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Documents ECB-Long-Horizon Yield Curve Forecasts-Comparison of Semi-Parametric and Parametric Approaches

Long-Horizon Yield Curve Forecasts: Comparison of Semi-Parametric and Parametric Approaches Ken Nyholm∗ and Riccardo Rebonato+ ∗ European Central Bank, Risk Management…

Documents Interest rate models: from theory to practice Ka Lok Chau HKUST, June 2005.

Slide 1 Interest rate models: from theory to practice Ka Lok Chau HKUST, June 2005 Slide 2 2 Popular models still being used Black, Derman and Toy (1989) Hull and White (1993)…

Documents Luciano Vereda 1 Eduardo Bevilaqua 1 Ana Luiza Abrão 1 Adapting the Diebold and Li Methodology to.....

Adapting the Diebold and Li Methodology to Deal with Heteroskedasticity in Factor Dynamics Luciano Vereda1 Eduardo Bevilaqua1 Ana Luiza Abrão1 1 IAPUC (Institute for Financial…

Documents Relative Value Methodologies for Global Credit Bond Portfolio Management

1 READING 24: RELATIVE-VALUE METHODOLOGIES FOR GLOBAL CREDIT BOND PORTFOLIO MANAGEMENT A- Credit Relative Value Analysis Managers need to begin with an analytical framework…