Using micro-level data, we construct a credit spread index with considerable predictive
power for future economic activity. We decompose the credit spread into a component that …

This paper examines the static and dynamic connectedness (returns and volatility) between
the components of the sovereign yield curve (level, slope, curvature) and sectorial equity …

This new edition updates Durbin & Koopman's important text on the state space approach to
time series analysis. The distinguishing feature of state space time series models is that …

This paper explores how exogenous impulses to monetary policy affect the yield curve for
nominally risk-free bonds. Three distinct identification strategies imply similar patterns: a …

This book is intended for readers who are quite familiar with probability and stochastic
processes but know little or nothing about finance. It is written in the definition/theorem/proof …

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

This paper presents a consistent and arbitrage‐free multifactor model of the term structure of
interest rates in which yields at selected fixed maturities follow a parametric muitivariate …

Using dealer's quotes and transactions prices on straight industrial bonds, we investigate
the determinants of credit spread changes. Variables that should in theory determine credit …

ABSTRACT A positive slope of the yield curve is associated with a future increase in real
economic activity: consumption (nondurables plus services), consumer durables, and …

Despite powerful advances in yield curve modeling in the last 20 years, comparatively little
attention has been paid to the key practical problem of forecasting the yield curve. In this …