A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration
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- Francis X. Diebold & Lei Ji & Canlin Li, 2006. "A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration," Chapters,in: Long-run Growth and Short-run Stabilization, chapter 9 Edward Elgar Publishing.
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Citations
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Cited by:
- Coroneo, Laura & Nyholm, Ken & Vidova-Koleva, Rositsa, 2011.
"How arbitrage-free is the Nelson-Siegel model?,"
Journal of Empirical Finance,
Elsevier, vol. 18(3), pages 393-407, June.
- Coroneo, Laura & Nyholm, Ken & Vidova-Koleva, Rositsa, 2008. "How arbitrage-free is the Nelson-Siegel Model?," Working Paper Series 874, European Central Bank.
- Baek, Seungho & Bilson, John F.O., 2015. "Size and value risk in financial firms," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 295-326.
- Leo Krippner, 2009.
"A theoretical foundation for the Nelson and Siegel class of yield curve models,"
Reserve Bank of New Zealand Discussion Paper Series
DP2009/10, Reserve Bank of New Zealand.
- Leo Krippner, 2012. "A theoretical foundation for the Nelson and Siegel class of yield curve models," CAMA Working Papers 2012-11, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Gimeno, Ricardo & Nave, Juan M., 2009. "A genetic algorithm estimation of the term structure of interest rates," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2236-2250, April.
- Md Akhtaruzzaman & Paul Docherty & Abul Shamsuddin, 2014. "Interest rate, size and book-to-market effects in Australian financial firms," Applied Economics, Taylor & Francis Journals, vol. 46(25), pages 3005-3020, September.
- repec:taf:applec:v:49:y:2017:i:19:p:1855-1874 is not listed on IDEAS
More about this item
Keywords
Term structure; Yield curve; Factor model; Risk Management;JEL classification:
- G1 - Financial Economics - - General Financial Markets
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2006-06-24 (All new papers)
- NEP-FIN-2006-06-24 (Finance)
- NEP-FMK-2006-06-24 (Financial Markets)
- NEP-FOR-2006-06-24 (Forecasting)
- NEP-MAC-2006-06-24 (Macroeconomics)
- NEP-RMG-2006-06-24 (Risk Management)
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