Zobrazeno 1 - 2
of 2
pro vyhledávání: '"Tomasz P. Kostyra"'
Autor:
Tomasz P. Kostyra
Publikováno v:
Gospodarka Narodowa. The Polish Journal of Economics, Vol 310, Iss 2, Pp 44-56 (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. This paper presents yield curve modelling using the Nelson-Siege
Externí odkaz:
https://doaj.org/article/fb280eafd77142048ee5a0ea48af687c
Autor:
Tomasz Piotr Kostyra, Michał Rubaszek
Publikováno v:
Econometric Research in Finance, Vol 5, Iss 2 (2020)
ABSTRACT: This paper evaluates the accuracy of forecasts for Polish interest rates of various maturities. We apply the traditional autoregressive Diebold-Li framework as well as its extension, in which the dynamics of latent factors are explained wit
Externí odkaz:
https://doaj.org/article/dccd6096a1c84151905167226bbb6c52