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

DOI10.1016/J.JECONOM.2011.12.005zbMATH Open1443.62358OpenAlexW3125524825MaRDI QIDQ528018FDOQ528018

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

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

Cites Work

A theory of the term structure of interest rates
Conditional Heteroskedasticity in Asset Returns: A New Approach
A YIELD‐FACTOR MODEL OF INTEREST RATES
Asymptotic nonequivalence of GARCH models and diffusions
Title not available (Why is that?)
Reconsidering the continuous time limit of the GARCH(1,1) process
Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
Design and Estimation of Multi-Currency Quadratic Models*

Cited In (21)

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
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The real risk in pension forecasting
The matching of lead underwriters and issuing firms in the Japanese corporate bond market
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Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
Quality options and hedging in Japanese government bond futures markets
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Generalized Nelson–Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?
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A quadratic Kalman filter
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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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