From bond yield to macroeconomic instability: a parsimonious affine model
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Cites work
- A calibration procedure for analyzing stock price dynamics in an agent-based framework
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A stochastic algorithm for constrained global optimization
- A theory of the term structure of interest rates
- An explicitly solvable Heston model with stochastic interest rate
- An overview of composite likelihood methods
- Box-constrained multi-objective optimization: A gradient-like method without ``a priori scalarization
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Closed-form likelihood expansions for multivariate diffusions
- Density approximations for multivariate affine jump-diffusion processes
- Estimating jump-diffusions using closed-form likelihood expansions
- Finite dimensional affine realisations of HJM models in terms of forward rates and yields
- Forecasting the term structure of government bond yields
- Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach
- Growth and convergence of the OECD countries: a multi-sector production-frontier approach
- scientific article; zbMATH DE number 3814037 (Why is no real title available?)
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Maximum-likelihood estimation for diffusion processes via closed-form density expansions
- Nonlinear manifold learning for early warnings in financial markets
- On the approximate maximum likelihood estimation for diffusion processes
- The affine arbitrage-free class of Nelson-Siegel term structure models
- The macroeconomy and the yield curve: a dynamic latent factor approach
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Yield curve modeling and forecasting. The dynamic Nelson-Siegel approach
Cited in
(5)- Macroeconomic environment, money demand and portfolio choice
- Mildly explosive dynamics in U.S. fixed income markets
- The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications
- Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators
- A new bivariate approach for modeling the interaction between stock volatility and interest rate: an application to S\&P500 returns and options
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