International dynamic linkages across government bond yield curves

• Main Author: Πομώνης, Παναγιώτης
• Other Authors: Pomonis, Panagiotis
• Language: English
• Published: 2022
• Subjects: Term structure; Yield curve; Κρατικά ομόλογα; Καμπύλες αποδόσεων

We create a framework by which, we estimate parsimonious models, developed across the literature, in order to create yield curves which represent the Term Structure of Interest Rates. We combine data considering daily government securities of Greece and Germany. We use generated yields to create vec...