Following the financial crisis dramatic market changes, a new standard in interest rate
modelling emerged, called the multi-curve framework. The author provides a detailed …

In the last five years, the financial industry has been impacted by the emergence of
digitalization and machine learning. In this article, we explore two methods that have …

Statistics for Finance develops students' professional skills in statistics with applications in
finance. Developed from the authors' courses at the Technical University of Denmark and …

In this paper, we analyse the market determinants of price differentials between new and
remanufactured products in Electronics using data on purchases made on eBay UK. The …

The purpose of this paper is to assess and predict sovereign credit risk for Egypt, Morroco
and Saudi Arabia using credit default swap (CDS) spreads obtained from the DataStream …

Purpose This paper aims to investigate the impact of oil price shocks on the Turkish
sovereign yield curve factors. Design/methodology/approach To extract the latent factors …

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 …

This paper presents an alternative and straightforward two-step estimation method for the
Nelson–Siegel yield curve model. The goal is to generate smoothed time series for the time …

From a new data set, we infer time series of term structures of yields on US federal bonds
during the gold standard era from 1791–1933 and use our estimates to reassess historical …

The article aims to forecast credit risk for BRICS countries using daily credit default swaps
(CDS) spreads obtained from Datastream data base from 2018 to 2023. Our approach …