Global Yield Curve Dynamics and Interactions : A Dynamic

By Nelson Siegel Approach Francis X. Diebold, Vivian Z. Yue. 2007

261 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f37c38ef79325c8d2fb6f5876679775f956bc19c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Peng Wang
2. Jushan Bai
3. Serena Ng
4. Emanuel Moench
5. Mark W. Watson
6. Liangjun Su
7. S. Potter
8. James H. Stock

In Finance

1. Serena Ng
2. Jushan Bai
3. Peng Wang
4. S. Potter
5. Emanuel Moench
6. Mark W. Watson
7. James H. Stock
8. Sydney C. Ludvigson

Citations in the corpus

• What Does the Yield Curve Tell Us about Exchange Rate Predictability? (2013, unknown): “Diebold, Li, and Yue (2008) show that by imposing an AR(1) structure on the factors, the Nelson-Siegel model has strong forecasting power for future yield curves.”
• Identification and Bayesian Estimation of Dynamic Factor Models (2015, methodology): “The result is similar to Diebold, Li, and Yue (2008) in that the global factor explains a large proportion of variance in country bond yields, and compared with most other markets the United States has a stronger country factor.”
• Dynamic Hierarchical Factor Models (2013, background): “Diebold et al. (2008) study a three-level hierarchical factor model for government bond yield data from four countries.”
• A Theoretical Foundation for the Nelson and Siegel Class of Yield Curve Models (2012, unknown): “Du¤ee (2002) notes that “general three-factor a¢ ne models are already computationally di¢ cult to estimate owing to the number of parameters.”
• Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters (2010, unknown): “In the work of Diebold, Li, and Yue (2008) on the global yield curve, constant factors are also an important condition.”
• International Bond Risk Premia (2013, unknown): “Diebold et al. (2008) build on Nelson and Siegel (1987) and document global yield curve factors that appear to be linked to global macroeconomic factors such as inflation and real activity.”
• Identification and Estimation of Dynamic Factor Models (2012, methodology): “Using a similar but different model, Diebold, Li, and Yue (2008) found an economically significant global yield factor for Germany, Japan, UK and US.”