Similar Search Results

Bond return predictability : economic value and links to the macroeconomy

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540

Persistent link: https://www.econbiz.de/10012000665

Stochastic volatility in financial markets : crossing the bridge to continuous time

Fornari, Fabio; Mele, Antonio - 2000

Persistent link: https://www.econbiz.de/10001464294

Consistent re-calibration in yield curve modeling : an example

Wüthrich, Mario V. - 2015

Popular yield curve models include affine term structure models. These models are usually based on a fixed set of parameters which is calibrated to the actual financial market conditions. Under changing market conditions also parametrization changes. We discuss how parameters need to be updated...

Persistent link: https://www.econbiz.de/10011412102

Essays on the influence of macroeconomic factors on the term structure of interest rates

Fischer, Michael - 2010

Persistent link: https://www.econbiz.de/10008669469

Do economic variables improve bond return volatility forecasts?

Chao, Shih-Wei - In: International review of economics & finance : IREF 46 (2016), pp. 10-26

Persistent link: https://www.econbiz.de/10011626615

The incremental information in the yield curve about future interest rate risk

Christensen, Bent Jesper; Kjær, Mads Markvart; … - In: Journal of banking & finance 155 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014490508

Better the devil you know : improved forecasts from imperfect models

Oh, Dong Hwan; Patton, Andrew J. - 2021 - This draft: October 2021

Persistent link: https://www.econbiz.de/10012704988

Short-run bond risk premia

Mueller, Philippe; Vedolin, Andrea; Zhou, Hao - In: The quarterly journal of finance 9 (2019) 3, pp. 1-34

Persistent link: https://www.econbiz.de/10012166887

VIX term structure forecasting : new evidence based on the realized semi-variances

Qiao, Gaoxiu; Jiang, Gongyue; Yang, Jiyu - In: International review of financial analysis 82 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013431317

Equilibrium exhaustible resource price dynamics

Carlson, Murray; Khokher, Zeigham; Titman, Sheridan - In: The journal of finance : the journal of the American … 62 (2007) 4, pp. 1663-1703

Persistent link: https://www.econbiz.de/10003522402