Local-momentum autoregression and the modeling of interest rate term structure

DOI10.1016/J.JECONOM.2016.05.012zbMath1443.91308OpenAlexW2181395495MaRDI QIDQ308389

Jin-Chuan Duan

Publication date: 6 September 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.05.012

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites Work

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• Estimating the structural credit risk model when equity prices are contaminated by trading noises
• Identification and estimation of Gaussian affine term structure models
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Testable implications of affine term structure models
• A Theory of the Term Structure of Interest Rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Mixture Kalman Filters
• An equilibrium characterization of the term structure

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