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  • Search: subject_exact:"Yield curve"
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Year of publication
Subject
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Yield curve 13,234 Zinsstruktur 13,200 Theorie 4,773 Theory 4,755 Schätzung 2,262 Estimation 2,256 Zins 2,012 Interest rate 1,984 USA 1,967 United States 1,948 Geldpolitik 1,942 Monetary policy 1,933 Risk premium 1,931 Risikoprämie 1,930 Öffentliche Anleihe 1,803 Public bond 1,799 Kreditrisiko 1,233 Credit risk 1,229 Kapitaleinkommen 1,155 Capital income 1,150 EU countries 1,101 EU-Staaten 1,101 Anleihe 1,010 Bond 1,006 Volatilität 959 Volatility 958 Prognoseverfahren 929 Forecasting model 925 Optionspreistheorie 860 Option pricing theory 855 Euro area 844 Eurozone 844 Unternehmensanleihe 766 Corporate bond 765 Interest rate derivative 720 Zinsderivat 720 CAPM 684 Deutschland 652 Germany 635 Rentenmarkt 561
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Online availability
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Free 5,547 Undetermined 1,954
Type of publication
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Book / Working Paper 7,502 Article 6,116 Other 5 Journal 4
Type of publication (narrower categories)
All
Article in journal 5,594 Aufsatz in Zeitschrift 5,594 Working Paper 3,365 Graue Literatur 3,361 Non-commercial literature 3,361 Arbeitspapier 3,276 Aufsatz im Buch 404 Book section 404 Hochschulschrift 388 Thesis 310 Collection of articles written by one author 92 Sammlung 92 Collection of articles of several authors 54 Sammelwerk 54 Bibliografie enthalten 46 Bibliography included 46 Conference paper 38 Konferenzbeitrag 38 Amtsdruckschrift 30 Government document 30 Konferenzschrift 29 Commentary 26 Dissertation u.a. Prüfungsschriften 26 Kommentar 26 Lehrbuch 24 Textbook 22 Conference proceedings 18 Aufsatzsammlung 17 Forschungsbericht 17 Systematic review 17 Übersichtsarbeit 17 Article 11 Case study 9 Fallstudie 9 Mikroform 7 Bibliografie 5 Reprint 5 Amtliche Publikation 4 Glossar enthalten 4 Glossary included 4
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Language
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English 12,640 German 398 Undetermined 250 Spanish 127 French 123 Portuguese 33 Italian 20 Polish 10 Dutch 9 Danish 6 Hungarian 5 Norwegian 5 Czech 4 Finnish 2 Croatian 2 Korean 2 Romanian 1 Russian 1 Turkish 1
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Author
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Rudebusch, Glenn D. 112 Christensen, Jens H. E. 55 Diebold, Francis X. 53 Favero, Carlo A. 51 Akram, Tanweer 50 Krippner, Leo 50 Bekaert, Geert 47 Wright, Jonathan H. 47 Afonso, António 46 Wu, Jing Cynthia 45 Monfort, Alain 44 Chiarella, Carl 42 Hamilton, James D. 39 Thornton, Daniel L. 38 Caporale, Guglielmo Maria 37 Gollier, Christian 37 Chernov, Mikhail 36 Dewachter, Hans 36 Renne, Jean-Paul 36 Hördahl, Peter 35 Kaminska, Iryna 35 Bauer, Michael D. 34 Campbell, John Y. 34 Mishkin, Frederic S. 34 Koopman, Siem Jan 33 Joshi, Mark S. 31 Schlögl, Erik 31 Goldstein, Robert S. 30 Kim, Don H. 30 Friedman, Benjamin M. 29 Gouriéroux, Christian 29 Jarrow, Robert A. 29 Lemke, Wolfgang 29 Li, Canlin 29 Sarno, Lucio 29 Singleton, Kenneth J. 29 Söderström, Ulf 29 Wei, Min 29 Filipović, Damir 28 Guidolin, Massimo 27
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Institution
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National Bureau of Economic Research 261 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 27 International Monetary Fund (IMF) 14 Centre for Analytical Finance <Århus> 13 Federal Reserve Bank of San Francisco 13 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 13 C.E.P.R. Discussion Papers 10 Ekonomiska forskningsinstitutet <Stockholm> 10 International Monetary Fund 10 European Central Bank 9 Center for Financial Studies 8 Federal Reserve Bank of St. Louis 8 Department of Economics, Waikato Management School 7 University of Exeter / Department of Economics 7 Banque de France / Direction des Etudes Economiques et de la Recherche 6 EconWPA 6 Department of Economics, University of Pennsylvania 5 Federal Reserve Bank of Cleveland 5 HAL 5 Rodney L. White Center for Financial Research 5 Tinbergen Instituut 5 World Bank 5 Banca d'Italia 4 Banco Central do Brasil 4 Federal Reserve Bank of New York 4 Federal Reserve System / Division of Research and Statistics 4 Internationaler Währungsfonds / European Department <1> 4 Schweizerische Nationalbank (SNB) 4 Springer Fachmedien Wiesbaden 4 Unité Mixte de Recherche Théorie Economique, Modélisation et Applications 4 Banco de México 3 CESifo 3 Department of Accounting, Economics and Finance, Bristol Business School 3 Deutsche Forschungsgemeinschaft 3 Erasmus Research Institute of Management 3 Europäische Zentralbank 3 Finance Discipline Group, Business School 3 Innocenzo Gasparini Institute for Economic Research <Mailand> 3 International Center for Financial Asset Management and Engineering 3 Internationaler Währungsfonds 3
