FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2948707332> ?p ?o ?g. }

• W2948707332 abstract "We investigate the factor structure of the term structure of interest rates and argue that characterizing the minimal dimension of the data generating process is more challenging than currently appreciated. As a result, inference procedures for yield curve models that commit to a parsimoniously parameterized factor structure may be omitting important information about the underlying true factor space. To circumvent these difficulties, we introduce a novel nonparametric bootstrap that is robust to general forms of time and cross-sectional dependence and conditional heteroskedasticity of unknown form. We show that our bootstrap procedure is asymptotically valid and exhibits excellent finite-sample properties in simulations. We demonstrate the applicability of our results in two empirical exercises: first, we show that measures of equity market tail risk and the state of the macroeconomy predict bond returns beyond the level or slope of the yield curve; second, we provide a bootstrap-based bias correction and confidence intervals for the probability of recession based on the shape of the yield curve. Our results apply more generally to all assets with a finite maturity structure." @default.
• W2948707332 created "2019-06-14" @default.
• W2948707332 creator A5035358429 @default.
• W2948707332 creator A5053963239 @default.
• W2948707332 date "2019-01-01" @default.
• W2948707332 modified "2023-09-23" @default.
• W2948707332 title "Deconstructing the Yield Curve" @default.
• W2948707332 cites W1512990175 @default.
• W2948707332 cites W1914754730 @default.
• W2948707332 cites W2012256096 @default.
• W2948707332 cites W2022401541 @default.
• W2948707332 cites W2052070544 @default.
• W2948707332 cites W2076396344 @default.
• W2948707332 cites W2108446661 @default.
• W2948707332 cites W2117178635 @default.
• W2948707332 cites W2118773244 @default.
• W2948707332 cites W2119035500 @default.
• W2948707332 cites W2136241359 @default.
• W2948707332 cites W2137387582 @default.
• W2948707332 cites W2139250112 @default.
• W2948707332 cites W2140667952 @default.
• W2948707332 cites W2146762522 @default.
• W2948707332 cites W2150751859 @default.
• W2948707332 cites W2151993164 @default.
• W2948707332 cites W2164777891 @default.
• W2948707332 cites W2257048727 @default.
• W2948707332 cites W2554910987 @default.
• W2948707332 cites W2594378587 @default.
• W2948707332 cites W2804712735 @default.
• W2948707332 cites W2890083190 @default.
• W2948707332 cites W2948864351 @default.
• W2948707332 cites W3023021240 @default.
• W2948707332 cites W3023877248 @default.
• W2948707332 cites W3033746505 @default.
• W2948707332 cites W3121183260 @default.
• W2948707332 cites W3122977648 @default.
• W2948707332 cites W3123011181 @default.
• W2948707332 cites W3123414738 @default.
• W2948707332 cites W3123572587 @default.
• W2948707332 cites W3124438330 @default.
• W2948707332 cites W3124485385 @default.
• W2948707332 cites W3124684890 @default.
• W2948707332 cites W3124916467 @default.
• W2948707332 cites W3125013807 @default.
• W2948707332 cites W3125018527 @default.
• W2948707332 cites W3125366357 @default.
• W2948707332 cites W3125770834 @default.
• W2948707332 cites W3125794914 @default.
• W2948707332 cites W3125937743 @default.
• W2948707332 cites W3187068356 @default.
• W2948707332 cites W4242821618 @default.
• W2948707332 cites W4247747078 @default.
• W2948707332 cites W4298872162 @default.
• W2948707332 doi "https://doi.org/10.2139/ssrn.3368414" @default.
• W2948707332 hasPublicationYear "2019" @default.
• W2948707332 type Work @default.
• W2948707332 sameAs 2948707332 @default.
• W2948707332 citedByCount "2" @default.
• W2948707332 countsByYear W29487073322021 @default.
• W2948707332 countsByYear W29487073322022 @default.
• W2948707332 crossrefType "journal-article" @default.
• W2948707332 hasAuthorship W2948707332A5035358429 @default.
• W2948707332 hasAuthorship W2948707332A5053963239 @default.
• W2948707332 hasBestOaLocation W29487073322 @default.
• W2948707332 hasConcept C134121241 @default.
• W2948707332 hasConcept C162324750 @default.
• W2948707332 hasConcept C175025494 @default.
• W2948707332 hasConcept C176230804 @default.
• W2948707332 hasConcept C191897082 @default.
• W2948707332 hasConcept C192562407 @default.
• W2948707332 hasConcept C33923547 @default.
• W2948707332 hasConcept C41008148 @default.
• W2948707332 hasConcept C556758197 @default.
• W2948707332 hasConceptScore W2948707332C134121241 @default.
• W2948707332 hasConceptScore W2948707332C162324750 @default.
• W2948707332 hasConceptScore W2948707332C175025494 @default.
• W2948707332 hasConceptScore W2948707332C176230804 @default.
• W2948707332 hasConceptScore W2948707332C191897082 @default.
• W2948707332 hasConceptScore W2948707332C192562407 @default.
• W2948707332 hasConceptScore W2948707332C33923547 @default.
• W2948707332 hasConceptScore W2948707332C41008148 @default.
• W2948707332 hasConceptScore W2948707332C556758197 @default.
• W2948707332 hasLocation W29487073321 @default.
• W2948707332 hasLocation W29487073322 @default.
• W2948707332 hasLocation W29487073323 @default.
• W2948707332 hasOpenAccess W2948707332 @default.
• W2948707332 hasPrimaryLocation W29487073321 @default.
• W2948707332 hasRelatedWork W1144731263 @default.
• W2948707332 hasRelatedWork W1585367164 @default.
• W2948707332 hasRelatedWork W1849036934 @default.
• W2948707332 hasRelatedWork W2736209880 @default.
• W2948707332 hasRelatedWork W2783669202 @default.
• W2948707332 hasRelatedWork W2790082457 @default.
• W2948707332 hasRelatedWork W3080540548 @default.
• W2948707332 hasRelatedWork W3124536408 @default.
• W2948707332 hasRelatedWork W3134581450 @default.
• W2948707332 hasRelatedWork W3199500754 @default.
• W2948707332 isParatext "false" @default.
• W2948707332 isRetracted "false" @default.
• W2948707332 magId "2948707332" @default.

• next