Pages that link to "Item:Q737987"
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The following pages link to The affine arbitrage-free class of Nelson-Siegel term structure models (Q737987):
Displaying 38 items.
- Estimation of a nonparametric model for bond prices from cross-section and time series information (Q104342) (← links)
- An explicitly solvable Heston model with stochastic interest rate (Q320946) (← links)
- Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates (Q439703) (← links)
- Adaptive dynamic Nelson-Siegel term structure model with applications (Q469578) (← links)
- Identification and estimation of Gaussian affine term structure models (Q527947) (← links)
- Can home-owners benefit from stochastic programming models? A study of mortgage choice in Denmark (Q744251) (← links)
- Scenario generation for long run interest rate risk assessment (Q1676381) (← links)
- From bond yield to macroeconomic instability: a parsimonious affine model (Q1683157) (← links)
- Term structure forecasting in affine framework with time-varying volatility (Q1697871) (← links)
- Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions (Q1707543) (← links)
- How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models? (Q2033711) (← links)
- Monetary reforms and inflation expectations in Japan: evidence from inflation-indexed bonds (Q2106372) (← links)
- Alternative way to derive the distribution of the multivariate Ornstein-Uhlenbeck process (Q2114279) (← links)
- Arbitrage-free Nelson-Siegel model for multiple yield curves (Q2120601) (← links)
- Affine arbitrage-free yield net models with application to the euro debt crisis (Q2155317) (← links)
- Fundamental bubbles in equity markets (Q2156535) (← links)
- Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective (Q2189908) (← links)
- The effects of conventional and unconventional monetary policy on forecasting the yield curve (Q2291799) (← links)
- Regime switching affine processes with applications to finance (Q2308173) (← links)
- Term structure analysis with big data: one-step estimation using bond prices (Q2323364) (← links)
- Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models (Q2338517) (← links)
- Estimation of affine term structure models with spanned or unspanned stochastic volatility (Q2343761) (← links)
- A modified arbitrage-free Nelson-Siegel model: an alternative affine term structure model of interest rates (Q2398584) (← links)
- Testable implications of affine term structure models (Q2511782) (← links)
- Some Remarks on the Nelson–Siegel Model (Q3300638) (← links)
- CONSISTENT YIELD CURVE PREDICTION (Q4563766) (← links)
- The real risk in pension forecasting (Q4585946) (← links)
- Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations (Q4586318) (← links)
- Yield curve forecast combinations based on bond portfolio performance (Q4687661) (← links)
- Bond flotation with exotic commodity collateral (Q4957249) (← links)
- Funding shortages, expectations, and forward rate risk premium (Q5092646) (← links)
- An innovative design of flexible, bequest-enhanced life annuity with natural hedging (Q5106335) (← links)
- Cohort and value-based multi-country longevity risk management (Q5123192) (← links)
- Dynamic functional data analysis with non-parametric state space models (Q5128569) (← links)
- Generalized Nelson–Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts? (Q5130203) (← links)
- Modeling the density of US yield curve using Bayesian semiparametric dynamic Nelson-Siegel model (Q5860977) (← links)
- Shock and awe? Bond yield responses to domestic monetary policy in a small-open economy (Q6047410) (← links)
- Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model (Q6154215) (← links)
