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Recovering Yield Curves from Dynamic Term Structure Models with Time-Varying Factors [PDF]
Stats, 2020 A dynamic version of the Nelson-Siegel-Svensson term structure model with time-varying factors is considered for predicting out-of-sample maturity yields. Simple linear interpolation cannot be applied to recover yields at the very short- and long- end of
Hiroyuki Kawakatsu
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The Journal of Portfolio Management, 1992 We investigate the efficacy of riding the yield curve. This strategy dictates holding longer-term treasury bills when the yield curve is upwardsloping. We find that the strategy is surprisingly effective. it stochastically dominates buying and holding shorter-term bills for large subperiods, and nearly dominates for the entire sample period, 1949-1988.
Robin Grieves, Alan J. Marcus
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Predictive power of yield curve – Evidence from India
IIMB Management Review, 2022 In this paper, we explore the predictive ability of the slope of the sovereign (government) yield curve for the Indian market. Instead of simply showing the predictive power of the yield curve, an attempt has been made to compare the predictive power of ...
Geetima Das Krishna, Biswajit Nag
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US and EA yield curve persistence during the COVID-19 pandemic. [PDF]
Financ Res Lett, 2022 Papailias F.
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Analysis of government bonds and prediction of their development after the pandemic caused by COVID-19 [PDF]
SHS Web of Conferences, 2021 This paper describes the current state of the government bond market and predicts the future development of government bond yields using the yield curve to bond maturity, spot yield curve, credit rating and simple prediction.
Suler Petr, Polan Vaclav
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Bond yield curve construction [PDF]
Bankarstvo, 2014 In the broadest sense, yield curve indicates the market's view of the evolution of interest rates over time. However, given that cost of borrowing it closely linked to creditworthiness (ability to repay), different yield curves will apply to different ...
Kožul Nataša
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MODELING OF BOND YIELD CURVE USING CUBIC BEZIER CURVE
Barekeng, 2022 Investors attracted to Bond have to analyze the Bond yield curve. In this study, the bond yield curve is modeled using a cubic bezier curve. The cubic bezier curve is flexible, precise, and simple to use and evaluate.
Emy Siswanah
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Journal of Advances in Modeling Earth Systems, 2023 Most viscous‐plastic sea ice models use the elliptical yield curve. This yield curve has a fundamental flaw: it excludes acute angles between deformation features at high resolution.
Damien Ringeisen +2 more
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Yield Curve Modelling with the Nelson-Siegel Method for Poland
Gospodarka Narodowa. The Polish Journal of Economics, 2022 Yield curve modelling is an essential task for the governance of the modern economy and in particular for financial market participants, and hence it is an extensively researched topic.
Tomasz P. Kostyra
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The effect of Euribor on banking profitability: evidence from the Spanish banking system
European Journal of Government and Economics, 2021 This paper studies the relationship between the Euribor rate and the return on average assets (ROAA) of the Spanish banking sector. We use quarterly time series data for the period 1995-2016.
DAVID BOTO-GARCIA +2 more
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