Affine arbitrage-free yield net models with application to the euro debt crisis (Q2155317): Difference between revisions

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+W3216170368
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+Mutual excitation in Eurozone sovereign CDS
@@ Property / cites work: Mutual excitation in Eurozone sovereign CDS / rank @@
+Normal rank
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+Analysis of Multifactor Affine Yield Curve Models
@@ Property / cites work: Analysis of Multifactor Affine Yield Curve Models / rank @@
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+The affine arbitrage-free class of Nelson-Siegel term structure models
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+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
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+Forecasting the term structure of government bond yields
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+Modelling and forecasting government bond spreads in the euro area: a GVAR model
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+Bayesian inference in a stochastic volatility Nelson-Siegel model
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+Specification tests based on MCMC output
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+Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks*
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+Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads*
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+Estimating the dimension of a model
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+An equilibrium characterization of the term structure
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