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Affine term structure model with macroeconomic factors : do no-arbitrage restriction and macroeconomic factors imply better out-of-sample forecasts?

Ullah, Wali - In: Journal of forecasting 35 (2016) 4, pp. 329-346

Persistent link: https://www.econbiz.de/10011580766

Statistical inference for the factor model approach to estimate causal effects in quasi-experimental settings

Li, Kathleen T.; Sonnier, Garrett P. - In: Journal of marketing research 60 (2023) 3, pp. 449-472

Persistent link: https://www.econbiz.de/10014294942

Zeitvariable Asset-Pricing-Modelle für den deutschen Aktienmarkt : empirische Untersuchung der Bedeutung makroökonomischer Einflussfaktoren

Opfer, Heiko - 2004 - 1. Aufl.

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How far does monetary policy reach? : evidence from factor-augmented vector autoregressions for Poland

Kapuściński, Mariusz - In: Bank i kredyt 49 (2018) 3, pp. 191-216

Persistent link: https://www.econbiz.de/10012502632

Indian buffet process factor model for counterfactual analysis

Ko, Stanley Iat-Meng - In: Econometric reviews 44 (2025) 2, pp. 141-162

Persistent link: https://www.econbiz.de/10015196594

Die Faktorstruktur von Gesamtkapitalrenditen

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Persistent link: https://www.econbiz.de/10001678909

Analyzing the term structure of interest rates with macroeconomic factor models

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Persistent link: https://www.econbiz.de/10010236551

The Canadian macroeconomy and the yield curve : a dynamic latent factor approach

Lange, Ronald H. - In: International review of economics & finance : IREF 27 (2013), pp. 261-274

Persistent link: https://www.econbiz.de/10009740813

An affine multifactor model with macro factors for the German term structure : changing results during the recent crises

Halberstadt, Arne; Stapf, Jelena - 2012

Using arbitrage-free affine models, we analyze the dynamics of German bond yields and risk premia for the period 1999 to 2010 (EMU). We estimate two model specifications, one with only latent factors, and another one with a Taylor-type rule comprising a price and a real activity factor drawn...

Persistent link: https://www.econbiz.de/10009656194

Assessing the transmission of monetary policy using time-varying parameter dynamic factor models

Korobilis, Dimitris - In: Oxford bulletin of economics and statistics 75 (2013) 2, pp. 157-179

Persistent link: https://www.econbiz.de/10009754629