연구동향 분석

상대적 Nelson-Siegel 요인을 이용한 환율 및 자본이동 예측

윤재호 2020년

논문상세정보
인용/피인용
' 상대적 Nelson-Siegel 요인을 이용한 환율 및 자본이동 예측' 의 주제별 논문영향력
논문영향력 선정 방법
논문영향력 요약
주제
  • Capital flow prediction
  • Exchange rate prediction
  • Relative Nelson-Siegel factors
  • Risk premium for the Korean Won
  • 상대적 Nelson-Siegel 요인
  • 원화 리스크 프리미엄
  • 자본이동 예측
  • 환율예측
동일주제 총논문수 논문피인용 총횟수 주제별 논문영향력의 평균
12 0

0.0%

' 상대적 Nelson-Siegel 요인을 이용한 환율 및 자본이동 예측' 의 참고문헌

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  • What Does the Yield Curve Tell Us about Exchange Rate Predictability?
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  • Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
  • The U.S. Treasury Yield Curve: 1961 to the Present
  • The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
  • The Information in long-maturity forward rates
    Fama, E. F. [1987]
  • The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models
  • Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
    Joslin, S. [2014]
  • Predicting US recessions : Financial variables as leading indicators
  • Parsimonious Modeling of Yield Curves
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  • Inflation, Real Interest Rates, and the Bond Market : A Study of UK Nominal and Index-Linked Government Bond Prices
    Barr, D. G. [1997]
  • Forecasting the Term Structure of Government Bond Yields
  • Empirical Exchange Rate Models of the Seventies : Do They Fit Out of Sample?
    Meese, R. [1983]
  • An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
  • Accounting for a Shift in Term Structure Behavior with No-Arbitrage and Macro-Finance Models
  • A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
  • A Reexamination of the Predictability of Economic Activity Using the Yield Spread
  • A Macro-finance Model of the Term Structure, Monetary Policy, and the Economy