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Published in...
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NBER working paper series 256 Working paper / National Bureau of Economic Research, Inc. 239 Journal of banking & finance 213 NBER Working Paper 140 The journal of fixed income 140 Discussion paper / Centre for Economic Policy Research 133 Journal of financial economics 112 International journal of theoretical and applied finance 111 Journal of international money and finance 107 Working paper series / European Central Bank 104 Finance and economics discussion series 101 Journal of money, credit and banking : JMCB 85 Economics letters 82 Applied economics 78 The review of financial studies 77 The journal of finance : the journal of the American Finance Association 74 Journal of monetary economics 72 ECB Working Paper 71 International review of economics & finance : IREF 71 Working paper 70 Mathematical finance : an international journal of mathematics, statistics and financial theory 69 Applied financial economics 68 Economic modelling 67 Journal of empirical finance 65 Journal of economic dynamics & control 60 Working papers series / Federal Reserve Bank of San Francisco 59 Journal of financial and quantitative analysis : JFQA 58 International review of financial analysis 57 Applied economics letters 55 CESifo working papers 55 Finance research letters 55 The North American journal of economics and finance : a journal of financial economics studies 55 IMF working paper 53 Journal of international financial markets, institutions & money 53 Staff reports / Federal Reserve Bank of New York 53 Journal of econometrics 51 The journal of futures markets 51 Finance and stochastics 49 Applied mathematical finance 47 The journal of derivatives : the official publication of the International Association of Financial Engineers 45
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Source
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ECONIS (ZBW) 13,156 RePEc 324 EconStor 100 USB Cologne (EcoSocSci) 40 BASE 7
Showing 1 - 50 of 13,627
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Demand shocks for public debt in the eurozone
Lengyel, Andras; Giuliodori, Massimo - In: Journal of money, credit and banking : JMCB 54 (2022) 7, pp. 1997-2028
Persistent link: https://ebtypo.dmz1.zbw/10013466587
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Intermediary balance sheets and the treasury yield curve
Du, Wenxin; Hébert, Benjamin; Li, Wenhao - 2022
We have documented a regime change in the U.S. Treasury market post-Global Financial Crisis (GFC). We first derived bounds on Treasury yields that account for dealer balance sheet costs, which we call the net short and net long curves. We show that actual Treasury yields moved from the net short...
Persistent link: https://ebtypo.dmz1.zbw/10013277487
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Agent-based model generating stylized facts of fixed income markets
Kopp, Antoine; Westphal, Rebecca; Sornette, Didier - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013192099
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The bond market impact of the South African Reserve Bank bond purchase programme
Havemann, Roy; Van Vuuren, Henk Janse; Steenkamp, Daan; … - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012939554
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Effects of Banco de la Republica's communication on the yield curve
Melo-Velandia, Luis Fernando; Ospina-Tejeiro, Juan J.; … - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013327158
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The local supply channel of QE : evidence from the Bank of England’s gilt purchases
Froemel, Maren; Joyce, Michael A. S.; Kaminska, Iryna - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013285013
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The term structure of interest rates in a heterogeneous monetary union
Costain, James; Nuño, Galo; Thomas, Carlos - 2022
We build a no-arbitrage model of the yield curves in a heterogeneous monetary union with sovereign default risk, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure solution, and decompose yields into term premium and...
