Similar Search Results

Change-points in affine arbitrage-free term structure models

Chib, Siddhartha; Kang, Kyu Ho - In: Journal of financial econometrics : official journal of … 11 (2013) 2, pp. 302-334

Persistent link: https://www.econbiz.de/10009745891

Forecasting the term structure of Korean government bond yields using the Dynamic Nelson-Siegel class models

Kang, Kyu Ho - In: Asia-Pacific journal of financial studies 41 (2012) 6, pp. 765-787

Persistent link: https://www.econbiz.de/10009705195

Volatility spillovers in Korean financial markets

Yoon, Ok Ja; Kang, Kyu Ho - In: Economic papers 7 (2004) 2, pp. 88-106

Persistent link: https://www.econbiz.de/10002557881

The Effects of Monetary Policy Regime Shifts on the Term Structure of Interest Rates

Abdymomunov, Azamat - 2011

We investigate how the entire term structure of interest rates is influenced by changes in monetary policy regimes. To do so, we develop and estimate an arbitrage-free dynamic term-structure model which accounts for regime shifts in monetary policy, volatility, and the price of risk. Our results...

Persistent link: https://www.econbiz.de/10013117484