Term-structure estimation in markets with infrequent trading
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DOI: 10.1002/ijfe.317
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- Fernando A. Broner & Guido Lorenzoni & Sergio L. Schmukler, 2013.
"Why Do Emerging Economies Borrow Short Term?,"
Journal of the European Economic Association, European Economic Association, vol. 11, pages 67-100, January.
- Fernando Broner & Guido Lorenzoni & Sergio L. Schmukler, "undated". "Why Do Emerging Economies Borrow Short Term?," Working Papers 308, Barcelona School of Economics.
- Fernando Broner & Guido Lorenzoni & Sergio Schmuckler, 2006. "Why Do Emerging Economies Borrow Short Term?," 2006 Meeting Papers 841, Society for Economic Dynamics.
- Broner, Fernando A. & Lorenzoni, Guido & Schmukler, Sergio L., 2004. "Why do emerging economies borrow short term?," Policy Research Working Paper Series 3389, The World Bank.
- Fernando A. Broner & Guido Lorenzoni & Sergio L. Schmukler, 2007. "Why Do Emerging Economies Borrow Short Term?," NBER Working Papers 13076, National Bureau of Economic Research, Inc.
- Schmukler, Sergio & Broner, Fernando & Lorenzoni, Guido, 2007. "Why Do Emerging Economies Borrow Short Term?," CEPR Discussion Papers 6249, C.E.P.R. Discussion Papers.
- Fernando Broner & Guido Lorenzoni & Sergio L. Schmukler, 2003. "Why do emerging economies borrow short term?," Economics Working Papers 838, Department of Economics and Business, Universitat Pompeu Fabra, revised Dec 2011.
- Gonzalo Cortazar & Cristobal Millard & Hector Ortega & Eduardo S. Schwartz, 2016. "Commodity Price Forecasts, Futures Prices and Pricing Models," NBER Working Papers 22991, National Bureau of Economic Research, Inc.
- Alfaro, Rodrigo & Becerra, Juan Sebastian & Sagner, Andres, 2010. "Estimación de la estructura de tasas utilizando el modelo Dinámico Nelson Siegel: resultados para Chile y EEUU [The Dynamic Nelson-Siegel model: empirical results for Chile and US]," MPRA Paper 25912, University Library of Munich, Germany, revised 23 Jun 2010.
- Rodrigo Alfaro & Juan Sebastián Becerra, 2011. "Uso de la Aproximación TIR/Duración en la Estructura de Tasas: Resultados Cuantitativos Bajo Nelson - Siegel," Working Papers Central Bank of Chile 616, Central Bank of Chile.
- Gonzalo Cortazar & Simon Gutierrez & Hector Ortega, 2016. "Empirical Performance of Commodity Pricing Models: When is it Worthwhile to Use a Stochastic Volatility Specification?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(5), pages 457-487, May.
- Gonzalo Cortazar & Cristobal Millard & Hector Ortega & Eduardo S. Schwartz, 2019. "Commodity Price Forecasts, Futures Prices, and Pricing Models," Management Science, INFORMS, vol. 65(9), pages 4141-4155, September.
- Cifuentes, Sebastián & Cortazar, Gonzalo & Ortega, Hector & Schwartz, Eduardo S., 2020. "Expected prices, futures prices and time-varying risk premiums: The case of copper," Resources Policy, Elsevier, vol. 69(C).
- Cortazar, Gonzalo & Kovacevic, Ivo & Schwartz, Eduardo S., 2015. "Expected commodity returns and pricing models," Energy Economics, Elsevier, vol. 49(C), pages 60-71.
- Juan Andrés Espinosa Torres & Luis Fernando Melo Velandia & José Fernando Moreno Gutiérrez, 2014.
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- Juan Andrés Espinosa Torres & Luis Fernando Melo Velandia & José Fernando Moreno Gutiérrez, 2014. "Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano," Borradores de Economia 854, Banco de la Republica de Colombia.
- Cortazar, Gonzalo & Eterovic, Francisco, 2010. "Can oil prices help estimate commodity futures prices? The cases of copper and silver," Resources Policy, Elsevier, vol. 35(4), pages 283-291, December.
- Shigeyuki Hamori & Naoko Hamori, 2009. "International term structure of interest rates in the Euro area," Applied Economics Letters, Taylor & Francis Journals, vol. 16(11), pages 1113-1116.
- Cortazar, Gonzalo & Beuermann, Diether & Bernales, Alejandro, 2013. "Risk Management with Thinly Traded Securities: Methodology and Implementation," IDB Publications (Working Papers) 4647, Inter-American Development Bank.
- Sabit Khakimzhanov & Yerulan Mustafin & Olzhas Kubenbayev & Dulat Atabek, 2019. "Constructing a Yield Curve in a Market with Low Liquidity," Russian Journal of Money and Finance, Bank of Russia, vol. 78(4), pages 71-98, December.
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