Focal Interest
Focal Interest

Yield curve

  1. Unweighted HJM setting supports yield-curve modeling with negative yields
    New approach to Heath–Jarrow–Morton framework using unweighted function spaces and functional PCA, enabling better yield curve modeling with support for negative interest rates.
  2. Yield curve factors predict growth in some countries, not inflation
    Analysis of yield curve predictive power for growth and inflation across 40 countries finds stronger performance in developed and CEE economies and low-credibility contexts.