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High Dimensional Yield Curves: Models and Forecasting
Bowsher, Clive; Meeks, Roland - Economics Group, Nuffield College, University of Oxford - 2006
Functional Signal plus Noise (FSN) models are proposed for analysing the dynamics of a large cross-section of yields or asset prices in which contemporaneous observations are functionally related. The FSN models are used to forecast high dimensional yield curves for US Treasury bonds at the one...
Persistent link: https://www.econbiz.de/10005730371
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Do credit market shocks drive output fluctuations? : evidence from corporate spreads and defaults
Meeks, Roland - In: Journal of economic dynamics & control 36 (2012) 4, pp. 568-584
Persistent link: https://www.econbiz.de/10009554335
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High Dimensional Yield Curves: Models and Forecasting
Bowsher, Clive G.; Meeks, Roland - Finance Research Centre, Oxford University - 2006
Functional Signal plus Noise (FSN) models are proposed for analysing the dynamics of a large cross-section of yields or asset prices in which contemporaneous observations are functionally related. The FSN models are used to forecast high dimensional yield curves for US Treasury bonds at the one...
Persistent link: https://www.econbiz.de/10005730056
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Stationary and nonstationary behaviour of the term structure : a nonparametric characterization
Bowsher, Clive G.; Meeks, Roland - In: Applied mathematical finance 20 (2013) 1/2, pp. 137-166
Persistent link: https://www.econbiz.de/10009737172
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The impossibility of stationary yield spreads and I (1) yields under the expectations theory of the term structure
Bowsher, Clive G. (contributor); Meeks, Roland (contributor) - 2006
Persistent link: https://www.econbiz.de/10003367584
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The dynamics of economic functions : modelling and forecasting the yield curve
Bowsher, Clive G. (contributor); Meeks, Roland (contributor) - 2008
Persistent link: https://www.econbiz.de/10003813136
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Stationarity and the term structure of interest rates : a characterisation of stationary and unit root yield curves
Bowsher, Clive G. (contributor); Meeks, Roland (contributor) - 2008
Persistent link: https://www.econbiz.de/10003813238
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The dynamics of economic functions : modeling and forecasting the yield curve
Bowsher, Clive G.; Meeks, Roland - In: Journal of the American Statistical Association : JASA 103 (2008) 484, pp. 1419-1437
Persistent link: https://www.econbiz.de/10003814658
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The dynamics of economic functions : modelling and forecasting the yield curve
Bowsher, Clive G.; Meeks, Roland - 2008
Persistent link: https://www.econbiz.de/10003807436
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High dimensional yield curves : models and forecasting
Bowsher, Clive G. (contributor); Meeks, Roland (contributor) - 2006
Persistent link: https://www.econbiz.de/10003385869