Similar Search Results - EconBiz

Special section : 30 years of cointegration and dynamic factor models

Escribano, Álvaro (ed.); Peña, Daniel (ed.); … - 2021

Persistent link: https://www.econbiz.de/10013274618

Forecasting the Yield Curve : The Role of Additional and Time-Varying Decay Parameters, Conditional Heteroscedasticity, and Macro-Economic Factors

Caldeira, João F.; Cordeiro, Werley; Ruiz, Esther; … - 2023

In this paper, we analyze the forecasting performance of several parametric extensions of the popular Dynamic Nelson-Siegel (DNS) model for the yield curve. Our focus is on the role of additional and time-varying decay parameters, conditional heteroscedasticity, and macroeconomic variables. We...

Persistent link: https://www.econbiz.de/10014349394

Effects of parameter estimation on prediction densities : a bootstrap approach

Pascual, Lorenzo; Romo, Juan; Ruiz, Esther - 1999

Persistent link: https://www.econbiz.de/10001398385

Dynamic asset pricing and statistical properties of risk

González-Rivera, Gloria - In: Journal of economics & business 50 (1998) 5, pp. 461-470

Persistent link: https://www.econbiz.de/10001252971

Time-varying risk : the case of the American computer industry

González-Rivera, Gloria - In: Journal of empirical finance 2 (1996) 4, pp. 333-342

Persistent link: https://www.econbiz.de/10001208686

A note on adaptation in GARCH models

González-Rivera, Gloria - In: Econometric reviews 16 (1997) 1, pp. 55-68

Persistent link: https://www.econbiz.de/10001217211

Linkages between secondary and primary markets for mortgages : the role of retained portfolio investments of the government-sponsored enterprises

González-Rivera, Gloria - In: The journal of fixed income 11 (2001) 1, pp. 29-36

Persistent link: https://www.econbiz.de/10001595321

The pricing of time-varying beta

González-Rivera, Gloria - In: Empirical economics : a journal of the Institute for … 22 (1997) 3, pp. 345-363

Persistent link: https://www.econbiz.de/10001227195

Smooth-transition GARCH models

González-Rivera, Gloria (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 3 (1998) 2, pp. 61-78

Persistent link: https://www.econbiz.de/10001769701

Value in stress : a coherent approach to stress-testing

González-Rivera, Gloria - In: The journal of fixed income 13 (2003) 2, pp. 7-18

Persistent link: https://www.econbiz.de/10001803140

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