4 datasets found

We study the effect of parameter uncertainty on the long-run risk for three asset classes: stocks, bills and bonds. Using a Bayesian vector autoregression with an uninformative...

We introduce longitudinal factor analysis (LFA) to extract the common risk-free (CRF) rate from a sample of sovereign bonds of countries in a monetary union. Since LFA exploits...

We consider forecasting the term structure of interest rates with the assumption that factors driving the yield curve are stationary around a slowly time-varying mean or...

We estimate versions of the Nelson-Siegel model of the yield curve of US government bonds using a Markov switching latent variable model that allows for discrete changes in the...