Persistent link: https://ebtypo.dmz1.zbw/10013285648
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The bond market impact of the South African Reserve Bank bond purchase programme
Havemann, Roy; Van Vuuren, Henk Janse; Steenkamp, Daan; … - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013166961
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The term structure of interest rates in a heterogeneous Monetary Union
Costain, James; Nuño, Galo; Thomas, Carlos - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013389624
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South Africa’s yield curve conundrum
Erasmus, Ruan; Steenkamp, Daan - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013483341
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Networking the yield curve : implications for monetary policy
Dalhaus, Tatjana; Schaumburg, Julia; Sekhposyan, Tatevik - 2021
We introduce a flexible, time-varying network model to trace the propagation of interest rate surprises across different maturities. First, we develop a novel econometric framework that allows for unknown, potentially asymmetric contemporaneous spillovers across panel units, and establish the...
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Persistent link: https://ebtypo.dmz1.zbw/10012488662
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Government debt maturity in Japan : 1965 to the present
Koeda, Junko; Kimura, Yosuke - 2021 - First draft: April 15, 2021
Persistent link: https://ebtypo.dmz1.zbw/10013447991
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The effect of Euribor on banking profitability : evidence from the Spanish banking system
Boto-García, David; Alvarez, Antonio M.; Baños-Pino, José - In: European journal of government and economics : EJGE 10 (2021) 1, pp. 5-29
This paper studies the relationship between the Euribor rate and the return on average assets (ROAA) of the Spanish banking sector. We use quarterly time series data for the period 1995-2016. Our analysis also controls for bank factors, market concentration, the macroeconomic environment and...
Persistent link: https://ebtypo.dmz1.zbw/10013173802
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Joint modelling and estimation of global and local cross-sectional dependence in large panels
Koopman, Siem Jan; Schaumburg, Julia; Wiersma, Quint - 2021
We propose a new unified approach to identifying and estimating spatio-temporal dependence structures in large panels. The model accommodates global crosssectional dependence due to global dynamic factors as well as local cross-sectional dependence, which may arise from local network structures....
Persistent link: https://ebtypo.dmz1.zbw/10012421000
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Scaling, unwinding and greening QE in a calibrated portfolio balance model
Riedler, Jesper; Koziol, Tina - 2021
We develop a portfolio balance model to analyze the impact of euro area quantitative easing (QE) on asset yields. Our model features two countries each populated by two agents representing their respective banking and mututal fund sectors. Agents, which differ in their preferences for assets,...
Persistent link: https://ebtypo.dmz1.zbw/10012671882
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Interest rate skewness and biased beliefs
Bauer, Michael D.; Chernov, Mikhail - 2021 - First draft: January 2021, this draft: June 16, 2021
Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced variation over the business cycle and with the stance of monetary policy, and a tight relationship with the slope of the yield curve. Most importantly, variation in yield skewness has...
Persistent link: https://ebtypo.dmz1.zbw/10012547050
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Government debt maturity in Japan: 1965 to the present
Koeda, Junko; Kimura, Yosuke - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012617800
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The relationship between yield curve and economic activity : an analysis of G7 countries
Kumar, Ronald Ravinesh; Stauvermann, Peter; Hang Thi Thu Vu - In: Journal of risk and financial management : JRFM 14 (2021) 2/62, pp. 1-23
The yield curve is an important tool to assess the economic progress of a country. In this study, we examine the strength of the relationship between term spread and economic activity, and between the components of the yield curve and economic activity in the G7 countries using monthly data on...
Persistent link: https://ebtypo.dmz1.zbw/10012483955
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Cash flows discounted using a model-free SDF extracted under a yield curve prior
Gallant, A. Ronald; Tauchen, George Eugene - In: Journal of risk and financial management : JRFM 14 (2021) 3/100, pp. 1-15
We developed a model-free Bayesian extraction procedure for the stochastic discount factor under a yield curve prior. Previous methods in the literature directly or indirectly use some particular parametric asset-pricing models such as with long-run risks or habits as the prior. Here, in...
