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Analysing the degree of integration of the euro area : how a lack of complete markets and insufficient risk sharing raise concerns about its durability and stability

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A study of the solution to the Riccati equation in term structure modelling

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Common factors, principal components analysis, and the term structure of interest rates

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Term structure estimation in the presence of autocorrelation

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An evaluation of alternative methods used in the estimation of Gaussian term structure models

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How Germany benefits the most from its Eurozone membership

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Invariance, observational equivalence, and identification : some implications for the empirical performance of affine term structure models

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Empirical performance of Gaussian affine dynamic term structure models in the presence of autocorrelation misspecification bias

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An evaluation of alternative methods used in the estimation of Gaussian term structure models

Juneja, Januj - In: Review of Quantitative Finance and Accounting 44 (2015) 1, pp. 1-24

This paper provides an evaluation of five methods, proposed in the literature, for extracting factors used in the estimation of Gaussian affine term structure models. We assert that irrespective of the method used for extracting state variables, cross-sectional and serial correlations exist in...

Persistent link: https://www.econbiz.de/10011155202