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dc.contributor.authorRecchioni, Maria Cristina
dc.contributor.authorTedeschi, Gabriele
dc.date.accessioned2017-07-07T09:30:06Z
dc.date.available2017-07-07T09:30:06Z
dc.date.issued2017-11-01
dc.identifier.citationRECCHIONI, Maria Cristina; TEDESCHI, Gabriele. From bond yield to macroeconomic instability: A parsimonious affine model. European Journal of Operational Research (2017), v. 262, issue 3, pp. 1116-1135ca_CA
dc.identifier.urihttp://hdl.handle.net/10234/168198
dc.description.abstractWe present a hybrid Heston model with a common stochastic volatility to describe government bond yield dynamics. The model is analytically tractable and, therefore, can be efficiently estimated using the maximum likelihood approach and a specific expansion in order to cope with the curse of dimensionality. Twofold is the model contribution. First, it captures changes in the yield volatility and predict future yield values of Germany, French, Italy and Spain. The result is an early-warning indicator which anticipates phases of instability characterizing the time series investigated. Then, the model describes convergence/divergence phenomena among European government bond yields and explores the countries’ reactions to a common monetary policy described through the EONIA interbank rate. We also investigate the potential of this indicator on U.S. data (treasury bills).ca_CA
dc.description.sponsorShipThe research leading to these results has received funding from the European Union, Seventh Framework Programme FP7, under grant agreement FinMaP no. 612955.ca_CA
dc.format.extent40 p.ca_CA
dc.format.mimetypeapplication/pdfca_CA
dc.language.isoengca_CA
dc.publisherElsevierca_CA
dc.relation.isPartOfEuropean Journal of Operational Research (2017), v. 262, issue 3ca_CA
dc.rights.urihttp://rightsstatements.org/vocab/CNE/1.0/*
dc.subjectFinanceca_CA
dc.subjectStochastic volatility modelca_CA
dc.subjectYield dynamics in the Eurozoneca_CA
dc.subjectEarly warning indicatorca_CA
dc.subjectYield forecastingca_CA
dc.titleFrom bond yield to macroeconomic instability: A parsimonious affine modelca_CA
dc.typeinfo:eu-repo/semantics/articleca_CA
dc.identifier.doihttps://doi.org/10.1016/j.ejor.2017.04.042
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessca_CA
dc.relation.publisherVersionhttp://www.sciencedirect.com/science/article/pii/S0377221717303892ca_CA
dc.date.embargoEndDate2019-04-27
dc.type.versioninfo:eu-repo/semantics/acceptedVersion


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