Mildly explosive dynamics in U.S. fixed income markets
From MaRDI portal
Publication:2023952
DOI10.1016/j.ejor.2020.03.053zbMath1487.62135OpenAlexW2746463490MaRDI QIDQ2023952
Silvio Contessi, Massimo Guidolin, Pierangelo De Pace
Publication date: 3 May 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://scholarship.claremont.edu/cgi/viewcontent.cgi?article=1001&context=pomona_fac_econ
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Related Items (1)
Cites Work
- Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
- How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule
- Econometric issues in the analysis of contagion
- Modelling credit spreads with time volatility, skewness, and kurtosis
- From bond yield to macroeconomic instability: a parsimonious affine model
- Implications of implicit credit spread volatilities on interest rate modelling
- Early warning on stock market bubbles via methods of optimization, clustering and inverse problems
- Funding, repo and credit inclusive valuation as modified option pricing
- Nonlinear manifold learning for early warnings in financial markets
- Dating the timeline of financial bubbles during the subprime crisis
- Bank Runs, Deposit Insurance, and Liquidity
- Bubble detection and sector trading in real time
- Empirical modelling of contagion: a review of methodologies
- TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
This page was built for publication: Mildly explosive dynamics in U.S. fixed income markets
