Affine arbitrage-free yield net models with application to the euro debt crisis

DOI10.1016/j.jeconom.2021.11.002OpenAlexW3216170368MaRDI QIDQ2155317

Zhiwu Hong, Linlin Niu, Chen Zhang

Publication date: 15 July 2022

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

Full work available at URL: https://econpapers.repec.org/RePEc:wyi:wpaper:002392

zbMATH Keywords

term structure modelsliquidity riskEuropean debt crisissovereign credit riskNelson-Siegel factors

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Forecasting the term structure of government bond yields
• Mutual excitation in Eurozone sovereign CDS
• The affine arbitrage-free class of Nelson-Siegel term structure models
• Estimating the dimension of a model
• Specification tests based on MCMC output
• Bayesian inference in a stochastic volatility Nelson-Siegel model
• Modelling and forecasting government bond spreads in the euro area: a GVAR model
• A Theory of the Term Structure of Interest Rates
• Analysis of Multifactor Affine Yield Curve Models
• Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks*
• An equilibrium characterization of the term structure
• Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads*

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