Understanding the dynamic evolution of the yield curve is critical to many financial tasks,
including pricing financial assets and their derivatives, managing financial risk, allocating …

Abstract The Dow Jones Islamic Market indices (DJIMI) are constructed by screening out
stocks that are incompatible with Islam's prohibition of interest and certain lines of business …

In this paper I examine various extensions of the Nelson and Siegel (1987) model with the
purpose of fitting and forecasting the term structure of interest rates. As expected, I find that …

The Nelson–Siegel model is widely used in practice for fitting the term structure of interest
rates. Due to the ease in linearizing the model, a grid search or an OLS approach using a …

We investigate here the sensitivity of the equity values of a large sample of German financial
institutions to movements in the term structure of interest rates. While similar approaches rely …

In this paper I examine various extensions of the Nelson and Siegel (1987) model with the
purpose of fitting and forecasting the term structure of interest rates. As expected, I find that …

The importance of interest rates, in both financial markets and the broader economy, was
clearly highlighted during and subsequent to the financial crisis of 2007-09. This paper …

Based on previous research addressing the use of principal component analysis (PCA) in
modeling the dynamics of sovereign yield curves, in this paper, we investigate certain …

We use 1982–2014 data on the US riskless yield curve to show that regime switching
dynamics in Nelson-Siegel factor models extended to encompass variables that summarize …

Using a variation of the Nelson-Siegel term structure model we examine the sensitivity of
real estate securities in six key global markets to unexpected changes in the level, slope and …