The fast growth of China's economy has brought it not only to the center of the global
economy but also to a transition point in its growth model, a transition from scale to …

This paper examines the static and dynamic connectedness (returns and volatility) between
the components of the sovereign yield curve (level, slope, curvature) and sectorial equity …

This paper studies the impact of sovereign credit rating and outlook changes on the shape of
the sovereign yield curve using data for five European countries, namely, Greece, Ireland …

In this article, we develop a nonparametric functional data analysis (NP-FDA) model to
forecast the term-structure of Brazil, Russia, India, China and South Africa (BRICS). We use …

Recently, machine-learning algorithms and existing financial data-analysis methods have
been actively studied. Although the term structure of government bonds has been well …

As part of its effort to internationalize the Renminbi, China's government has promoted the
establishment of a regulated offshore Renminbi capital market hub in Hong Kong, where …

As a central issue in macro-finance studies, the spanning hypothesis has always been the
focus of research. Previous studies have focused on whether this hypothesis holds true in …

本文选取2005-2013 年中国银行间市场国债交易数据, 借助动态NS 模型提供的水平,
斜率和曲度因子刻画利率期限结构特征, 基于结构突变检验方法, 实证判别了利率期限结构与 …

Understanding the relationship between interest rates and term to maturity of securities is a
prerequisite for developing financial theory and evaluating whether it holds up in the real …

Efficient term structure estimation in emerging markets is difficult not only because of overall
lack of liquidity, but also because of the concentration of liquidity in a few securities. Using …