Narrow search
Showing 1 - 10 of 111,825
Cover Image
Estimation of continuous-time models for stock returns and interest rates
Gallant, A. Ronald - In: Macroeconomic dynamics 1 (1997) 1, pp. 135-168
Persistent link: https://www.econbiz.de/10001337436
Cover Image
Modeling euro area bond yields using a time-varying factor model
Adam, Tomáš; Lo Duca, Marco - 2017
mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants …
Persistent link: https://www.econbiz.de/10011637545
Cover Image
Modeling persistent interest rates with volatility-induced stationarity
Hansen, Anne Lundgaard - 2019
. Compared to the Gaussian affine term structure model, we improve out-of-sample forecasting of the yield curve. …
Persistent link: https://www.econbiz.de/10012111254
Cover Image
Machine learning treasury yields
Kakushadze, Zura; Yu, Willie - In: Bulletin of applied economics 7 (2020) 1, pp. 1-65
Persistent link: https://www.econbiz.de/10012807008
Cover Image
Essays on financial markets and the macroeconomy
Mönch, Emanuel - 2006
Persistent link: https://www.econbiz.de/10003412031
Cover Image
Imperfect Information, Macroeconomic Dynamics and the Yield Curve : An Encompassing Macro-Finance Model
Dewachter, Hans - 2010
yield curve dynamics over the period 1960-2007 …
Persistent link: https://www.econbiz.de/10013137625
Cover Image
Infinite dimensional affine term structure models under incomplete information
Yu, Weijun - 2017
Abstract: The first part of the dissertation extends some important results in the classical theory of finite dimensional affine processes to infinite dimensional separable Hilbert spaces. In particular, a necessary and sufficient condition for a continuous Markov diffusion process to be affine...
Persistent link: https://www.econbiz.de/10012260781
Cover Image
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
Cover Image
Yield curve factors, term structure volatility, and bond risk premia
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following … struc- ture and are associated with the time-varying uncertainty of the yield curve's level, slope and curvature. Estimating … the model based on U.S. government bond yields applying Markov chain Monte Carlo techniques we find that the yield factors …
Persistent link: https://www.econbiz.de/10003770770
Cover Image
Can spanned term structure factors drive stochastic yield volatility?
Christensen, Jens H. E.; Lopez, Jose A.; Rudebusch, Glenn D. - 2014
Persistent link: https://www.econbiz.de/10010256285