Term structure models and the zero bound: an empirical investigation of Japanese yields

DOI10.1016/J.JECONOM.2011.12.005MaRDI QIDQ528018zbMATH OpenOpenAlexFDO

Authors Don H. Kim, Kenneth J. Singleton

Publication date 12 May 2017

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

Full work available at URL http://www.sciencedirect.com/science/article/pii/S0304407612001352

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 5145313 (Why is no real title available?)
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A theory of the term structure of interest rates
• Asymptotic nonequivalence of GARCH models and diffusions
• Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Design and Estimation of Multi-Currency Quadratic Models*
• Reconsidering the continuous time limit of the GARCH(1,1) process

Cited in

(25)

• The SR approach: a new estimation procedure for non-linear and non-Gaussian dynamic term structure models
• Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
• Monetary reforms and inflation expectations in Japan: evidence from inflation-indexed bonds
• The influence of shock signals on the change in volatility term structure
• Term structure analysis with big data: one-step estimation using bond prices
• The real risk in pension forecasting
• The matching of lead underwriters and issuing firms in the Japanese corporate bond market
• Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
• Quality options and hedging in Japanese government bond futures markets
• European spreads at the interest rate lower bound
• Empirically effective bond pricing model and analysis on term structures of implied interest rates in financial crisis
• Dynamics of the term structure of interest rates and monetary policy: is monetary policy effective during zero interest rate policy?
• Analysis of Markov chain approximation for diffusion models with nonsmooth coefficients
• Restrictions on Risk Prices in Dynamic Term Structure Models
• A term structure interest rate model with the Brownian bridge lower bound
• Staying at zero with affine processes: an application to term structure modelling
• Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate
• A quadratic Kalman filter
• Generalized Nelson-Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?
• Age-dependent robust strategic asset allocation with inflation-deflation hedging demand
• Dynamic term structure models using principal components analysis near the zero lower bound
• A model of the euro-area yield curve with discrete policy rates
• What model for the target rate
• Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model
• Scenario generation for long run interest rate risk assessment

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