Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach

DOI10.1016/J.JECONOM.2008.08.017MaRDI QIDQ299229zbMATH OpenOpenAlexFDO

Authors Francis X. Diebold, Canlin Li, Vivian Z. Yue

Publication date 22 June 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2008.08.017

zbMATH Keywords

term structuredynamic factor modelinterest ratebond marketglobal yieldworld yield

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Bayes inference in regression models with ARMA\((p,q)\) errors
• Forecasting the term structure of government bond yields
• Marginal Likelihood from the Gibbs Output
• On Gibbs sampling for state space models
• The macroeconomy and the yield curve: a dynamic latent factor approach

Cited in

(9)

• Shape factors and cross-sectional risk
• Shrinkage Estimation of Factor Models With Global and Group-Specific Factors
• The Evolving Impact of Global, Region-Specific, and Country-Specific Uncertainty
• Term structure of interest rates estimation using rational Chebyshev functions
• From bond yield to macroeconomic instability: a parsimonious affine model
• Autoregressive models for matrix-valued time series
• Sovereign bond market shock spillover over different maturities: a journey from normal to Covid-19 period
• Ab initio yield curve dynamics
• Robust term structure estimation in developed and emerging markets

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