The purpose of this paper is to propose discrete-time term structure models where the historical dynamics of the factor (xt) is given, in the univariate case, by a Gaussian AR(p) process, and, in the multivariate case, by a Gaussian n-dimensional VAR(p) process. The factor (xt) is considered as...

The purpose of this paper is to propose discrete-time term structure models where the historical dynamics of the factor (xt) is given, in the univariate case, by a Gaussian AR(p) process, and, in the multivariate case, by a Gaussian n-dimensional VAR(p) process. The factor (xt) is considered as...

A regime-switching Levy framework, where all parameter values depend on the value of a continuous time Markov chain as per Chevallier and Goutte (2017), is employed to study US Corporate Option-Adjusted Spreads (OASs). For modelling purposes we assume a Normal Inverse Gaussian distribution,...

This study examines whether Greek sovereign spreads exhibit long memory. The analysis seeks to establish whether long memory effects are present in monthly data of the Greek sovereign spread for the sample Jan. 1999-Dec. 2020. The study performs several long memory tests and concludes that...

This paper investigates the relationship between the yield curve and macroeconomic factors for ten emerging sovereign bond markets using the sample from January 2006 to April 2019. To this end, the diffusion indices obtained under four categories (global variables, inflation, domestic financial...

This paper combines asset pricing theory with deep learning for pricing the cross section of corporate bonds. The proposed deep learning model can flexibly introduce the well-established factors and provide us with deep factors that are not subsumed in those existing factors. The deep factors...

The relationship between affine stochastic processes and bong pricing equations in exponential term structure models has been well established. We connect this result to the pricing of interest rate derivatives. If the term structure model is exponential afffine, then there is a linkage between...

In this paper we approximate the risk factors of a polynomial arbitrage-free dynamic term structure model by running a sequential set of linear regressions independent across time. This approximation avoids the cost of a full optimization procedure allowing for a simple method to extract the...

The shape of the term structure of credit default swap spreads is an informative signal about the relative importance of global and domestic risk factors to the time variation of sovereign credit spreads. Using a geographically dispersed panel of 44 countries, I show that the relative importance...

We introduce a simple approach to managing portfolio interest rate risk that is consistent and performs well across different interest rate regimes, including when interest rates are low or even negative. Inspired by Black (1995), this approach uses a novel inverse-call transformation...