Zhiwu Hong

Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)

A 307, Economics Building

Xiamen, Fujian 361005

China

SCHOLARLY PAPERS

2

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162

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (2)

1.

Discrete-Time Arbitrage-Free Nelson-Siegel Term Structure Model and Application

Number of pages: 45 Posted: 11 Feb 2016
Zhiwu Hong, Linlin Niu and Gengming Zeng
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 126 (288,059)
Citation 2

Abstract:

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Nelson-Siegel interest rate term structure model, yield curve, macro-finance, exchange rate risk

2.

Affine Arbitrage-Free Yield Net Models with Application to the Euro Debt Crisis

WISE Working Paper
Number of pages: 48 Posted: 04 Feb 2019 Last Revised: 06 Nov 2021
Zhiwu Hong, Linlin Niu and Chen Zhang
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Xiamen University - School of Economics
Downloads 36 (557,537)

Abstract:

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Term structure models, European debt crisis, liquidity risk, sovereign credit risk, Nelson-Siegel factors