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Estimation of Factors for Term Structures with Dependence Clusters

https://doi.org/10.2139/ssrn.1420773
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/j.ijforecast.2010.04.002openalex-extracted
Forecasting the term structures of Treasury and corporate yields using dynamic Nelson-Siegel models
inferredcites →https://doi.org/10.1016/j.jeconom.2005.01.011openalex-extracted
The macroeconomy and the yield curve: a dynamic latent factor approach
inferredcites →https://doi.org/10.1016/j.physa.2003.10.019openalex-extracted
Long-term fixed income market structure
inferredcites →https://doi.org/10.1016/j.physa.2004.03.041openalex-extracted
An interest rates cluster analysis
inferredcites →https://doi.org/10.1016/s0378-4371(02)00590-3openalex-extracted
Statistical analysis of fixed income market
inferredcites →https://doi.org/10.1080/09603100010018759openalex-extracted
The effect of interest rate volatility on treasury yields
inferredcites →https://doi.org/10.1080/0960310042000280429openalex-extracted
A simple graphical method to explore tail-dependence in stock-return pairs
inferredcites →https://doi.org/10.1086/296409openalex-extracted
Parsimonious Modeling of Yield Curves
inferredcites →https://doi.org/10.1093/biomet/72.2.253openalex-extracted
Chi-Plots for Assessing Dependence
inferredcites →https://doi.org/10.1111/1467-9957.65.s.1openalex-extracted
Two Factors Along the Yield Curve
inferredcites →https://doi.org/10.1111/1540-6261.00426openalex-extracted
Term Premia and Interest Rate Forecasts in Affine Models
inferredcites →https://doi.org/10.1198/000313001317098248openalex-extracted
Graphical Assessment of Dependence
inferredcites →https://doi.org/10.1198/0003130032431openalex-extracted
Detecting Dependence With Kendall Plots
inferredcites →https://doi.org/10.1198/jbes.2009.07295openalex-extracted
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters
inferredcites →https://doi.org/10.2139/ssrn.1068861openalex-extracted
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-Varying Parameters
inferredcites →https://doi.org/10.2139/ssrn.325300openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.562503openalex-extracted
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
inferredcites →https://doi.org/10.2139/ssrn.660962openalex-extracted
Yield Curve Prediction for the Strategic Investor
inferredcites →https://doi.org/10.2139/ssrn.910218openalex-extracted
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration
inferredcites →https://doi.org/10.2139/ssrn.992748openalex-extracted
Examining the Nelson-Siegel Class of Term Structure Models: In-Sample Fit versus Out-of-Sample Forecasting Performance
inferredcites →https://doi.org/10.2307/1392185openalex-extracted
Comparing Predictive Accuracy
inferredcites →https://doi.org/10.2307/2336078openalex-extracted
inferredcites →https://doi.org/10.3386/t0169openalex-extracted
Comparing Predictive Accuracy
inferredcites →https://doi.org/10.3386/w10616openalex-extracted
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
inferredcites →https://doi.org/10.3386/w4676openalex-extracted
Reverse Engineering the Yield Curve
inferredcites →https://doi.org/10.3386/w4871openalex-extracted
Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994
inferredcites →https://doi.org/10.3905/jfi.2005.523089openalex-extracted
Predictability in the Shape of the Term Structure of Interest Rates
inferredcites →https://doi.org/10.4337/9781781950500.00014openalex-extracted
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration
inferredcites →https://doi.org/10.1002/for.1239openalex-snapshot
Nelson–Siegel, Affine and Quadratic Yield Curve Specifications: Which One is Better at Forecasting?
inferredcites →https://doi.org/10.1016/j.jeconom.2005.03.005openalex-snapshot
Forecasting the Term Structure of Government Bond Yields
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