Term structure modelling with observable state variables
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DOI: 10.1016/j.jbankfin.2011.05.004
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"Bayesian extensions to Diebold-Li term structure model,"
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- Laurini, Márcio P. & Caldeira, João F., 2016. "A macro-finance term structure model with multivariate stochastic volatility," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 68-90.
- Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018.
"Change Detection and the Causal Impact of the Yield Curve,"
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- Stan Hurn & Peter C B Phillips & Shuping Shi, 2015. "Change Detection and the Casual Impact of the Yield Curve," NCER Working Paper Series 107, National Centre for Econometric Research.
- Stan Hurn & Peter C. B. Phillips & Shu-Ping Shi, 2016. ""Change Detection and the Causal Impact of the Yield Curve," Cowles Foundation Discussion Papers 2058, Cowles Foundation for Research in Economics, Yale University.
- Henri Nyberg, 2018. "Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(1), pages 1-15, January.
- Almeida, Caio & Vicente, José, 2008.
"The role of no-arbitrage on forecasting: Lessons from a parametric term structure model,"
Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2695-2705, December.
- Almeida, Caio Ibsen Rodrigues de & Vicente, José, 2007. "The role of no-arbitrage on forecasting: lessons from a parametric term structure model," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 657, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Nunes, Clemens Vinicius & Doi, Jonas & Fernandes, Marcelo, 2017.
"Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil,"
Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 37(1), May.
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- Yifeng Yan & Ju'e Guo, 2015. "The Sovereign Yield Curve and the Macroeconomy in China," Pacific Economic Review, Wiley Blackwell, vol. 20(3), pages 415-441, August.
- Koo, B. & La Vecchia, D. & Linton, O., 2019. "Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information," Cambridge Working Papers in Economics 1916, Faculty of Economics, University of Cambridge.
- Caio Almeida & Romeu Gomes & André Leite & Axel Simonsen & José Vicente, 2009.
"Does Curvature Enhance Forecasting?,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(08), pages 1171-1196.
- Caio Almeida & Romeu Gomes & André Leite & José Vicente, 2007. "Does Curvature Enhance Forecasting?," Working Papers Series 155, Central Bank of Brazil, Research Department.
- Almeida, Caio & Gomes, Romeu & Leite, André & Vicente, José, 2008.
"Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial,"
Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 62(4), December.
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- Leite, André Luís & Filho, Romeu Braz Pereira Gomes & Vicente, José Valentim Machado, 2010. "Forecasting the yield curve: A statistical model with market survey data," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 108-112, March.
- Koo, Bonsoo & La Vecchia, Davide & Linton, Oliver, 2021.
"Estimation of a nonparametric model for bond prices from cross-section and time series information,"
Journal of Econometrics, Elsevier, vol. 220(2), pages 562-588.
- Bonsoo Koo & Davide La Vecchia & Oliver Linton, 2020. "Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information," Monash Econometrics and Business Statistics Working Papers 4/20, Monash University, Department of Econometrics and Business Statistics.
- Fernandes, Marcelo & Thiele, Eduardo, 2015. "The Macroeconomic Determinants of the Term Structure of Inflation Expectations in Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 35(1), October.
- Michiel De Pooter, 2007. "Examining the Nelson-Siegel Class of Term Structure Models," Tinbergen Institute Discussion Papers 07-043/4, Tinbergen Institute.
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More about this item
Keywords
Term structure; Interest rates; Yield curve estimation;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
Statistics
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