A macro-finance term structure model with multivariate stochastic volatility

Márcio Laurini and João F. Caldeira

International Review of Economics & Finance, 2016, vol. 44, issue C, 68-90

Abstract: This article examines some consequences of the presence of non-affine structures of multivariate stochastic volatility in a dynamic Nelson–Siegel model with macroeconomic variables. The results indicate that this non-affine model achieves superior in-sample fit for the observed yields, captures persistence patterns more consistent with stylized facts and empirical measures and also has greater explanatory power for the conditional volatility observed in yields compared to affine models and models without macroeconomic variables.

Keywords: Macro-finance; Term structure of interest rates; Stochastic volatility; MCMC; Non-affine; factor models (search for similar items in EconPapers)
JEL-codes: C53 E43 G17 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056016300016
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:44:y:2016:i:c:p:68-90

DOI: 10.1016/j.iref.2016.03.008

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().