From bond yield to macroeconomic instability: a parsimonious affine model

DOI10.1016/j.ejor.2017.04.042zbMath1376.91167OpenAlexW2608469418MaRDI QIDQ1683157

Gabriele Tedeschi, Maria Cristina Recchioni

Publication date: 6 December 2017

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10234/168198

zbMATH Keywords

financestochastic volatility modelearly warning indicatoryield dynamics in the Eurozoneyield forecasting

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

Macroeconomic environment, money demand and portfolio choice ⋮ Mildly explosive dynamics in U.S. fixed income markets ⋮ The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications

Cites Work

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