Persistent link: https://ebtypo.dmz1.zbw/10012484936
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What moves treasury yields?
Mönch, Emanuel; Soofi-Siavash, Soroosh - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012494436
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Unconventional monetary policy and bond market connectedness in the new normal
Akovalı, Umut; Yılmaz, Kamil - 2021
Since the global financial crisis, major central banks gradually switched to unconventional monetary policies (UMPs) as part of their efforts to directly influence the long-term interest rates. This study analyzes the impact of conventional/unconventional monetary policies on sovereign bond...
Persistent link: https://ebtypo.dmz1.zbw/10012495030
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The yield curve as a predictor of economic activity in Mexico: the role of the term premium
Ibarra-Ramírez, Raúl - 2021
This paper analyzes whether there exists a relationship between the slope of the yield curve and future economic activity in Mexico for the period 2004-2019. In particular, we evaluate whether such relationship depends on the term premium. For this purpose, we estimate a threshold model in which...
Persistent link: https://ebtypo.dmz1.zbw/10012584159
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Interest rate skewness and biased beliefs
Bauer, Michael D.; Chernov, Mikhail - 2021 - This draft: June 16, 2021
Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced variation over the business cycle and with the stance of monetary policy, and a tight relationship with the slope of the yield curve. Most importantly, variation in yield skewness has...
Persistent link: https://ebtypo.dmz1.zbw/10012584702
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Fundamental disagreement about monetary policy and the term structure of interest rates
Cao, Shuo; Crump, Richard K.; Eusepi, Stefano; Mönch, … - 2021 - Revised August 2021
Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds....
Persistent link: https://ebtypo.dmz1.zbw/10012249767
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Inflation expectations in the U.S. : linking markets, households, and businesses
Williams, Peter D. - 2020
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Persistent link: https://ebtypo.dmz1.zbw/10012392558
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Monetary policy is not always systematic and data-driven : evidence from the yield curve
Bulíř, Aleš; Vlček, Jan - 2020
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Persistent link: https://ebtypo.dmz1.zbw/10012170089
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Credit growth, the yield curve and financial crisis prediction : evidence from a machine learning approach
Bluwstein, Kristina; Buckmann, Marcus; Joseph, Andreas; … - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012202963
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Natural yield curve : the case of Indonesia
Bary, Pakasa; Affandi, Yoga; Harahap, Berry A.; … - In: Contemporary economics 14 (2020) 2, pp. 182-200
The purpose of this study is to estimate the natural yield curve for an emerging economy, with Indonesia as a case study. The estimation is done by a two-stage approach, namely, the decomposition of the yield curve component through a dynamic Nelson-Siegel model, the results of which are then...
Persistent link: https://ebtypo.dmz1.zbw/10012237403
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A comparison of Fed "tightening" episodes since the 1980s
Kliesen, Kevin L. - 2020
Deciding to undertake a series of tightening actions present unique challenges for Federal Reserve policymakers. These challenges are both political and economic. Using a variety of economic and financial market metrics, this article examines how the economy and financial markets evolved in...
Persistent link: https://ebtypo.dmz1.zbw/10012216728
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Do local and global factors impact the emerging markets's sovereign yield curves? : evidence from a data-rich environment
Çepni, Oğuzhan; Güney, Ethem; Küçüksaraç, Doruk; … - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012939732
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A measure of Turkey's sovereign and banking sector credit risk : asset swap spreads
Kazdal, Abdullah; Korkmaz, Halil İbrahim; … - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012939794
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Macroprudential policy, monetary policy and the bank interest rate margin
Davis, E. Philip; Karim, Dilruba; Noel, Dennison - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012669073
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Shall we twist?
Altermatt, Sophie; Beyeler, Simon - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012299420
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Effects of Banco de la Republica's communication on the yield curve
Melo-Velandia, Luis Fernando; Ospina-Tejeiro, Juan J.; … - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012546621
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What drives the nominal yield curve in Brazil?
