Affine arbitrage-free yield net models with application to the euro debt crisis

DOI10.1016/j.jeconom.2021.11.002MaRDI QIDQ2155317

Linlin Niu, Chen Zhang, Zhiwu Hong

Publication date: 15 July 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://econpapers.repec.org/RePEc:wyi:wpaper:002392

zbMATH Keywords

term structure models; liquidity risk; European debt crisis; sovereign credit risk; Nelson-Siegel factors

Mathematics Subject Classification ID

62-XX: Statistics

91-XX: Game theory, economics, finance, and other social and behavioral sciences