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Quantification of spread risk by means of historical simulation

Frisch, Christoph; Knöchlein, Germar - In: Applied quantitative finance : theory and computational …, (pp. 51-83). 2002

Persistent link: https://www.econbiz.de/10001749973

Augmented factor models with applications to validating market risk factors and forecasting bond risk premia

Fan, Jianqing; Ke, Yuan; Liao, Yuan - In: Journal of econometrics 222 (2021) 1,2, pp. 269-294

Persistent link: https://www.econbiz.de/10012619418

A nonparametric model of term structure dynamics and the market price of interest rate risk

Stanton, Richard - In: The journal of finance : the journal of the American … 52 (1997) 5, pp. 1973-2002

Persistent link: https://www.econbiz.de/10001232335

Do long-memory GARCH-type-value-at-risk models outperform none-and semi-parametric value-at-risk models?

Buberkoku, Onder - In: International Journal of Energy Economics and Policy : IJEEP 9 (2019) 2, pp. 199-215

Persistent link: https://www.econbiz.de/10012027037

Die Modellierung von Zinsrisikofaktoren in einem Value-at-Risk-Modell

Tobler, Jürg; Walder, Roger - In: Finanzmarkt und Portfolio-Management 12 (1998) 3, pp. 342-370

Persistent link: https://www.econbiz.de/10001517508

Predicting risk premia in short-term interest rates and exchange rates

Gräb, Johannes; Kostka, Thomas - 2018

We assess the ability of yield curve factors to predict risk premia in short-term interest rates and exchange rates across a large sample of major advanced economies. We find that the same tick-shaped linear combination of (relative) bond yields predicts risk premia in both short-term interest...