Mildly explosive dynamics in U.S. fixed income markets

DOI10.1016/J.EJOR.2020.03.053MaRDI QIDQ2023952zbMATH OpenOpenAlexFDO

Authors Silvio Contessi, Pierangelo De Pace, Massimo Guidolin

Publication date 3 May 2021

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://scholarship.claremont.edu/cgi/viewcontent.cgi?article=1001&context=pomona_fac_econ

zbMATH Keywords

financefixed income marketsinvestment analysismildly explosive behavioryield spreads

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• Bank Runs, Deposit Insurance, and Liquidity
• Bubble detection and sector trading in real time
• Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
• Dating the timeline of financial bubbles during the subprime crisis
• Early warning on stock market bubbles via methods of optimization, clustering and inverse problems
• Econometric issues in the analysis of contagion
• Empirical modelling of contagion: a review of methodologies
• From bond yield to macroeconomic instability: a parsimonious affine model
• Funding, repo and credit inclusive valuation as modified option pricing
• How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule
• Implications of implicit credit spread volatilities on interest rate modelling
• Modelling credit spreads with time volatility, skewness, and kurtosis
• Nonlinear manifold learning for early warnings in financial markets
• Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500

Cited in

(1)

• Diversification benefits in the cryptocurrency market under mild explosivity

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