Zhiwu Hong

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

A 307, Economics Building

Xiamen, Fujian 361005

China

SCHOLARLY PAPERS

3

DOWNLOADS

245

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

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

Zhiwu Hong, Linlin Niu, Gengming Zeng, “U.S. and Chinese Yield Curve Responses to RMB Exchange Rate Policy Shocks: An Analysis with the Arbitrage-Free Nelson-Siegel Term Structure model”,China Finance Review International, 9(3): 360-385, 2019.
Number of pages: 45 Posted: 11 Feb 2016 Last Revised: 22 Jan 2022
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 146 (299,702)
Citation 2

Abstract:

Loading...

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, Journal of Econometrics, September 2022, 230(1): 201-220.
Number of pages: 48 Posted: 04 Feb 2019 Last Revised: 24 Aug 2022
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 SMU, School of Economics
Downloads 59 (532,731)

Abstract:

Loading...

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

3.

Forecasting Interest Rates with Shifting Endpoints: The Role of the Demographic Age Structure

Number of pages: 36 Posted: 30 Jun 2022
Jiazi Chen, Zhiwu Hong and Linlin Niu
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 40 (627,465)

Abstract:

Loading...

Demographic distribution; Yield curve forecasting; Functional data analysis; Life cycle; Nelson-Siegel model; Semiparametric modeling