuadernos … 36 (1999) 108, pp. 875-893

This work reviews the Level Model of the Interest Rates in Chile. In addi-tion to the traditional Level Models by Chan, Karoly, Longstaff and Sanders (1992) in the USA, and Parisi (1998) in Chile, by the Maximum Likelihood method, we allow the conditional

Persistent link: https://www.econbiz.de/10005212153

Time-varying risk premium yield spread effect in term structure and global financial crisis : evidence from Europe

Choudhry, Taufiq - In: International review of financial analysis 48 (2016), pp. 303-311

Persistent link: https://www.econbiz.de/10011624526

Modeling volatility in dynamic term structure models

Doshi, Hitesh; Jacobs, Kris; Liu, Rui - In: Journal of financial economics 161 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015075688

Fractional cointegration in US term spreads

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010

This note examines the stochastic properties of US term spreads with parametric and semi-parametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The...

Persistent link: https://www.econbiz.de/10010271352

Modeling the FIBOR/EURIBOR swap term structure: An empirical approach

Blaskowitz, Oliver J.; Herwartz, Helmut; Cadenas … - 2005

In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vector autoregressive (VAR) models. In advance, a principal components analysis (PCA) is adopted to reduce the dimensionality of the term structure. To evaluate ex-ante forecasting performance for...

Persistent link: https://www.econbiz.de/10010271835

Term structure and the estimated monetary policy rule in the Eurozone

María-Dolores Pedrero, Ramón; Vazquez, Jesús - 2008

In this paper we estimate a standard version of the New Keynesian Monetary (NKM) model augmented with term structure in order to analyze two issues. First, we analyze the effect of introducing an explicit term structure channel in the NKM model on the estimated parameter values of the model,...

Persistent link: https://www.econbiz.de/10012530224

On the informational role of term structure in the U.S. monetary policy rule

Vazquez, Jesús; María-Dolores Pedrero, Ramón; … - 2009

The term spread may play a major role in a monetary policy rule whenever data revisions of output and inflation are not well behaved. In this paper we use a structural approach based on the indirect inference principle to estimate a standard version of the New Keynesian Monetary (NKM) model...

Persistent link: https://www.econbiz.de/10012530263

Valuation of VIX derivatives

Mencía González, Javier; Sentana, Enrique - 2012

We conduct an extensive empirical analysis of VIX derivative valuation models before, during and after the 2008-2009 fi nancial crisis. Since the restrictive mean reversion and heteroskedasticity features of existing models yield large distortions during the crisis, we propose generalisations...

Persistent link: https://www.econbiz.de/10012530393