Fernandes, Marcelo; Nunes, Clemens; Reis, Yuri - In: Brazilian review of econometrics : BRE ; the review of … 40 (2020) 2, pp. 267-284
Persistent link: https://ebtypo.dmz1.zbw/10012617013
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Autoencoder-based three-factor model for the yield curve of Japanese government bonds and a trading strategy
Suimon, Yoshiyuki; Sakaji, Hiroki; Izumi, Kiyoshi; … - In: Journal of risk and financial management : JRFM 13 (2020) 4/82, pp. 1-21
Interest rates are representative indicators that reflect the degree of economic activity. The yield curve, which combines government bond interest rates by maturity, fluctuates to reflect various macroeconomic factors. Central bank monetary policy is one of the significant factors influencing...
Persistent link: https://ebtypo.dmz1.zbw/10012302728
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The Term Structure of Interest Rates in a Heterogeneous Monetary Union
Costain, James; Nuño, Galo; Thomas, Carlos - 2022
We build a no-arbitrage model of the yield curves in a heterogeneous monetary union with sovereign default risk, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure solution, and decompose yields into term premium and...
Persistent link: https://ebtypo.dmz1.zbw/10013353456
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A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound
Opschoor, Daan; van der Wel, Michel - 2022
We propose a smooth shadow-rate version of the dynamic Nelson-Siegel (DNS) model to analyze the term structure of interest rates during the recent zero lower bound (ZLB) period. By relaxing the no-arbitrage restriction, our shadow-rate model becomes highly tractable with a closed-form yield...
Persistent link: https://ebtypo.dmz1.zbw/10013356467
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Intermediary balance sheets and the treasury yield curve
Du, Wenxin; Hébert, Benjamin; Li, Wenhao - 2022
We have documented a regime change in the U.S. Treasury market post-Global Financial Crisis (GFC). We first derived bounds on Treasury yields that account for dealer balance sheet costs, which we call the net short and net long curves. We show that actual Treasury yields moved from the net short...
Persistent link: https://ebtypo.dmz1.zbw/10013432953
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Deep calibration of financial models : turning theory into practice
Büchel, Patrick; Kratochwil, Michael; Nagl, Maximilian; … - In: Review of derivatives research 25 (2022) 2, pp. 109-136
Persistent link: https://ebtypo.dmz1.zbw/10013457606
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A state space modeling for proactive management in equity investment
Takahashi, Akihiko; Takahashi, Soichiro - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013461309
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Issuing bonds during the Covid-19 pandemic : is there an ESG premium?
Ferriani, Fabrizio - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013465226
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Constructing fan charts from the ragged edge of SPF forecasts
Clark, Todd E.; Ganics, Gergely; Mertens, Elmar - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013467069
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What is the predictive value of SPF point and density forecasts?
Clark, Todd E.; Ganics, Gergely; Mertens, Elmar - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013467076
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Normalizing the central bank's balance sheet : implications for inflation and debt dynamics
Domínguez, Begoña; Gomis-Porqueras, Pedro - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013465966
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Mortgage-backed securities
Fuster, Andreas; Lucca, David O.; Vickery, James - 2022
This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of mortgage securitization. We also assemble...
Persistent link: https://ebtypo.dmz1.zbw/10013161874
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Analysing the spillover effects of the South African Reserve Bank's bond purchase programme
Choudhary, Rhea - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013162496
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EME Bond Portfolio Flows and Long-Term Interest Rates during the COVID-19 Pandemic
Hördahl, Peter; Shim, Ilhyock - 2022
Bond portfolio outflows from emerging market economies (EMEs) are typically associated with currency depreciation and rising domestic long-term interest rates. This relationship asserted itself in a particularly stark way during the Covid-19 crisis in mid-March 2020. The impact of bond portfolio...
Persistent link: https://ebtypo.dmz1.zbw/10013305600
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Term Structure Modelling With Overnight Rates Beyond Stochastic Continuity
Fontana, Claudio; Grbac, Zorana; Schmidt, Thorsten - 2022
In the current reform of interest rate benchmarks, a central role is played by risk-free rates (RFRs), such as SOFR (secured overnight financing rate) in the US. A key feature of RFRs is the presence of jumps and spikes at periodic time intervals as a result of regulatory and liquidity...
Persistent link: https://ebtypo.dmz1.zbw/10013305614
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Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Yaya, … - 2022
This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the period 1962-2021 using two different fractional integration approaches including Chebyshev polynomials and Fourier functions respectively. The results for both quarterly and...
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