Mildly Explosive Dynamics in U.S. Fixed Income Markets
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- Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2020. "Mildly explosive dynamics in U.S. fixed income markets," European Journal of Operational Research, Elsevier, vol. 287(2), pages 712-724.
- Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2017. "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Globalization Institute Working Papers 324, Federal Reserve Bank of Dallas.
- Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2020. "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Working Papers 667, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
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Cited by:
- Contessi, Silvio & De Pace, Pierangelo, 2020. "The International Spread of COVID-19 Stock Market Collapses," Economics Department, Working Paper Series 1013, Economics Department, Pomona College, revised 25 Jun 2020.
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More about this item
Keywords
finance; investment analysis; fixed income markets; yield spreads; mildly explosive behavior;All these keywords.
JEL classification:
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G01 - Financial Economics - - General - - - Financial Crises
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2019-06-10 (Econometric Time Series)
- NEP-FMK-2019-06-10 (Financial Markets)
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