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Publications by Julia Giese

Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model

SSRN Electronic Journal

English

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Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model

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Causes of Unemployment in Colombia During the XXI Century Evidence From a Cointegrated VAR-X Model

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Bias Correcting Adjustment Coefficients in a Cointegrated VAR With Known Cointegrating Vectors

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Riding the Yield Curve

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A Multivariate Growth Curve Model for Three-Level Data.

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Forecasting the Yield Curve in a Data-Rich Environment Using the Factor-Augmented Nelson-Siegel Model

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A Shape-Based Decomposition of the Yield Adjustment Term in the Arbitrage-Free Nelson and Siegel (AFNS) Model of the Yield Curve

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Curvature of Approximating Curve Subdivision Schemes

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Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

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