No‐arbitrage priors, drifting volatilities, and the term structure of interest rates-Reference-Cited by-同舟云学术

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No‐arbitrage priors, drifting volatilities, and the term structure of interest rates

Published:2021-07-10 Issue:5 Volume:36 Page:495-516
ISSN:0883-7252
Container-title:Journal of Applied Econometrics
language:en
Short-container-title:J of Applied Econometrics

Author:

Carriero Andrea¹²,Clark Todd E.³,Marcellino Massimiliano⁴

Affiliation:

1. Department of Economics Queen Mary, University of London London UK

2. Department of Economics University of Bologna Bologna Italy

3. Research Department Federal Reserve Bank of Cleveland Cleveland Ohio USA

4. Department of Economics Bocconi University, IGIER and CEPR Milan Italy

Publisher

Wiley

Subject

Economics and Econometrics,Social Sciences (miscellaneous)

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/jae.2828

Reference57 articles.

1. Forecasting Performance of an Open Economy DSGE Model

2. The role of no-arbitrage on forecasting: Lessons from a parametric term structure model

3. Comparing Density Forecasts via Weighted Likelihood Ratio Tests

4. Monetary Policy Shifts and the Term Structure

5. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors;Journal of Time Series Analysis;2024-09-09

2. General Bayesian time‐varying parameter vector autoregressions for modeling government bond yields;Journal of Applied Econometrics;2022-10-05

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