Affine arbitrage-free yield net models with application to the euro debt crisis
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Publication:2155317
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
term structure models; liquidity risk; European debt crisis; sovereign credit risk; Nelson-Siegel factors