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An Econometric Model of the Yield Curve with Macroeconomic Jump Effects
Macroeconomic Jump Effects Yield Curve
2015/7/23
This paper develops an arbitrage-free time-series model of yields in continuous time
that incorporates central bank policy. Policy-related events, such as FOMC meetings
and releases of macroeconomic...
Macroeconomic Phase Transitions Detected from the Dow Jones Industrial Average Time Series
DJI macroeconomic cycle phase transitions segmentation clustering
2010/11/1
In this paper, we perform statistical segmentation and clustering analysis of the Dow Jones Industrial Average time series between January 1997 and August 2008.Modeling the index movements and log-ind...
Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities in the UK
Asset pricing risk premium macroeconomic volatility stochastic discount factor model
2010/9/7
This paper uses the exponential GARCH-in-mean model to analyse the relationship between the equity risk premium and macroeconomic volatility. This premium depends upon conditional volatility, which is...