Yangguoyi Ou

Humboldt University of Berlin - School of Business and Economics

Spandauer Str. 1

Berlin, D-10099

Germany

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

Yield Curve Factors, Yield Volatility, and the Predictability of Bond Excess Returns

Number of pages: 34 Posted: 08 Mar 2008
Nikolaus Hautsch and Yangguoyi Ou
University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin - School of Business and Economics
Downloads 414 (70,515)
Citation 1

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term structure, factor volatilities, bond return premia

2.

Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference

Number of pages: 25 Posted: 01 Nov 2008
Nikolaus Hautsch and Yangguoyi Ou
University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin - School of Business and Economics
Downloads 296 (103,233)
Citation 1

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Stochastic Volatility, Markov Chain Monte Carlo, Metropolis-Hastings algorithm, Jump Processes

3.

Yield Curve Factors, Factor Volatilities, and the Predictability of Bond Excess Returns

Number of pages: 44 Posted: 26 Mar 2008 Last Revised: 30 Oct 2008
Nikolaus Hautsch and Yangguoyi Ou
University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin - School of Business and Economics
Downloads 284 (107,940)

Abstract:

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Term Structure Modelling; Yield Curve Risk; Stochastic Volatility; Factor Models; Macroeconomic Fundamentals