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Forecasting the yield curve with the arbitrage-free dynamic Nelson-Siegel model : Brazilian evidence

Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Economia : revista da ANPEC 17 (2016) 2, pp. 221-237

We assess the extent to which the imposition of a no-arbitrage restriction on the dynamic Nelson-Siegel model helps obtaining more accurate forecasts of the term structure. For that purpose, we provide an empirical application based on a large panel of Brazilian interest rate future contracts...

Persistent link: https://www.econbiz.de/10011865707

An asset pricing approach to testing general term structure models including Heath-Jarrow-Morton specifications and affine subclasses

Christensen, Bent Jesper; Wel, Michael van der - 2010

Persistent link: https://www.econbiz.de/10003947812

Extending the Fama and French model with a long term memory factor

López-García, M. N.; Trinidad-Segovia, J. E.; … - In: European journal of operational research : EJOR 291 (2021) 2, pp. 421-426

Persistent link: https://www.econbiz.de/10012495319

Nichtlineare Regimewechselmodelle : theoretische und empirische Evidenz am deutschen Kapitalmarkt

Brannolte, Cord - 2002 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001714163

On stocks and interest rates modeling in long-range dependent environment

Melnikov, Alexander; Mišura, Julija S. - In: Risk and decision analysis 5 (2014) 4, pp. 177-187

Persistent link: https://www.econbiz.de/10011286251

Co-jumping of treasury yield curve rates

Baruník, Jozef; Fišer, Pavel - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 3, pp. 481-506

Persistent link: https://www.econbiz.de/10014632034

Modeling and forecasting serially dependent yield curves

Li, Hao - In: Journal of financial econometrics 23 (2025) 3, pp. 1-42

Persistent link: https://www.econbiz.de/10015425419

The stability of the factor structure of the UK stock market

Sufar Bahri, Saiful; Leger, Lawrence A. - 1998

Persistent link: https://www.econbiz.de/10001397550

The stability of risk factors in the UK stock market

Sufar Bahri, Saiful; Leger, Lawrence A. - In: Applied financial economics 11 (2001) 4, pp. 411-422

Persistent link: https://www.econbiz.de/10001595027

Estimating Turkish stock market returns with APT model : cointegration and vector error correction

Alp, Ozge Sezgin; Gökgöz, Fazıl; Küçükkocaoğlu, … - In: Economic review : journal of economics & business 14 (2016) 1, pp. 7-19

, Arbitrage Pricing Theory (APT), developed by Ross (1976), describes the expected returns on any financial asset with respect to …

Persistent link: https://www.econbiz.de/10012012458

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